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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets
Organization Unit
Authors
  • Erdinc Akyildirim
  • Shaen Corbet
  • Cumhur Ekinci
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title Finance Research Letters
Geographical Reach international
Volume 31
Page Range 155 - 164
Date 2019
Abstract Text 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.
Official URL https://www.sciencedirect.com/science/article/abs/pii/S154461231930128X#!
Digital Object Identifier 10.1016/j.frl.2019.04.021
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