Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets

15 Pages Posted: 24 Sep 2019

See all articles by Cumhur Ekinci

Cumhur Ekinci

Istanbul Technical University

Erdinc Akyildirim

ETH Zürich - Department of Mathematics

Shaen Corbet

Dublin City University

Date Written: September 15, 2019

Abstract

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.

Keywords: US Macroeconomic Announcements; Stocks; Liquidity; High-Frequency Data; Trading; Borsa Istanbul

JEL Classification: G14, G15, G12

Suggested Citation

Ekinci, Cumhur and Akyildirim, Erdinc and Corbet, Shaen, Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets (September 15, 2019). Available at SSRN: https://ssrn.com/abstract=3454212 or http://dx.doi.org/10.2139/ssrn.3454212

Cumhur Ekinci

Istanbul Technical University ( email )

ITU Isletme Fakultesi - Macka
Istanbul, 34367
Turkey

HOME PAGE: http://akademi.itu.edu.tr/ekincicu/

Erdinc Akyildirim

ETH Zürich - Department of Mathematics ( email )

ETH Zentrum HG-F 42.1
Raemistr. 101
CH-8092 Zurich, 8092
Switzerland

Shaen Corbet (Contact Author)

Dublin City University ( email )

Dublin 9
Ireland

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