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      News releases and stock market volatility: intraday evidence from borsa Istanbul

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      Author(s)
      Solakoglu, M. N.
      Demir, N.
      Date
      2015
      Source Title
      Handbook of High Frequency Trading
      Publisher
      Elsevier Inc.
      Pages
      385 - 395
      Language
      English
      Type
      Book Chapter
      Item Usage Stats
      226
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      Abstract
      In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return volatility is expected to react to news arrival if such news causes market participants to adjust their portfolios. To measure new information arrival, we count the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. Furthermore, we focus on economic news and particularly on news on real economy and inflation. In addition, along with the BIST100 index, which is the most commonly used market portfolio index, we also utilize Second National Market (SNM) index. Our results show that news arrival influences return volatility negatively, and it has no significant effect on index returns. Moreover, return volatility responds significantly to negative surprises in GDP and inflation announcements. Finally, we do not provide evidence that indicates differences in the usage of information that arrives to the market between BIST100 and SNM investors. © 2015 Elsevier Inc. All rights reserved.
      Keywords
      Borsa Istanbul
      Intraday returns
      News arrival
      Return volatility
      Volatility persistence
      Commerce
      Economics
      Financial markets
      Intraday returns
      Istanbul
      News arrival
      Return volatilities
      Volatility persistence
      Investments
      Permalink
      http://hdl.handle.net/11693/37780
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/B978-0-12-802205-4.00022-1
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      • Banking and Finance 37
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