Browsing by Subject "Order flow"

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    Order imbalance and commonality: Evidence from the options market
    (Borsa Istanbul Anonim Sirketi, 2022-01) Omole, John; Şensoy, Ahmet; Gulay, Guzhan
    Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the underlying equity market's price discovery; however, the results indicate no significant impact. Our results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. © 2021 The Authors