The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence From the Turkish Stock Market
| dc.contributor.author | Baklaci, Hasan F. | |
| dc.contributor.author | Tunc, Gokce | |
| dc.contributor.author | Aydogan, Berna | |
| dc.contributor.author | Vardar, Gulin | |
| dc.date.accessioned | 2023-06-16T14:40:40Z | |
| dc.date.available | 2023-06-16T14:40:40Z | |
| dc.date.issued | 2011-11 | |
| dc.description.abstract | 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. | en_US |
| dc.identifier.doi | 10.2753/REE1540-496X470606 | |
| dc.identifier.issn | 1540-496X | |
| dc.identifier.issn | 1558-0938 | |
| dc.identifier.scopus | 2-s2.0-84856434580 | |
| dc.identifier.uri | https://doi.org/10.2753/REE1540-496X470606 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/2440 | |
| dc.language.iso | en | en_US |
| dc.publisher | Routledge Journals, Taylor & Francis Ltd | en_US |
| dc.relation.ispartof | Emergıng Markets Fınance And Trade | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | informational efficiency | en_US |
| dc.subject | public news | en_US |
| dc.subject | trading volume | en_US |
| dc.subject | volatility persistence | en_US |
| dc.subject | Information Arrival | en_US |
| dc.subject | Volatility | en_US |
| dc.subject | Exchange | en_US |
| dc.subject | Volume | en_US |
| dc.subject | Variance | en_US |
| dc.subject | Limits | en_US |
| dc.subject | Garch | en_US |
| dc.title | The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence From the Turkish Stock Market | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
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| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.collaboration.industrial | false | |
| gdc.description.department | İEÜ, İşletme Fakültesi, Uluslararası Ticaret ve Finansman Bölümü | en_US |
| gdc.description.departmenttemp | [Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, Gulin] Izmir Univ Econ, Dept Int Trade & Finance, Izmir, Turkey | en_US |
| gdc.description.endpage | 119 | en_US |
| gdc.description.issue | 6 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 99 | en_US |
| gdc.description.volume | 47 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W2017231180 | |
| gdc.identifier.wos | WOS:000299858100007 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
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| gdc.scopus.citedcount | 8 | |
| gdc.virtual.author | Baklacı, Hasan Fehmi | |
| gdc.virtual.author | Vardar, Gülin | |
| gdc.virtual.author | Aydoğan, Berna | |
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