News releases and stock market volatility: intraday evidence from borsa Istanbul
Date
2015Source Title
Handbook of High Frequency Trading
Publisher
Elsevier Inc.
Pages
385 - 395
Language
English
Type
Book ChapterItem Usage Stats
226
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views
312
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downloads
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 IstanbulIntraday 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/11693/37780Published Version (Please cite this version)
http://dx.doi.org/10.1016/B978-0-12-802205-4.00022-1Collections
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