The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market

Autor:	Hasan F. Baklaci, Berna Aydoğan, Gökçe Tunç, Gülin Vardar
Rok vydání:	2011
Předmět:	Turkish Financial economics Autoregressive conditional heteroskedasticity Sample (statistics) Market dynamics language.human_language Volatility persistence Return volatility language Economics Stock market General Economics Econometrics and Finance Private information retrieval Finance
Zdroj:	Emerging Markets Finance and Trade. 47:99-119
ISSN:	1558-0938 1540-496X
DOI:	10.2753/ree1540-496x470606
Popis:	This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e498e30e4bf0488701e991d62c0eb48c https://doi.org/10.2753/ree1540-496x470606 Zobrazit plný text záznamu Plný text ve formátu PDF