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      The effect of news on return volatility and volatility persistence: The Turkish economy during crisis

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      Author
      Solakoğlu, M. N.
      Demir, N.
      Date
      2014
      Source Title
      Emerging Markets Finance & Trade
      Print ISSN
      1540–496X
      Electronic ISSN
      1558–0938
      Publisher
      Taylor & Francis Group
      Volume
      50
      Issue
      6
      Pages
      249 - 263
      Language
      English
      Type
      Article
      Item Usage Stats
      141
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      108
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      Abstract
      In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul. New information arrival is measured by the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. We classify news headlines by country and type of news. Our findings indicate that, during a recessionary period, new information arrival causes return volatility mostly to decline. Moreover, both economic news and European news cause a significant decline in volatility persistence. However, when news is classified based on origin and type, a larger decline in persistence is observed.
      Keywords
      News arrival
      Return volatility
      Turkey
      Volatility persistence
      Permalink
      http://hdl.handle.net/11693/48266
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/1540496X.2014.1013864
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