{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T18:02:02Z","timestamp":1791396122231,"version":"4.3.3"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":52,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Stock exchanges in emerging markets increasingly rely on rule-based systems that place volatile stocks under escalating trading restrictions to keep trading orderly, yet the effects of these systems are largely unknown because restrictions are imposed precisely when prices behave abnormally. I study the Volatility-Based Measure System (VBTS) of Borsa Istanbul, which escalates from short-sale and margin-trading bans to gross settlement, order-entry restrictions, single-price (call auction) trading, and a ban on internet orders. Using 4,364 hand-collected stock-level measures from 2017 to 2026, I identify effects from the pre-announced end date of each measure, a change in measure duration from 14 days to one month, and the simultaneous removal of all measures after the February 2023 earthquakes. Gross settlement reduces traded value by 1.11 log points (about 67%), lowers the average trade size by about 30%, and nearly triples price impact relative to matched controls. Relative to the same controls, liquidity recovers on the scheduled expiry day under both duration rules and not on placebo dates. Single-price trading reduces volume and the intraday range further, whereas short-sale and margin bans and order-entry restrictions leave no measurable daily footprint on liquidity. Announcements lower opening prices, and stocks placed under gross settlement underperform controls by 5.6\u20137.2% over the following six months. Gross settlement also reduces the frequency of limit moves, so the system mainly postpones trading in the restricted stocks while damping their most extreme daily price changes.<\/jats:p>","DOI":"10.2139\/ssrn.7577947","type":"posted-content","created":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T17:44:34Z","timestamp":1791395074000},"source":"Crossref","is-referenced-by-count":0,"title":["Graduated trading restrictions and market stability: Evidence from Borsa Istanbul's volatility-based measure system"],"prefix":"10.2139","author":[{"given":"Can","family":"Apayd\u0131n","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1111\/j.1468-0262.2006.00655.x","article-title":"Large sample properties of matching estimators for average treatment effects","volume":"74","author":"A Abadie","year":"2006","journal-title":"Econometrica"},{"key":"ref2","author":"N Aggarwal","year":"2020","journal-title":"Rules vs. discretion in market surveillance of `overvalued' stocks: Evidence from India"},{"key":"ref3","author":"Ssrn"},{"issue":"1","key":"ref4","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns: Cross-section and time-series effects","volume":"5","author":"Y Amihud","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"5","key":"ref5","doi-asserted-by":"crossref","first-page":"1012","DOI":"10.1016\/j.bir.2025.05.014","article-title":"The impact of margin trading and regulatory policy on IPO underpricing: Evidence from T\u00fcrkiye","volume":"25","author":"A G Arslan","year":"2025","journal-title":"Borsa Istanbul Review"},{"issue":"5","key":"ref6","doi-asserted-by":"crossref","first-page":"1260","DOI":"10.1111\/eufm.12344","article-title":"Settling down: T+2 settlement cycle and liquidity","volume":"28","author":"A Baig","year":"2022","journal-title":"European Financial Management"},{"issue":"2","key":"ref7","doi-asserted-by":"crossref","first-page":"370","DOI":"10.1016\/j.jfineco.2022.01.004","article-title":"How much should we trust staggered difference-in-differences estimates","volume":"144","author":"A C Baker","year":"2022","journal-title":"Journal of Financial Economics"},{"issue":"5","key":"ref8","doi-asserted-by":"crossref","first-page":"2249","DOI":"10.1111\/jofi.13033","article-title":"Tracking retail investor activity","volume":"76","author":"E Boehmer","year":"2021","journal-title":"The Journal of Finance"},{"issue":"1","key":"ref9","doi-asserted-by":"crossref","first-page":"22","DOI":"10.1016\/j.jfineco.2017.01.008","article-title":"High frequency trading and the 2008 shortsale