2. Microstructure of Equity Markets

  1. H. Kent Baker and
  2. Halil Kiymaz
  1. Nazli Sila Alan1,
  2. Recep Bildik2 and
  3. Robert A. Schwartz3

Published Online: 23 AUG 2013

DOI: 10.1002/9781118681145.ch2

Market Microstructure in Emerging and Developed Markets: Price Discovery, Information Flows, and Transaction Costs

Market Microstructure in Emerging and Developed Markets: Price Discovery, Information Flows, and Transaction Costs

How to Cite

Alan, N. S., Bildik, R. and Schwartz, R. A. (2013) Microstructure of Equity Markets, in Market Microstructure in Emerging and Developed Markets: Price Discovery, Information Flows, and Transaction Costs (eds H. K. Baker and H. Kiymaz), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118681145.ch2

Author Information

  1. 1

    PhD Candidate, Zicklin School of Business, Baruch College, City University of New York

  2. 2

    PhD Director of Business Development and Marketing Department, Istanbul Stock Exchange

  3. 3

    Marvin M. Speiser Professor of Finance and University Distinguished Professor, Zicklin School of Business, Baruch College, City University of New York

Publication History

  1. Published Online: 23 AUG 2013
  2. Published Print: 16 AUG 2013

ISBN Information

Print ISBN: 9781118278444

Online ISBN: 9781118681145

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Keywords:

  • microstructure;
  • equity markets;
  • istanbul stock exchange;
  • turkey

Summary

The chapter introduces equity market microstructure and presents an overview of the evolving microstructure literature. After considering two features of a frictionless market (perfect liquidity and share prices that follow random walks), attention is called to the price and quantity discovery functions of a marketplace. The chapter then pays particular attention to intraday price volatility as a measure of market efficiency in the nonfrictionless environment. Additionally, it focuses on the importance, for a country's economic development, of a strong initial public offering (IPO) market and stresses that, for the IPO market to be robust, a well-functioning secondary market for already issued shares is critical. This latter discussion pays particular attention to the Istanbul Stock Exchange and its recent contributions to developing the Turkish economy.