Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Effects of opening trading mechanism and information flow on return volatility: additional evidence from the Istanbul Stock Exchange
Download
index.pdf
Date
2009
Author
Başer, Alper
Metadata
Show full item record
Item Usage Stats
159
views
43
downloads
Cite This
In this study, the effects of opening trading mechanism and information flow on return volatility are examined in the Istanbul Stock Exchange. The change in the morning opening mechanism from a continuous auction to a call auction on February 2, 2007 and the extension in afternoon trading hours on September 7, 2007 provide unique opportunities in this respect. First, it is found that the call auction trading mechanism has a decreasing effect on the morning open-to-open interday volatility and morning intraday volatility for low-volume stocks but it does not have an obvious effect on the same type of volatilities for high volume stocks. Second, the study provides evidence that the increased information flow towards the end of the trading day increases the afternoon close-to-close interday volatility for high volume stocks while it does not have such an effect on low-volume stocks. Third, the overnight return volatility is decreased slightly with the extension of trading hours.
Subject Keywords
Business administration.
,
İstanbul Menkul Kıymetler Borsası.
URI
http://etd.lib.metu.edu.tr/upload/12611241/index.pdf
https://hdl.handle.net/11511/19097
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
An Investigation of Returns to Insider Transactions Evidence from the Istanbul Stock Exchange
Çağdaş, Tahaoğlu; Güner, Zehra Nuray (2011-01-01)
In this paper, the return performance of insiders of companies listed on the Istanbul Stock Exchange (ISE) from their open market transactions and that of uninformed investors (outsiders) following insider transactions announced to the public are examined by using a portfolio approach. It is found that, depending on the affiliation of the insider with the company, abnormal returns from their sale transactions last over longer periods than their purchase transactions. Furthermore, outsiders can also earn abn...
EFFECTS OF EXCHANGE RATE VOLATILITY AND FIRM-SPECIFIC FEATURES ON THE RATES OF RETURNS OF THE MANUFACTURING FIRMS LISTED IN BORSA İSTANBUL: A CAPM APPROACH
Aslan, Mustafa; Gaygısız Lajunen, Esma; Department of Financial Mathematics (2021-8-04)
This study examines the effects of the exchange rate volatility and the firm-specific features representing the liquidity, profitability, and leverage performance of firms on excess stock returns for the manufacturing firms listed in Borsa İstanbul (BIST) using dynamic panel data model. The exchange rate volatility is modeled by single regime generalized autoregressive conditional heteroscedasticity (GARCH) models and Markov-switching GARCH (MSGARCH) models. The MSGARCH models show evidence that the evoluti...
The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
Ordu-Akkaya, Beyza Mina; Ugurlu-Yildirim, Ecenur; Soytaş, Uğur (2019-06-01)
In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on volatility spillover between futures and spot markets of two major commodities; oil and gold during the last two decades. The initial analysis including only spot and futures markets imply that the relationship is bi-directional for crude oil, and uni-directional for gold. Though, including open interest and trading volume enrich our results indicating open interest and spot markets are closely ...
Effectiveness of Price Limits in Controlling Daily Stock Price Volatility Evidence from an Emerging Market
Danışoğlu, Seza; Güner, Zehra Nuray (null; 2000-07-08)
Price limits are instituted to control the volatility of daily stock price movements through establishing price constraints and providing time for rational reassessment of investment decisions during times of panic trading. They function in a similar manner as the circuit breakers in the US exchanges. Advocates of price limits argue that establishing such limits will not interfere with trading activity on an exchange. On the other hand, opponents of price limits assert that these limits can be the source of...
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
Kocaarslan, BARIŞ; Sarı, Ramazan; GORMUS, Alper; Soytaş, Uğur (2017-09-01)
This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our res...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
A. Başer, “ Effects of opening trading mechanism and information flow on return volatility: additional evidence from the Istanbul Stock Exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2009.
