Now showing items 1-3 of 3

  • Information cascades, short-selling constraints, and herding in equity markets 

    This paper examines the relationship between informed trading and herding in Borsa İstanbul. Our firm-level cross-sectional analysis asserts that informed trading can significantly increase future herding levels. Furthermore, we show that the relationship between informed trading and herding intensifies under short-selling restrictions. Our results confirm the predictions of the informational cascades framework where the individuals disregard their private information to follow others. We show ...

  • Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul 

    Authors:Tiniç, Murat; Salih, Aslihan
    Publisher and Date:(Routledge Journals, 2019)
    This paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul between March 2005 and April 2017, we estimate the probability of informed trading (PIN) to proxy for information asymmetry.? Firm-level cross-sectional regressions indicate a statistically insignificant relationship between PIN estimates and future returns. Moreover, univariate and multivariate portfolio analyses assert that investors that hold ...

  • Political turmoil and the impact of foreign orders on equity prices 

    Authors:Tiniç, Murat; Savaşer, Tanseli
    Publisher and Date:(Elsevier, 2020)
    This paper examines whether foreign investors possess an information advantage over local investors in the Turkish stock market between 2007 and 2015. We find that foreign investors have an information advantage in 24 stocks, corresponding to seven percent of the sample firms. Foreign investors' information advantage tends to prevail primarily during a period of political instability, which started with the Gezi Park protests in June 2013. The adverse selection component of the foreign trade ...