The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market-Reference-Cited by-同舟云学术

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

Published:2011-11 Issue:6 Volume:47 Page:99-119
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Baklaci Hasan F.¹,Tunc Gokce²,Aydogan Berna²,Vardar Gulin²

Affiliation:

1. a Department of International Trade and Finance, Izmir University of Economics in Izmir, Turkey

2. b Department of International Trade and Finance, Izmir University of Economics, Izmir, Turkey

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X470606

Reference46 articles.

1. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior;A. Almeida;Journal of Financial and Quantitative Analysis,1998

2. Intraday Periodicity and Volatility Persistence in Financial Markets;T. Andersen;Journal of Empirical Finance,1997

3. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange;T. Andersen;American Economic Review,2003

4. Kurtosis of GARCH and Stochastic Volatility Models with Non-Normal Innovations;X. Bai;Journal of Econometrics,2003

5. Balaban, E.; H. B. Candemir; and K. Kunter. 1996. "Stock Market Efficiency in a Developing Economy: Evidence from Turkey." Discussion Paper no. 9612, Central Bank of the Republic of Turkey Research Department, Ankara.

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