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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Published Version (Please cite this version)