Information and volatility - Evidence from an emerging market

Date

2002-11-01

Author

Güner, Zehra Nuray

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

208
views

0
downloads

This study examines the volatility of daily stock returns and the volatility of returns during trading and non-trading hours for securities trading on the Istanbul Stock Exchange. Some unique characteristics of this exchange enable its to examine the reasons for the high volatility during trading hours. First, the price-determination procedure at the opening is the same as the pricing mechanism used during the rest of the day. Second, there is no specialist or market maker who sets prices. Third, there is a two-hour day break in trading during a business day. The volatility of daily return calculated from opening prices is found to be significantly higher than those calculated from closing prices in this market setting as well. Volatility of returns during trading periods is found to be higher than those during non-trading periods. Furthermore, per-hour volatility during the day break is higher than per-hour volatility during the night break. Findings of this study, have some implications for the role of market maker and the impact of timing and length of a break in trading on the volatility of security returns.

Subject Keywords

Volatility, Trading and non-trading hours, Istanbul Stock Exchange, Emerging markets, Automated order-matching system

URI

https://hdl.handle.net/11511/53512

Journal

EMERGING MARKETS FINANCE AND TRADE

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

How does the stock market volatility change after inception of futures trading? Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007) As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Stock market liquidity analysis: evidence from the İstanbul Stock Exchange Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011) The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
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...
Return performance of insider transactions: evidence from the istanbul stock exchange Tahaoğlu, Çağdaş; Güner, Zehra Nuray; Department of Business Administration (2009) The aim of this master’s thesis is to estimate the return performance of insiders (persons or firms liable for announcing their transactions to the public in accordance with the Capital Markets Board decrees) from their transactions and assess whether outsiders can earn abnormal returns by following reported insider transactions. In the study, Rolling Portfolio Approach has been implemented. As a result of the analysis made, when the purchases and sales of insiders are considered together, it has been obser...
Cross sectional determinants of Turkish stock market returns Çeliker, Umut; Rhoades, Seza; Department of Business Administration (2004) This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.

Citation Formats

Z. N. Güner, “Information and volatility - Evidence from an emerging market,” EMERGING MARKETS FINANCE AND TRADE, pp. 26–46, 2002, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/53512.