Analysing the dynamic influence of US macroeconomic news releases on
Turkish stock markets
Ekinci, Cumhur, Akyildirim, ErdincORCID: 0000-0003-0102-4111 and Corbet, ShaenORCID: 0000-0001-7430-7417
(2019)
Analysing the dynamic influence of US macroeconomic news releases on
Turkish stock markets.
Finance Research Letters, 31
.
pp. 155-164.
ISSN 1544-6123
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.
Metadata
Item Type:
Article (Published)
Refereed:
Yes
Uncontrolled Keywords:
US macroeconomic announcements; StocksLiquidity; High-frequency data; Trading; Borsa Istanbul