Intraday price reversals with high frequency data : applied to BIST 100 index

Cingöz, Fatih
Investors are willing to exploit opportunities to earn abnormal profits. Event studymethodology has received considerable attention to catch these opportunities. How-ever, the literature dealing with short-term reactions to large price movements isquite small regarding emerging markets because of difficulties in collecting intra-day dataset. In this thesis, we contribute to the literature by providing evidence aboutthe existence of overreaction and intraday reversal effect over a 13-year period froman emerging market. The Istanbul Stock Exchange National 100 Index XU100 (BIST100) is chosen for the analyses. The event set includes the days that experience pricechanges exceeding a prespecified threshold at the market open, and hypotheses of theresults are tested using various statistical tests. The results document that overreac-tion in the market lasts only for a few minutes, and reversal happens after the secondminute of the trading day. Additionally, our long-term investigation shows evidencein favor of major magnitudes of reversal as threshold levels rise, consistent with theprevious findings in reversal literature.
Citation Formats
F. Cingöz, “Intraday price reversals with high frequency data : applied to BIST 100 index,” M.S. - Master of Science, Middle East Technical University, 2021.