The Speed of Stock Price Adjustment To Corporate Announcements: Insights From Turkey
| dc.contributor.author | Ersan, Oğuz | |
| dc.contributor.author | Şimşir, Serif Aziz | |
| dc.contributor.author | Şimsek, Koray D. | |
| dc.contributor.author | Afan, Hasan | |
| dc.contributor.author | Hasan, Afan | |
| dc.date.accessioned | 2021-01-28T12:45:36Z | |
| dc.date.available | 2021-01-28T12:45:36Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies. | en_US |
| dc.description.sponsorship | We gratefully acknowledge helpful feedback and comments from the Editor, two anonymous referees, Nihat Aktas, Yigit Atilgan, Turan Bali, Cumhur Ekinci, Badrinath Kottimukkalur, Nejat Seyhun and the participants at the Market Microstructure and Behavioral Finance Workshop at Istanbul Technical University (2019) and the 1 st Future of Financial Information Conference at Stockholm Business School (2019). We wish to thank Mustafa Oztekin for his generous research support. This research is funded by The Scientific and Technological Research Council of Turkey (Project Number 115K179 ). | |
| dc.description.sponsorship | Stockholm Business School; Türkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAK, (115K179); Türkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAK; Istanbul Teknik Üniversitesi, IT | |
| dc.identifier.doi | 10.1016/j.ememar.2020.100778 | en_US |
| dc.identifier.issn | 1566-0141 | |
| dc.identifier.issn | 1556-5068 | |
| dc.identifier.scopus | 2-s2.0-85096974112 | en_US |
| dc.identifier.uri | https://hdl.handle.net/20.500.12469/3785 | |
| dc.identifier.uri | https://doi.org/10.1016/j.ememar.2020.100778 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | SSRN Electronic Journal | |
| dc.rights | info:eu-repo/semantics/embargoedAccess | en_US |
| dc.subject | Corporate announcements | en_US |
| dc.subject | Event study | en_US |
| dc.subject | High frequency trading | en_US |
| dc.subject | Speed of stock price response | en_US |
| dc.title | The Speed of Stock Price Adjustment To Corporate Announcements: Insights From Turkey | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.institutional | Ersan, Oğuz | en_US |
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| gdc.description.department | Fakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümü | en_US |
| gdc.description.departmenttemp | [Ersan O.] Kadir Has University, Cibali Mah. Kadir Has Cad. Fatih, Istanbul, 34083, Turkey; [Simsir S.A.] Sabanci University, Universite Cad. No:27, Tuzla, Istanbul, 34956, Turkey; [Simsek K.D.] Rollins College, 1000 Holt Ave, Winter Park, 32789, FL, United States; [Hasan A.] Yildiz Technical University, Davutpasa Mah., Davutpasa Cad., Esenler, Istanbul, 34220, Turkey | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
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| gdc.description.volume | 47 | |
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| gdc.oaire.keywords | Event study | |
| gdc.oaire.keywords | High frequency trading | |
| gdc.oaire.keywords | Speed of stock price response | |
| gdc.oaire.keywords | Corporate announcements | |
| gdc.oaire.popularity | 7.31968E-9 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
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| gdc.relation.journal | Emerging Markets Review | |
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| gdc.virtual.author | Ersan, Oğuz | |
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