The Behaviour of the Istanbul Stock Exchange Market: an Intraday Volatility/Return Analysis Approach

dc.contributor.author Ulusoy, Veysel
dc.contributor.author Eken, Mehmet Hasan
dc.contributor.author Çankaya, Serkan
dc.date.accessioned 2019-06-27T08:04:39Z
dc.date.available 2019-06-27T08:04:39Z
dc.date.issued 2011
dc.description.abstract This study investigates intraday effects in the Istanbul Stock Exchange (ISE) during the latest period of financial turmoil which began in August 2007 and extended to February 2010. We tested for the possible existence of intraday anomalies using both return and volatility equations empirically applying GARCH (pq) models. The unique data set we utilized was compiled from 15-min intraday values of the ISE-100 Index which are formed by averaging historical ten-second tick data. This study contributes to the current literature in three distinct ways. Firstly the basic characteristics of the unique data used in this research were investigated in detail. Secondly four range-based volatility measures namely Garman Klass (GK) Yang-Zhang (YZ) Rogers-Satchell (RS) and Parkinson (PK) were employed to take more precise measurements of volatility for intraday data analysis in order to identify the changes in general market sentiment using opening closing high and low prices. Thirdly we estimated the relative efficiency of GK YZ RS and PK by applying GARCH (p q) models. The results are quite promising indicating that strong opening price jumps are present for daily and morning calculations. They illustrate that the YZ estimator has relatively more power in generating tolerable volatility patterns. en_US]
dc.identifier.citationcount 1
dc.identifier.doi 10.5897/AJBM11.672 en_US
dc.identifier.endpage 7030
dc.identifier.issn 1993-8233 en_US
dc.identifier.issn 1993-8233
dc.identifier.issue 16
dc.identifier.startpage 7017 en_US
dc.identifier.uri https://hdl.handle.net/20.500.12469/971
dc.identifier.uri https://doi.org/10.5897/AJBM11.672
dc.identifier.volume 5 en_US
dc.identifier.wos WOS:000297623400037 en_US
dc.institutionauthor Çankaya, Serkan en_US
dc.language.iso en en_US
dc.publisher Academic Journals en_US
dc.relation.journal African Journal of Business Management en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.subject Intraday volatility en_US
dc.subject Garch en_US
dc.subject Istanbul Stock Exchange en_US
dc.title The Behaviour of the Istanbul Stock Exchange Market: an Intraday Volatility/Return Analysis Approach en_US
dc.type Article en_US
dc.wos.citedbyCount 1
dspace.entity.type Publication

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
The behaviour of the Istanbul Stock Exchange Market An intraday volatilityreturn analysis approach.pdf
Size:
421.11 KB
Format:
Adobe Portable Document Format
Description: