Intraday patternes in Istanbul Stock Exchange index and effect of public information on return volatility
İMKB endeksinin güniçi davranışı ve haberlerin volatilite üzerindeki etkisi
- Tez No: 368578
- Danışmanlar: PROF. DR. MİNE UĞURLU
- Tez Türü: Doktora
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2000
- Dil: İngilizce
- Üniversite: Boğaziçi Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Finans Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 128
Özet
Özet yok.
Özet (Çeviri)
The operations of the financial markets have changed considerably in the recent years as a consequence of the advances in the computers and communications technology. Researchers that are trying to understand the workings of these financial markets have made extensive use of highfrequency intraday data for evaluating the behavior of returns and return volatility. This study analyzes the behavior of the Istanbul Stock Exchange (ISE) market index return and return volatility and evaluates the effect of public information flow on market return volatility. Five-minute intraday intervals are considered for the comparative evaluation of the intraday patterns in market return and return volatility of six ISE indices. Additionally, Analysis of Variance (AN OVA) is conducted to test the interaction between the“day of the week effect”and“time of the day effect”by using 15-minute intraday intervals. The Reuters news available in Turkey is used as a proxy for public information flow. Regression analysis is performed to measure the contemporaneous, leading and lagging relationship between various news categories and intraday return volatility. Findings of the study indicate that there is a distinctive pattern in the behavior of the intraday market return volatility, but no observable pattern in intraday returns. ANOVA results indicate that there is no interaction between day of the week effect and time of the day effect. Moreover, the mean intraday returns and intraday return volatility are found to be equal across days of the week, but not equal across intraday intervals. Regarding the relationship between news and return volatility, regression results indicate that contemporaneous effect of news is the most prominent effect.
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