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dc.contributor.authorSolakoglu, M. N.en_US
dc.contributor.authorDemir, N.en_US
dc.date.accessioned2018-04-12T13:37:42Z
dc.date.available2018-04-12T13:37:42Z
dc.date.issued2015en_US
dc.identifier.isbn9780128023624
dc.identifier.isbn9780128022054
dc.identifier.urihttp://hdl.handle.net/11693/37780
dc.description.abstractIn 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.en_US
dc.language.isoEnglishen_US
dc.source.titleHandbook of High Frequency Tradingen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/B978-0-12-802205-4.00022-1en_US
dc.subjectBorsa Istanbulen_US
dc.subjectIntraday returnsen_US
dc.subjectNews arrivalen_US
dc.subjectReturn volatilityen_US
dc.subjectVolatility persistenceen_US
dc.subjectCommerceen_US
dc.subjectEconomicsen_US
dc.subjectFinancial marketsen_US
dc.subjectIntraday returnsen_US
dc.subjectIstanbulen_US
dc.subjectNews arrivalen_US
dc.subjectReturn volatilitiesen_US
dc.subjectVolatility persistenceen_US
dc.subjectInvestmentsen_US
dc.titleNews releases and stock market volatility: intraday evidence from borsa Istanbulen_US
dc.typeBook Chapteren_US
dc.departmentDepartment of Banking and Finance
dc.citation.spage385en_US
dc.citation.epage395en_US
dc.identifier.doi10.1016/B978-0-12-802205-4.00022-1en_US
dc.publisherElsevier Inc.en_US


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