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

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dc.citation.epage263en_US
dc.citation.issueNumber6en_US
dc.citation.spage249en_US
dc.citation.volumeNumber50en_US
dc.contributor.authorSolakoğlu, M. N.en_US
dc.contributor.authorDemir, N.en_US
dc.date.accessioned2019-01-23T11:41:36Z
dc.date.available2019-01-23T11:41:36Z
dc.date.issued2014en_US
dc.departmentBanking and Financeen_US
dc.description.abstractIn 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.en_US
dc.description.provenanceSubmitted by Esma Babayiğit (esma.babayigit@bilkent.edu.tr) on 2019-01-23T11:41:36Z No. of bitstreams: 1 The_effect_of_news_on_return_volatility_and_volatility_persistence _the_Turkish_economy_during_crisis.pdf: 336995 bytes, checksum: 34d66a4b01c7d78fd012097c0c8909c8 (MD5)en
dc.description.provenanceMade available in DSpace on 2019-01-23T11:41:36Z (GMT). No. of bitstreams: 1 The_effect_of_news_on_return_volatility_and_volatility_persistence _the_Turkish_economy_during_crisis.pdf: 336995 bytes, checksum: 34d66a4b01c7d78fd012097c0c8909c8 (MD5) Previous issue date: 2014en
dc.identifier.doi10.1080/1540496X.2014.1013864en_US
dc.identifier.eissn1558–0938
dc.identifier.issn1540–496X
dc.identifier.urihttp://hdl.handle.net/11693/48266
dc.language.isoEnglishen_US
dc.publisherTaylor & Francis Groupen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/1540496X.2014.1013864en_US
dc.source.titleEmerging Markets Finance & Tradeen_US
dc.subjectNews arrivalen_US
dc.subjectReturn volatilityen_US
dc.subjectTurkeyen_US
dc.subjectVolatility persistenceen_US
dc.titleThe effect of news on return volatility and volatility persistence: The Turkish economy during crisisen_US
dc.typeArticleen_US

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