Short-Term Price Behavior Following Abnormal Trading Volume Surges in Borsa Istanbul

Abstract

Purpose– This study examines short-term price behavior following abnormal trading volume surges in stocks included in the BIST (Borsa Istanbul) 100 sample. It focuses on whether overnight and intraday return components diverge after volume shocks and whether the pattern is asymmetric with respect to the shock-day return direction. Method– Daily open, high, low, close, and trading volume data from July 2017 to December 2025 are used. Volume z-scores are computed from the preceding 120 observations excluding the event day. A total of 3,233 events are identified using z ≥ 2.0 and a minimum separation of 11 trading days. Inference relies on two-way clustered standard errors by firm and event date, Holm adjustment, Wilcoxon tests, and 95% bootstrap confidence intervals based on 10,000 event-date-cluster replications.

Findings– Aggregate mean cumulative abnormal returns are not significant at the 5% level after Holm adjustment. Negative-return shocks are followed by significantly negative CARs from t+1 through t+10, while differences between positive and negative shock groups are significant in every window. At t+10, the excess overnight return relative to the stock-specific non-event mean is 1.227%, the corresponding excess intraday return is −0.293% and the difference between the two is 1.520%. The difference remains significant after Holm adjustment.

Discussion– Post-shock price behavior varies with the shock-day return direction and with whether returns accrue overnight or intraday. However, because the results are sensitive to the choice of market adjustment, the analysis is based on a fixed BIST 100 sample and investor identities are unobserved, the findings should be interpreted as a pattern associated with market microstructure and attention-based explanations rather than as evidence of a causal investor-behavior mechanism.