ban","volume":"124","author":"J Brogaard","year":"2017","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref10","doi-asserted-by":"crossref","first-page":"1547","DOI":"10.1093\/qje\/qjv027","article-title":"The high-frequency trading arms race: Frequent batch auctions as a market design response","volume":"130","author":"E Budish","year":"2015","journal-title":"The Quarterly Journal of Economics"},{"issue":"2","key":"ref11","doi-asserted-by":"crossref","first-page":"200","DOI":"10.1016\/j.jeconom.2020.12.001","article-title":"Difference-in-differences with multiple time periods","volume":"225","author":"B Callaway","year":"2021","journal-title":"Journal of Econometrics"},{"issue":"2","key":"ref12","doi-asserted-by":"crossref","first-page":"238","DOI":"10.1198\/jbes.2010.07136","article-title":"Robust inference with multiway clustering","volume":"29","author":"A C Cameron","year":"2011","journal-title":"Journal of Business & Economic Statistics"},{"issue":"2","key":"ref13","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1016\/j.jempfin.2004.01.001","article-title":"Price limit performance: Evidence from transactions data and the limit order book","volume":"12","author":"S H Chan","year":"2005","journal-title":"Journal of Empirical Finance"},{"issue":"1","key":"ref14","doi-asserted-by":"crossref","first-page":"249","DOI":"10.1016\/j.jeconom.2018.09.014","article-title":"Daily price limits and destructive market behavior","volume":"208","author":"T Chen","year":"2019","journal-title":"Journal of Econometrics"},{"issue":"1-2","key":"ref15","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/S0927-5398(02)00024-5","article-title":"The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange","volume":"10","author":"D D Cho","year":"2003","journal-title":"Journal of Empirical Finance"},{"issue":"1","key":"ref16","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1093\/rof\/rfs040","article-title":"Stock price manipulation: Prevalence and determinants","volume":"18","author":"C Comerton-Forde","year":"2014","journal-title":"Review of Finance"},{"issue":"2","key":"ref17","doi-asserted-by":"crossref","first-page":"184","DOI":"10.1016\/j.mulfin.2005.06.002","article-title":"Call auction algorithm design and market manipulation","volume":"16","author":"C Comerton-Forde","year":"2006","journal-title":"Journal of Multinational Financial Management"},{"issue":"9","key":"ref18","doi-asserted-by":"crossref","first-page":"2964","DOI":"10.1257\/aer.20181169","article-title":"Two-way fixed effects estimators with heterogeneous treatment effects","volume":"110","author":"C De Chaisemartin","year":"2020","journal-title":"American Economic Review"},{"issue":"2","key":"ref19","doi-asserted-by":"crossref","first-page":"106","DOI":"10.1016\/j.bir.2018.10.003","article-title":"Investor attention and stock returns: Evidence from Borsa Istanbul","volume":"19","author":"S D\u00fcz Tan","year":"2019","journal-title":"Borsa Istanbul Review"},{"issue":"2","key":"ref20","doi-asserted-by":"crossref","first-page":"502","DOI":"10.1016\/j.jfineco.2022.08.002","article-title":"Retail trader sophistication and stock market quality: Evidence from brokerage outages","volume":"146","author":"G W Eaton","year":"2022","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref21","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1016\/j.bir.2016.09.005","article-title":"Algorithmic and high-frequency trading in Borsa Istanbul","volume":"16","author":"O Ersan","year":"2016","journal-title":"Borsa Istanbul Review"},{"key":"ref22","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/j.jfs.2015.10.002","article-title":"The 2011 European short sale ban: A cure or a curse","volume":"25","author":"L F\u00e9lix","year":"2016","journal-title":"Journal of Financial Stability"},{"issue":"4","key":"ref23","doi-asserted-by":"crossref","first-page":"1355","DOI":"10.1093\/rof\/rfx003","article-title":"What are the best liquidity proxies for global research?","volume":"21","author":"K Y L Fong","year":"2017","journal-title":"Review of Finance"},{"issue":"2","key":"ref24","doi-asserted-by":"crossref","first-page":"254","DOI":"10.1016\/j.jeconom.2021.03.014","article-title":"Difference-in-differences