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Intraday analysis of regulation change in microstructure: evidence from an emerging market

Eyup Kadioglu (Economics, Ghent University, Ghent, Belgium) (Investor Compensation Center, Capital Markets Board of Turkey, Ankara, Turkey)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 9 June 2021

Issue publication date: 16 May 2023




This study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.


The analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.


The results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.

Research limitations/implications

Enhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.


This very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.



Kadioglu, E. (2023), "Intraday analysis of regulation change in microstructure: evidence from an emerging market", International Journal of Emerging Markets, Vol. 18 No. 5, pp. 1216-1235.



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