Macroeconomic announcements and intraday stock market volatility

Download
2017
Yılmaz, Berna Nisa
This study examines the effects of interest and inflation rate announcements on stock market volatility by using a standard event study methodology. The BIST-30 Index volatility is modelled and forecasted by the multiplicative component GARCH model. This is one of the first studies where the announcement effects are analyzed on the basis of volatility forecasts produced by the multiplicative component GARCH. The announcement effects are observed clearly with the advantage of using high-frequency data. While the market reacts to inflation rate announcements during the first 5 minutes following the announcement, the market reaction to interest rate announcements is observed 15 minutes later and lasts longer. In addition, empirical findings suggest that the market's reaction to unfavorable interest rate surprises is longer than the reaction to favorable surprises. The thesis ends with a conclusion and an outlook to future studies and applications. 

Suggestions

Macroeconomic and institutional determinants of current account deficits
Ozmen, E (Informa UK Limited, 2005-07-15)
This study empirically investigates the effects of institutional and macroeconomic policy variables on current account deficits (CAD). Based on cross-section data for a broad number of countries, the results suggest that better governance increases whilst 'original sin' decreases the ability of an economy to sustain CAD. Exchange rate flexibility and openness appear to put a discipline on CAD. Consistent with the equity home bias and Feldstein-Horioka puzzle, CAD decrease with country size. The net impacts ...
Foreceasting BIST-100 price index
Yetginer, Buğra; Yıldırım Kasap, Dilem; Department of Economics (2017)
The ultimate goal of this study is to forecast the BIST-100 Price Index using its mostly significative macroeconomic and financial determinants. For this aim, we have adopted an exhaustive search algorithm which takes the advantage of theoretical candidate variables to find the possible effects of these variables on the BIST-100 Price Index. The algorithm, which is built in the form of linear ARIMAX models, is to exploit every possible combination of explanatory variables to capture the behaviour of the ind...
Financial crises and the nature of correlation between commodity and stock markets
ÖZTEK, MEHMET FATİH; Öcal, Nadir (2017-03-01)
This paper models time-varying correlations between commodity and stock markets to uncover the dynamic nature of correlations during the financialization of commodity markets and in the aftermath of the recent financial crisis. Particularly, we search for upward trends in correlations and investigate the impacts of global and market volatility, and the news from the markets on the time-varying structure of correlations. The focus is on two commodity sub-indices; agricultural commodity and precious metal. Ne...
Stochastic volatility, a new approach for vasicek model with stochastic volatility
Zeytun, Serkan; Hayfavi, Azize; Department of Financial Mathematics (2005)
In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The para...
Term structure of government bond yields : a macro-finance approach
Artam, Halil; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2006)
Interactions between macroeconomic fundamentals and term structure of interest rates be stronger according to the way of changes in structure of worldwide economy. Combined macro-finance analysis determines the joint dynamics of term structure of interest rates and macroeconomic fundamentals. This thesis provides analysis of two existing macro-finance models and an original one. Parameter estimations for these three macro-finance term structure models are done for monthly Turkish data by use of an efficient...
Citation Formats
B. N. Yılmaz, “Macroeconomic announcements and intraday stock market volatility,” M.S. - Master of Science, Middle East Technical University, 2017.