The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market

被引：5
|
作者：
Baklaci, Hasan F. [1 ]
Tunc, Gokce [1 ]
Aydogan, Berna [1 ]
Vardar, Gulin [1 ]
机构：
[1] Izmir Univ Econ, Dept Int Trade & Finance, Izmir, Turkey
来源：
EMERGING MARKETS FINANCE AND TRADE | 2011年 / 47卷 / 06期
关键词：
GARCH; informational efficiency; public news; trading volume; volatility persistence; INFORMATION ARRIVAL; VOLATILITY; EXCHANGE; VOLUME; VARIANCE; LIMITS; GARCH;
D O I：
10.2753/REE1540-496X470606
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：99 / 119
页数：21
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