An Analysis of Intraday Data on Borsa Istanbul

Murat Çinko, Emin Avcı, Aslı Aybars and Mehtap Öner
Additional contact information
Murat Çinko: Marmara University
Emin Avcı: Marmara University
Aslı Aybars: Marmara University
Mehtap Öner: Marmara University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2015, vol. 30, issue 103, 142-155

Abstract: Calendar anomalies (day of the week effect, January effect, month effect) are the most frequently encountered cases for the rejection of price unpredictability suggested by Efficient Market Hypothesis in finance literature. Evaluation of intraday data is not only important for understanding the hourly movement of returns but also learning the structure of standard deviation. This study analyses the structure of intraday returns and their standard de¬viations within 15 minute time frames for BIST 100. Because the transaction times were changed on 10 June 2013, the dataset co¬vers 5954 observations belonging to the period between 11 June 2013 and 28 May 2014. The findings as to standard deviations demonstrate J type and W type structures in the first and second sessions, respectively.

Keywords: Intraday data; Efficient Market Hypothesis; Borsa Istanbul; Volatility (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/296222 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:30:y:2015:i:103:p:142-155

DOI: 10.33203/mfy.307955

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().