The effect of news on return volatility and volatility persistence: The Turkish economy during crisis
dc.citation.epage | 263 | en_US |
dc.citation.issueNumber | 6 | en_US |
dc.citation.spage | 249 | en_US |
dc.citation.volumeNumber | 50 | en_US |
dc.contributor.author | Solakoğlu, M. N. | en_US |
dc.contributor.author | Demir, N. | en_US |
dc.date.accessioned | 2019-01-23T11:41:36Z | |
dc.date.available | 2019-01-23T11:41:36Z | |
dc.date.issued | 2014 | en_US |
dc.department | Banking and Finance | en_US |
dc.description.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. | en_US |
dc.description.provenance | Submitted 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.provenance | Made 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: 2014 | en |
dc.identifier.doi | 10.1080/1540496X.2014.1013864 | en_US |
dc.identifier.eissn | 1558–0938 | |
dc.identifier.issn | 1540–496X | |
dc.identifier.uri | http://hdl.handle.net/11693/48266 | |
dc.language.iso | English | en_US |
dc.publisher | Taylor & Francis Group | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1080/1540496X.2014.1013864 | en_US |
dc.source.title | Emerging Markets Finance & Trade | en_US |
dc.subject | News arrival | en_US |
dc.subject | Return volatility | en_US |
dc.subject | Turkey | en_US |
dc.subject | Volatility persistence | en_US |
dc.title | The effect of news on return volatility and volatility persistence: The Turkish economy during crisis | en_US |
dc.type | Article | en_US |