Information and volatility - Evidence from an emerging market

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.


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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...
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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...
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Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
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...
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: