Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

Cumhur Ekinci; Erdinc Akyildirim; Shaen Corbet

doi:10.1016/j.frl.2019.04.021

Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

Cumhur Ekinci^*, Erdinc Akyildirim, Shaen Corbet

^*Corresponding author for this work

Department of Management Engineering

Research output: Contribution to journal › Article › peer-review

18 Citations (Scopus)

Abstract

We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders)largely dominates liquidity provision (through limit orders)in the five-minute period following the release.

Original language	English
Pages (from-to)	155-164
Number of pages	10
Journal	Finance Research Letters
Volume	31
DOIs	https://doi.org/10.1016/j.frl.2019.04.021
Publication status	Published - Dec 2019

Bibliographical note

Publisher Copyright:
© 2019 Elsevier Inc.

Keywords

Borsa Istanbul
High-frequency data
Liquidity
Stocks
Trading
US macroeconomic announcements

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10.1016/j.frl.2019.04.021

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title = "Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets",

abstract = "We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders)largely dominates liquidity provision (through limit orders)in the five-minute period following the release.",

keywords = "Borsa Istanbul, High-frequency data, Liquidity, Stocks, Trading, US macroeconomic announcements",

author = "Cumhur Ekinci and Erdinc Akyildirim and Shaen Corbet",

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AU - Ekinci, Cumhur

AU - Akyildirim, Erdinc

AU - Corbet, Shaen

PY - 2019/12

Y1 - 2019/12

N2 - We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders)largely dominates liquidity provision (through limit orders)in the five-minute period following the release.

AB - We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders)largely dominates liquidity provision (through limit orders)in the five-minute period following the release.

KW - Borsa Istanbul

KW - High-frequency data

KW - Liquidity

KW - Stocks

KW - Trading

KW - US macroeconomic announcements

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M3 - Article

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SN - 1544-6123

VL - 31

SP - 155

EP - 164

JO - Finance Research Letters

JF - Finance Research Letters

ER -

Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

Abstract

Bibliographical note

Keywords

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