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.


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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.