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An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange. (2012). Koksal, Bulent .
In: MPRA Paper.
RePEc:pra:mprapa:35968.

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Cited: 3

Citations received by this document

Cites: 19

References cited by this document

Cocites: 40

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Zer, Ilknur ; Valenzuela, Marcela.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:62181.

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  2. Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Valenzuela, Marcela ; Zer, Ilknur ; Fryzlewicz, Piotr.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48.

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  3. Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-45.

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References

References cited by this document

  1. Aggarwal, R., and T. Gruca, 1993, Intraday trading patterns in the equity options markets, Journal of Financial Research 16, 285-298.

  2. Ahn, Hee-Joon, and Yan-Leung Cheung, 1999, The intraday patterns of the spread and depth in a market without market makers: The stock exchange of hong kong, Pacific-Basin Finance Journal 7, 539-56.

  3. Bildik, Recep, 2001, Intra-day seasonalities on stock returns: Evidence from the turkish stock market, Emerging Markets Review 2, 387-417.

  4. Chan, K. C., William G. Christie, and Paul H. Schultz, 1995, Market structure and the intraday pattern of bid-ask spreads for nasdaq securities, Journal of Business 68, 35-60.

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  6. Copeland, Laurence, and Sally-Anne Jones, 2002, Intradaily patterns in the korean index futures market, Asian Economic Journal 16, 153-74.
    Paper not yet in RePEc: Add citation now

  7. Foster, F. Douglas, and S. Viswanathan, 1993, Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models, Journal of Finance 48, 187-211.

  8. Harris, Lawrence E., 1994, Minimum price variations, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies 7, 149-78.

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  10. Ho, Yan-Ki, and Yan-Leung Cheung, 1991, Behaviour of intra-daily stock return on an asian emerging market--hong kong, Applied Economics 23, 957-66.
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  11. Jain, Prem C., and Gun-Ho Joh, 1988, The dependence between hourly prices and trading volume, Journal of Financial and Quantitative Analysis 23, 269-83.

  12. Kavajecz, Kenneth A., 1999, A specialist's quoted depth and the limit order book, Journal of Finance 54, 747-71.
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  13. Lee, Charles M. C., Belinda Mucklow, and Mark J. Ready, 1993, Spreads, depths, and the impact of earnings information: An intraday analysis, Review of Financial Studies 6, 345-74.

  14. McInish, Thomas H., and Robert A. Wood, 1990, A transactions data analysis of the variability of common stock returns during 1980-1984, Journal of Banking and Finance 14, 99-112.

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  17. Miller, Edward M., 1989, Explaining intra-day and overnight price behavior, Journal of Portfolio Management 15, 10-16.
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  18. Wood, Robert A., Thomas H. McInish, and J. Keith Ord, 1985, An investigation of transactions data for nyse stocks, Journal of Finance 40, 723-39.

  19. Yadav, Pradeep K., and Peter F. Pope, 1992, Intraweek and intraday seasonalities in stock market risk premia: Cash and futures, Journal of Banking and Finance 16, 233-70.

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  3. The Relation between Intraday Limit Order Book Depth and Spread. (2021). Lobanova, Olesya ; Aidov, Alexandre.
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  4. What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos.
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  5. Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets. (2020). Dragot, Victor ; Ilic, Elena Valentina ; Anghel, Dan Gabriel.
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  18. An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange. (2012). Koksal, Bulent .
    In: MPRA Paper.
    RePEc:pra:mprapa:35968.

    Full description at Econpapers || Download paper

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