Macroeconomic announcements and intraday stock market volatility

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.