Intraday patterns of Stock Prices in Istanbul Stock Exchange

In the increasingly globalizing and developing world, there are numerous factorsaffecting the pricing process in capital markets. Extraordinary price movements or anomaliesin the capital market that cannot be explained in certain months or days of the year occur as aresult of these numerous factors. These movements or anomalies come into use as a result ofanalysis of intraday data made possible by technological advancements in the infrastructuresof capital markets.Istanbul Stock Exchange (IMKB) is one of the few stock exchanges that have thetechnological infrastructure where these types of data mentioned above can be obtained. Inthis study, intraday price and volatility pattern are determined through the data which have ahigh degree of representation of IMKB, covering the mutual funds that can be traded in themarket and IMKB National-30 index for the period between 01.01.1998-23.03.2003examination.First of all, it is found out from IMKB National-30 data that intraday price pattern ofIMKB reflects definitely a ? W form? and volatility generally fits a ?W form? whiledecreasing towards the end of the day. An investment strategy derived from 15 minutesinterval data with a day-end position of ?0? is concluded to be useful for institutional investor.