with variation in treatment timing","volume":"225","author":"A Goodman-Bacon","year":"2021","journal-title":"Journal of Econometrics"},{"issue":"3","key":"ref25","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1016\/j.bir.2022.03.002","article-title":"Volatility, trading activity and maximum lot amounts: Evidence from Borsa Istanbul","volume":"22","author":"G G\u00fclay","year":"2022","journal-title":"Borsa Istanbul Review"},{"issue":"5","key":"ref26","doi-asserted-by":"crossref","first-page":"1037","DOI":"10.1016\/j.bir.2023.07.003","article-title":"Tick size, liquid stocks and market quality: Evidence from a natural experiment in a unique setting","volume":"23","author":"G G\u00fclay","year":"2023","journal-title":"Borsa Istanbul Review"},{"issue":"3","key":"ref27","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/j.bir.2015.04.002","article-title":"Closing price manipulation in Borsa Istanbul and the impact of call auction sessions","volume":"15","author":"E Kad\u0131o\u011flu","year":"2015","journal-title":"Borsa Istanbul Review"},{"issue":"10","key":"ref28","doi-asserted-by":"crossref","first-page":"4573","DOI":"10.1287\/mnsc.2019.3408","article-title":"How fast should trades settle?","volume":"66","author":"M Khapko","year":"2020","journal-title":"Management Science"},{"issue":"2","key":"ref29","doi-asserted-by":"crossref","first-page":"885","DOI":"10.1111\/j.1540-6261.1997.tb04827.x","article-title":"Price limit performance: Evidence from the Tokyo Stock Exchange","volume":"52","author":"K A Kim","year":"1997","journal-title":"The Journal of Finance"},{"issue":"9","key":"ref30","doi-asserted-by":"crossref","first-page":"3548","DOI":"10.1016\/j.jbankfin.2013.04.036","article-title":"Overconfident individual day traders: Evidence from the Taiwan futures market","volume":"37","author":"W.-Y Kuo","year":"2013","journal-title":"Journal of Banking & Finance"},{"issue":"2","key":"ref31","first-page":"2","article-title":"Inferring investor behavior: Evidence from TORQ data","volume":"3","author":"C M C Lee","year":"2000","journal-title":"Journal of Financial Markets"},{"issue":"1","key":"ref32","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1111\/j.1540-6261.1994.tb04425.x","article-title":"Volume, volatility, and New York Stock Exchange trading halts","volume":"49","author":"C M C Lee","year":"1994","journal-title":"The Journal of Finance"},{"key":"ref33","article-title":"Frequent batch auctions vs. continuous trading: Evidence from Taiwan","author":"Y.-T Lee","year":"2026","journal-title":"Journal of Financial Markets"},{"issue":"5","key":"ref34","doi-asserted-by":"crossref","first-page":"4885","DOI":"10.1111\/acfi.12989","article-title":"The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market","volume":"62","author":"H Li","year":"2022","journal-title":"Accounting & Finance"},{"issue":"15","key":"ref35","doi-asserted-by":"crossref","first-page":"1350","DOI":"10.1080\/1351847X.2017.1307772","article-title":"Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China","volume":"24","author":"Z Li","year":"2018","journal-title":"The European Journal of Finance"},{"issue":"3","key":"ref36","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1016\/S0304-405X(03)00073-4","article-title":"A closing call's impact on market quality at Euronext Paris","volume":"68","author":"M S Pagano","year":"2003","journal-title":"Journal of Financial Economics"},{"issue":"5","key":"ref37","doi-asserted-by":"crossref","first-page":"952","DOI":"10.1111\/j.1467-6419.2011.00692.x","article-title":"Market manipulation: A survey","volume":"26","author":"T J Putni\u0146\u0161","year":"2012","journal-title":"Journal of Economic Surveys"},{"issue":"2","key":"ref38","doi-asserted-by":"crossref","first-page":"2218","DOI":"10.1016\/j.jeconom.2023.03.008","article-title":"What's trending in difference-indifferences? A synthesis of the recent econometrics literature","volume":"235","author":"J Roth","year":"2023","journal-title":"Journal of Econometrics"},{"issue":"2","key":"ref39","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/j.bir.2020.09.004","article-title":"The effects of short selling on price discovery: