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      •   BUIR Home
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      • Bilkent Theses
      • Theses - Department of Management
      • Dept. of Management - Ph.D. / Sc.D.
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      Informed trading in borsa İstanbul

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      Author
      Tiniç, Murat
      Advisor
      Tanyeri, Ayşe Başak
      Date
      2019-06
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      This thesis investigates how information asymmetry affects asset prices in Borsa İstanbul. In the first chapter, we introduce the R package InfoTrad that estimates the probability of informed trading. Next, we examine the relationship between information asymmetry and stock returns in Borsa İstanbul. Firm-level cross-sectional regressions indicate an economically insignificant relationship between PIN and future returns. Moreover, univariate and multivariate portfolio analyses show that portfolios of stocks with high levels of informed trading do not realize significant return premiums. Consequently, our results, suggest that information asymmetry is a firm-specific risk and it can be eliminated with portfolio diversification. Finally, we compare the informational (dis)advantage of foreign investors trading in Borsa İstanbul. We first show that an average foreign trade creates buy pressure whereas an average local trade generates a sell pressure. The permanent impact of foreign investors over and above local investors is significant only for 24 stocks which correspond to 7% of our sample. Importantly, we show that the foreign price impact occurs primarily in a period of political instability which started with the Gezi Park protests in June 2013. In a panel setting, we also show that adverse selection cost due to foreign trading significantly increases even when we control for firm-specific factors along with global and local macroeconomic conditions. Domestic investors with undiversified portfolios may be more risk-averse during periods of increased turmoil. This may enable foreign investors to have a better position to take advantage of potential price misalignments, especially for stocks of commercial banks.
      Keywords
      Asset pricing
      Market microstructure
      Political turmoil
      Probability of informed trading, R
      Permalink
      http://hdl.handle.net/11693/52071
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      • Dept. of Management - Ph.D. / Sc.D. 26
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