Abstract
We investigate the effects of firm-specific announcements during the year 2010 for companies listed on Borsa Istanbul. These announcements were obtained from the Public Disclosure Platform Kamuyu Aydinlatma Platformu, which is the first official channel for accessing company-related news. Specifically, liquidity dynamics, such as time- and quantity-weighted bid and ask prices, spreads, limit order book aggregates, and waiting times between buy and sell orders, as well as trade dynamics, such as volume-weighted average price, price variance, price fluctuation, volumes, and number of buyer- and seller-initiated trades, and intertrade durations during continuous auction, are compared for the period before and after the arrival of particular types of news. The results are examined for the eventual application of high-frequency trading strategies.
| Original language | English |
|---|---|
| Title of host publication | Handbook of High Frequency Trading |
| Publisher | Elsevier Inc. |
| Pages | 305-326 |
| Number of pages | 22 |
| ISBN (Electronic) | 9780128023624 |
| ISBN (Print) | 9780128022054 |
| DOIs | |
| Publication status | Published - 4 Feb 2015 |
Bibliographical note
Publisher Copyright:© 2015 Elsevier Inc. All rights reserved.
Keywords
- Borsa istanbul
- Firm-specific news
- High frequency
- Liquidity
- Public disclosure platform (kamuyu aydinlatma platformu-KAP)
- Trading