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

Date
2014
Authors
Solakoğlu, M. N.
Demir, N.
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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
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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.

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