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PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY

Year 2017, Volume: 35 Issue: 3, 73 - 82, 29.09.2017

İbrahim Yaşar Gök Meral Arslan

https://doi.org/10.17065/huniibf.340699

Abstract

Bu çalışma, Türkiye endeks futures piyasasında büyük işlemlerin
fiyat etkilerini araştırmaktadır. Toplam fiyat etkisinin işlem hacmi ile
birlikte arttığına ve büyük alış işlemlerinin toplam fiyat etkisinin büyük
satış işlemlerinden daha büyük olduğuna ulaşılmıştır. Likidite etkisi sonuçları,
büyük alış işlemlerinden sonra fiyat artışının sürdüğüne, büyük satış
işlemlerinden sonra ise fiyat geri dönüşlerinin meydana geldiğine işaret
etmektedir. Bilgi etkisi sonuçları ise, büyük alış işlemleri pozitif bilgi
etkisine sahip olduğundan bunların bilgiyi içerdiğini belirtirken, büyük satış
işlemleri için bu genel bir durum değildir. Mevcut piyasa koşulları açısından,
boğa piyasası döneminde büyük alış işlemlerinin toplam fiyat etkisi satış
işlemlerinden daha büyük iken, ayı piyasası döneminde ise tersine bir
asimetrinin varlığı söz konusudur. Bu sonuç, mevcut ekonomik koşulların, büyük
alış ve satış işlemleri arasındaki fiyat etki asimetrisini açıklamada önemli
bir rol oynadığına işaret etmektedir.

Keywords

Piyasa mikroyapısı büyük işlemler fiyat etkisi futures piyasa

References

  • Chan, L.K., J. Lakonishok (1995), "The Behavior of Stock Prices Around Institutional Trades", The Journal of Finance, 50(4), 1147-1174.
  • Chiyachantana, C.N., P.K. Jain, C. Jiang, R.A. Wood (2004), "International Evidence on Institutional Trading Behavior and Price Impact", The Journal of Finance, 59(2), 869-898.
  • Chou, R.K., G.H. Wang, Y. -Y. Wang, J. Bjursell (2011), "The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange", Pacific-Basin Finance Journal, 19(1), 41-70.
  • Frino, A., T. Oetomo (2005), "Slippage in Futures Markets Evidence from the Sydney Futures Exchange", The Journal of Futures Markets, 25(12), 1129-1146.
  • Frino, A., J. Kruk, A. Lepone (2007), "Transactions in Futures Markets: Informed or Uninformed?", The Journal of Futures Markets, 27(12), 1159-1174.
  • Frino, A., J. Bjursell, G.H. Wang, A. Lepone (2008), "Large Trades and Intraday Futures Price Behavior", The Journal of Futures Markets, 28(12), 1147–1181.
  • Holthausen, R.W., R.W. Leftwich, D. Mayers (1987), "The Effect of Large Block Transactions on Security Prices", Journal of Financial Economics, 19(2), 237-267.
  • Holthausen, R.W., R.W. Leftwich, D. Mayers (1990), "Large-Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects", Journal of Financial Economics, 26(1), 71-95.
  • Keim, D.B., A. Madhavan (1996), "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects", The Review of Financial Studies, 9(1), 1-36.
  • Kraus, A., H.R. Stoll (1972), "Price Impacts of Block Trading on the New York Stock Exchange", The Journal of Finance, 27(3), 569-588.
  • Lee, C. M., M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", The Journal of Finance, 46(2), 733-746.
  • Ren, F., L.X. Zhong (2012), "The Price Impact Asymmetry of Institutional Trading in the Chinese Stock Market", Physica A: Statistical Mechanics and its Applications, 391(8), 2667–2677.
  • Ryu, D. (2013), "Price Impact Asymmetry of Futures Trades: Trade Direction and Trade Size", Emerging Markets Review, 14, 110-130.
  • Torre, N.C. (1998), "The Market Impact Problem", The BARRA Newsletter, Winter 1998, 165.

PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY

Year 2017, Volume: 35 Issue: 3, 73 - 82, 29.09.2017

İbrahim Yaşar Gök Meral Arslan

https://doi.org/10.17065/huniibf.340699

Abstract

This study examines the price impacts of large trades in the
Turkish index futures market. It is found that total price effect increase with
trade size, and the total price effect of large buy trades are greater than
sell trades. Liquidity effect results indicate that price reversals occur after
larger sell trades, although price continuations occur after large buy trades.
Information effect results suggest that because large buy trades have a
positive information effect, they contain information, but this is not the
general case for large sell trades. In terms of current market condition, the
total price effect of large buy trades are greater than sell trades in bullish
markets, and the reverse asymmetry exists in bearish markets. This result
indicates that current economic condition plays an important role in explaining
the price impact asymmetry between large buy and sell trades.

Keywords

Market microstructure large trades price impact futures market

References

  • Chan, L.K., J. Lakonishok (1995), "The Behavior of Stock Prices Around Institutional Trades", The Journal of Finance, 50(4), 1147-1174.
  • Chiyachantana, C.N., P.K. Jain, C. Jiang, R.A. Wood (2004), "International Evidence on Institutional Trading Behavior and Price Impact", The Journal of Finance, 59(2), 869-898.
  • Chou, R.K., G.H. Wang, Y. -Y. Wang, J. Bjursell (2011), "The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange", Pacific-Basin Finance Journal, 19(1), 41-70.
  • Frino, A., T. Oetomo (2005), "Slippage in Futures Markets Evidence from the Sydney Futures Exchange", The Journal of Futures Markets, 25(12), 1129-1146.
  • Frino, A., J. Kruk, A. Lepone (2007), "Transactions in Futures Markets: Informed or Uninformed?", The Journal of Futures Markets, 27(12), 1159-1174.
  • Frino, A., J. Bjursell, G.H. Wang, A. Lepone (2008), "Large Trades and Intraday Futures Price Behavior", The Journal of Futures Markets, 28(12), 1147–1181.
  • Holthausen, R.W., R.W. Leftwich, D. Mayers (1987), "The Effect of Large Block Transactions on Security Prices", Journal of Financial Economics, 19(2), 237-267.
  • Holthausen, R.W., R.W. Leftwich, D. Mayers (1990), "Large-Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects", Journal of Financial Economics, 26(1), 71-95.
  • Keim, D.B., A. Madhavan (1996), "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects", The Review of Financial Studies, 9(1), 1-36.
  • Kraus, A., H.R. Stoll (1972), "Price Impacts of Block Trading on the New York Stock Exchange", The Journal of Finance, 27(3), 569-588.
  • Lee, C. M., M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", The Journal of Finance, 46(2), 733-746.
  • Ren, F., L.X. Zhong (2012), "The Price Impact Asymmetry of Institutional Trading in the Chinese Stock Market", Physica A: Statistical Mechanics and its Applications, 391(8), 2667–2677.
  • Ryu, D. (2013), "Price Impact Asymmetry of Futures Trades: Trade Direction and Trade Size", Emerging Markets Review, 14, 110-130.
  • Torre, N.C. (1998), "The Market Impact Problem", The BARRA Newsletter, Winter 1998, 165.
There are 14 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

İbrahim Yaşar Gök

Meral Arslan This is me

Publication Date September 29, 2017
Submission Date September 29, 2017
Published in Issue Year 2017 Volume: 35 Issue: 3

Cite

APA Gök, İ. Y., & Arslan, M. (2017). PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 35(3), 73-82. https://doi.org/10.17065/huniibf.340699
AMA Gök İY, Arslan M. PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. September 2017;35(3):73-82. doi:10.17065/huniibf.340699
Chicago Gök, İbrahim Yaşar, and Meral Arslan. “PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 35, no. 3 (September 2017): 73-82. https://doi.org/10.17065/huniibf.340699.
EndNote Gök İY, Arslan M (September 1, 2017) PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 35 3 73–82.
IEEE İ. Y. Gök and M. Arslan, “PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 35, no. 3, pp. 73–82, 2017, doi: 10.17065/huniibf.340699.
ISNAD Gök, İbrahim Yaşar - Arslan, Meral. “PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 35/3 (September 2017), 73-82. https://doi.org/10.17065/huniibf.340699.
JAMA Gök İY, Arslan M. PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;35:73–82.
MLA Gök, İbrahim Yaşar and Meral Arslan. “PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 35, no. 3, 2017, pp. 73-82, doi:10.17065/huniibf.340699.
Vancouver Gök İY, Arslan M. PRICE IMPACTS OF LARGE TRADES IN FUTURES MARKETS: EVIDENCE FROM TURKEY. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;35(3):73-82.

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