Showing 1 - 8 of 8
This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient...
Persistent link: https://www.econbiz.de/10013249333
This paper examines the relationship between information asymmetry and stock returns in Borsa İstanbul. For all stocks that are traded in Borsa İstanbul between March 2005 and April 2017, we estimate the probability of informed trading (PIN) by Duarte and Young (2009) factorization and a...
Persistent link: https://www.econbiz.de/10012862065
Persistent link: https://www.econbiz.de/10012197543
This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as a proxy for overall information asymmetry. Using order...
Persistent link: https://www.econbiz.de/10013403630
We examine whether brokers in order-driven markets possess an information advantage over their customers. We compare the price impact of proprietary trades to customer trades in Borsa Istanbul. We find an asymmetric effect: While proprietary buy trades lead to a significant price response...
Persistent link: https://www.econbiz.de/10013404708
This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...
Persistent link: https://www.econbiz.de/10013404748
We examine the systematic impact of broker network connectivity on future returns in a centralized limit order book (CLOB) market. For all stocks traded in Borsa Istanbul between March 2005 and November 2015, we estimate network density, reciprocity, and average weighted clustering coefficients...
Persistent link: https://www.econbiz.de/10013405526
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769