A study for Borsa Istanbul","volume":"21","author":"B C \u015eahin","year":"2021","journal-title":"Borsa Istanbul Review"},{"issue":"3-4","key":"ref40","doi-asserted-by":"crossref","first-page":"386","DOI":"10.1515\/ecfr-2020-0019","article-title":"Banning Cassandra from the market? An empirical analysis of short-selling bans during the Covid-19 crisis","volume":"17","author":"G Siciliano","year":"2020","journal-title":"European Company and Financial Law Review"},{"key":"ref41","doi-asserted-by":"crossref","first-page":"138","DOI":"10.1016\/j.iref.2020.05.009","article-title":"A survey on the magnet effect of circuit breakers in financial markets","volume":"69","author":"I M Sifat","year":"2020","journal-title":"International Review of Economics & Finance"},{"key":"ref42","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1016\/j.jfs.2014.08.010","article-title":"Impact of short selling activity on market dynamics: Evidence from an emerging market","volume":"15","author":"C Sobaci","year":"2014","journal-title":"Journal of Financial Stability"},{"issue":"1","key":"ref43","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1111\/j.1540-6261.1994.tb04427.x","article-title":"Circuit breakers and market volatility: A theoretical perspective","volume":"49","author":"A Subrahmanyam","year":"1994","journal-title":"The Journal of Finance"},{"issue":"2","key":"ref44","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1016\/j.jeconom.2020.09.006","article-title":"Estimating dynamic treatment effects in event studies with heterogeneous treatment effects","volume":"225","author":"L Sun","year":"2021","journal-title":"Journal of Econometrics"},{"issue":"4","key":"ref45","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1016\/j.bir.2020.05.007","article-title":"Information cascades, short-selling constraints, and herding in equity markets","volume":"20","author":"M Tini\u00e7","year":"2020","journal-title":"Borsa Istanbul Review"},{"key":"ref46","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1016\/j.asieco.2018.06.004","article-title":"Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange","volume":"57","author":"M Twu","year":"2018","journal-title":"Journal of Asian Economics"},{"key":"ref47","first-page":"141","article-title":"Herding and China's market-wide circuit breaker","author":"X Wang","year":"2022","journal-title":"Journal of Banking & Finance"},{"issue":"3","key":"ref48","doi-asserted-by":"crossref","first-page":"1489","DOI":"10.1111\/jofi.13128","article-title":"The wisdom of the Robinhood crowd","volume":"77","author":"I Welch","year":"2022","journal-title":"The Journal of Finance"},{"key":"ref49","article-title":"The magnet effect of circuit breakers and its interactions with price limits","author":"K M Wong","year":"2020","journal-title":"Pacific-Basin Finance Journal"},{"issue":"5","key":"ref50","doi-asserted-by":"crossref","first-page":"1557","DOI":"10.1111\/acfi.12327","article-title":"Successive short-selling ban lifts and gradual price efficiency: Evidence from China","volume":"57","author":"X Xiong","year":"2017","journal-title":"Accounting & Finance"},{"key":"ref51","first-page":"296","volume":"11","author":"S Y\u0131ld\u0131r\u0131m","year":"2026","journal-title":"BIST 100 volatilite dinamiklerinde yap\u0131sal k\u0131r\u0131lma: Volatilite Bazl\u0131 Tedbir Sistemi'nin (VBTS) etkinli\u011finin MS-GARCH modelleri ile analizi [Structural break in BIST 100 volatility dynamics: An MS-GARCH analysis of the effectiveness of the Volatility-Based Measure System (VBTS)]. Ekonomi Politika ve Finans Arastirmalari Dergisi"},{"issue":"4","key":"ref52","doi-asserted-by":"crossref","first-page":"216","DOI":"10.1016\/j.bir.2017.08.001","article-title":"Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul","volume":"17","author":"Y Yildiz","year":"2017","journal-title":"Borsa Istanbul Review"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T17:45:36Z","timestamp":1791395136000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7577947"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":52,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7577947","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}