The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market
This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. Fo...
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| Veröffentlicht in: | Emerging markets finance & trade 2011-11, Vol.47 (6), p.99-119 |
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| container_title | Emerging markets finance & trade |
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| creator | Baklaci, Hasan F. Tunc, Gokce Aydogan, Berna Vardar, Gulin |
| description | This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders. |
| doi_str_mv | 10.2753/REE1540-496X470606 |
| format | Article |
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The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. 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When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders.</description><subject>Coefficients</subject><subject>Emerging markets</subject><subject>Finance</subject><subject>GARCH</subject><subject>informational efficiency</subject><subject>Investors</subject><subject>Prices</subject><subject>Public information</subject><subject>public news</subject><subject>Rates of return</subject><subject>Securities markets</subject><subject>Statistical variance</subject><subject>Stochastic models</subject><subject>Stock exchanges</subject><subject>Stock markets</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Trade finance</subject><subject>trading volume</subject><subject>Volatility</subject><subject>volatility persistence</subject><issn>1540-496X</issn><issn>1558-0938</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><recordid>eNp9kFtLwzAYhosoOKd_QBACXleTJmlawQuZmw484SZ4F9IcWNa1mUnm2L-3Y0PvvHo_eA8fPElyjuBVxii-fh8OESUwJWX-SRjMYX6Q9BClRQpLXBxu7717nJyEMIcQFRgVvaSezjQYN0shI3AGjKxv0slSS2usBG-ratHJi14H4FowbqMXSmzAs_C1juB-04rGynADht9W6VZqYLxrQOwmpytf2zADk-hkvS-cJkdGLII-22s_-RgNp4PH9On1YTy4e0olQTSmSClClIal0bLIS6UqlpmKIaSLjIgCsgxRqFjFqKK6lEZTwoQ2uAvTvCAa95PL3e7Su6-VDpHP3cq33UveISEYEcxQl8p2KeldCF4bvvS2EX7DEeRbqHwPlf9B7UoXu9I8ROd_GwRhggnBnX-7821rnG_E2vmF4lFsFs4bL1ppA8f_7P8AThCHmw</recordid><startdate>20111101</startdate><enddate>20111101</enddate><creator>Baklaci, Hasan F.</creator><creator>Tunc, Gokce</creator><creator>Aydogan, Berna</creator><creator>Vardar, Gulin</creator><general>Routledge</general><general>M. 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| source | Jstor Complete Legacy; Business Source Complete |
| subjects | Coefficients Emerging markets Finance GARCH informational efficiency Investors Prices Public information public news Rates of return Securities markets Statistical variance Stochastic models Stock exchanges Stock markets Stock prices Studies Trade finance trading volume Volatility volatility persistence |
| title | The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market |
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