The behaviour of the Istanbul Stock Exchange Market: An intraday volatility/return analysis approach

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dc.contributor.authorUlusoy, Veysel
dc.contributor.authorEken, M. Hasan
dc.contributor.authorCankaya, Serkan
dc.date.accessioned2024-03-13T10:33:40Z
dc.date.available2024-03-13T10:33:40Z
dc.date.issued2011
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThis 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 (p,q) 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.endpage7030en_US
dc.identifier.issn1993-8233
dc.identifier.issue16en_US
dc.identifier.startpage7017en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12662/4095
dc.identifier.volume5en_US
dc.identifier.wosWOS:000297623400037en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherAcademic Journalsen_US
dc.relation.ispartofAfrican Journal Of Business Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectIntraday volatilityen_US
dc.subjectGARCHen_US
dc.subjectIstanbul Stock Exchangeen_US
dc.titleThe behaviour of the Istanbul Stock Exchange Market: An intraday volatility/return analysis approachen_US
dc.typeArticleen_US

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