Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders) largely dominates liquidity provision (through limit orders) in the five-minute period following the release.