Informed trading around extreme events in Borsa Istanbul

dc.contributor.advisorOğuz Ersanen_US
dc.contributor.authorBodur, Mehmet
dc.contributor.authorErsan, Oğuz
dc.date2022-01
dc.date.accessioned2023-07-25T08:22:33Z
dc.date.available2023-07-25T08:22:33Z
dc.date.issued2022
dc.departmentEnstitüler, Lisansüstü Eğitim Enstitüsü, Finans Mühendisliği Ana Bilim Dalıen_US
dc.description.abstractOn February 22, 2017, two Turkish blue-chip stocks Ko¸c Holding (KCHOL) and Turkcell (TCELL) experienced a simultaneous flash event resulting in a sudden price crash during the continuous auction in Borsa Istanbul Equity Market, right before the market closing time. Both stocks experienced a nearby 10% fall before subsequent price recovery. KCHOL (TCELL) falls as much as %9.86 (%10.77) between 17:45:00 – 17:45:01 time period for an approximately 1-second interval. Before the respective event, order flow toxicity for informed trading proxy VPIN – Volume-Synchronized Probability of Informed Trading shows consecutive increasing behavior even before the sudden crash for TCELL whereas no concrete in advance reaction for KCHOL. VPIN levels for KCHOL (TCELL) increase (decrease) in the course of the post-event interval. Such a difference may be interpreted as increasing (decreasing) order flow toxicity for KCHOL (TCELL) trade balance. Univariate and multivariate regressions’ implied empirical findings result in the statistically signifi cant predictive power of VPIN for TCELL on impending VWAP - Volume Weighted Average Price pattern. However, for KCHOL, no reliable explanatory role of VPIN after considering control variables. Such indefinite results may imply different algorithmic trading strategy execution for KCHOL and TCELL with respect to the event and post-event periodsen_US
dc.identifier.urihttps://hdl.handle.net/20.500.12469/4365
dc.identifier.yoktezid743203en_US
dc.language.isoenen_US
dc.publisherKadir Has Üniversitesien_US
dc.relation.publicationcategoryTezen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBorsa Istanbulen_US
dc.subjectOrder Flow Toxicityen_US
dc.subjectInformed Tradingen_US
dc.subjectFlash Crashen_US
dc.subjectMarket Microstructureen_US
dc.subjectVolume-Synchronized Probability of Informed Tradingen_US
dc.titleInformed trading around extreme events in Borsa Istanbulen_US
dc.typeMaster Thesisen_US
dspace.entity.typePublication
relation.isAuthorOfPublication668cc704-cc26-4a39-bb0f-5db2099bf1d3
relation.isAuthorOfPublication.latestForDiscovery668cc704-cc26-4a39-bb0f-5db2099bf1d3

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Informed Trading Around Extreme Events in Borsa Istanbul

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