Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14365/2440
Title: | The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence From the Turkish Stock Market | Authors: | Baklaci, Hasan F. Tunc, Gokce Aydogan, Berna Vardar, Gulin |
Keywords: | informational efficiency public news trading volume volatility persistence Information Arrival Volatility Exchange Volume Variance Limits Garch |
Publisher: | Routledge Journals, Taylor & Francis Ltd | 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. | URI: | https://doi.org/10.2753/REE1540-496X470606 https://hdl.handle.net/20.500.14365/2440 |
ISSN: | 1540-496X 1558-0938 |
Appears in Collections: | Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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