THE IMPACT OF DOMESTIC AND FOREIGN MACROECONOMIC NEWS ON STOCK MARKET VOLATILITY ISTANBUL STOCK EXCHANGE
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Date
2011
Authors
GÜLÜZAR KURT GÜMÜŞ
Şaban ÇELİK
Deniz KARAOĞLAN
A TÜLAY YÜCEL
Journal Title
Journal ISSN
Volume Title
Publisher
Bogazici Universitesi
Open Access Color
Green Open Access
No
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No
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Average
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Average
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Average
Abstract
Bu çalışmanın amacı yerli (iç) ve yabancı (dış) makroekonomik haberlerin yayınlanmasının İstanbul Menkul Kıymetler Borsası üzerindeki etkisini 2002-2010 dönemi için incelemektir. Piyasanın haberlerin yayınlanmasına verdiği reaksiyonun filtrelenebildiği bir araştırma yöntemi çerçevesinde haberlerin yayınlanmasının etkisi test edilmiştir. Sonuçlar, dış haberlerin anlamlı bir etkisinin olmadığını diğer yandan iç haberlerin piyasa oynaklığını etkilediğini göstermektedir. Bir başka ifadeyle piyasa haber yayınlandıktan sonra birbirini takip eden iki seans içerisinde haberlere belirgin bir biçimde tepki göstermektedir
Description
Keywords
İktisat, Macroeconomic News Announcement, G14, Volatility, Emerging Markets, ISE. JEL Classification: E20
Fields of Science
0502 economics and business, 05 social sciences
Citation
Albuquerque R. and Vega C. (2009). “Economic News and International Stock Market CoMovement” Review of Finance 13: 401-465.Bollerslev T. Cai J. and Song F. (2000). “Intraday Periodicity Long Memory Volatility and Macroeconomic Announcement Effects in the US Treasury Bond Market” Journal of Empirical Finance 7: 37-55.Bomfim A.N. (2003). “Pre-Announcement Effects News Effects and Volatility: Monetary Policy and the Stock Market” Journal of Banking and Finance 27: 133-151.Boyd J.H. Hu J. and Jagannathan R. (2005). “The Stock Market’s Reaction to Unemployment News: Why Bad News is Usually Good for Stocks” Journal of Finance 60(2): 649-672.Cutler D.M. Poterba J.M. and Summers L.H. (1989). “What Moves Stock Prices?” Journal of Portfolio Management 15: 4-12.Foster F.D. and Viswanathan S. (1993). “Variations in Trading Volume Return Volatility and Trading Costs: Evidence on Recent Price Formation Models” Journal of Finance 48: 187-211.Graham M. Nikkinen J. and Sahlström P. (2003). “Relative Importance of Scheduled Macroeconomic News for Stock Market Investors” Journal of Economics and Finance 27(2): 153-165.Hardouvelis G.A. (1987). “Macroeconomic Information and Stock Prices” Journal of Economics and Business 39: 131-140.Kim O. and Verrecchia R. (1991). “Trading Volume and Price Reactions to Public Announcements” Journal of Accounting Research 29: 302-321.------ (1994). “Market Liquidity and Volume around Earnings Announcements” Journal of Accounting and Economics 17: 41-67.Kim S-J. (2003). “The Spillover Effects of US and Japanese Public Information News in Advanced Asia-Pacific Stock Markets” Pacific-Basin Finance Journal 11: 611-630.Kim S-J. McKenzie M.D. and Faff R. W. (2004). “Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond Stock and Foreign Exchange Markets” Journal of Multinational Financial Management 14: 217-232.McQueen G. and Roley V.V. (1993). “Stock Prices News and Business Conditions” The Review of Financial Studies 6(3): 683-707.Nikkinen J. Omran M. Sahlström P. and Aijö J. (2006). “Global Stock Market Reactions to Scheduled US Macroeconomic News Announcements” Global Finance Journal 17: 92-104.Nikkinen J. and Sahlström P. (2004). “Scheduled Domestic and US Macroeconomic News and Stock Valuation in Europe” Journal of Multinational Financial Management 14: 201-215.Oskooe S.A.P. (2010). “Emerging Stock Market Performance and Economic Growth” American Journal of Applied Sciences 7(2): 265-269.Pearce D.K. and Roley V.V. (1983). “The Reaction of Stock Prices to Unanticipated Changes in Money: a Note” Journal of Finance 38: 1323-1333.
WoS Q
Scopus Q
OpenCitations Citation Count
3
Source
Bogazici Journal: Review of Social, Economic and Administrative Studies
Volume
25
Issue
1
Start Page
123
End Page
137
PlumX Metrics
Citations
CrossRef : 5
Scopus : 4
Captures
Mendeley Readers : 12
SCOPUS™ Citations
4
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