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Brownbag Seminar: Liquidity imbalance and price dynamic

Ceyda Ustun
Tuesday, May 11, 2021, 12:00 pm – 1:00 pm


This paper examines the liquidity imbalance and price changes with different levels of frequencies and different types of traders in 30 stocks comprising the benchmark Turkish BIST30  index in 2019. During liquidity imbalance caused by foreign traders, I examine which types of domestic traders supply liquidity at different frequencies by leaning against the imbalance. I show preliminary evidence that small retail traders are important in providing liquidity in the longer term, that is beyond intraday.