Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

A. Can Inci and Deniz Ozenbas

Emerging Markets Review, 2017, vol. 33, issue C, 79-89

Abstract: The implementation of a closing call auction on market quality and volatility is examined at Borsa Istanbul in Turkey. Using 5- and 15-minute intervals, we document the accentuated volatility after the open and before the close during the morning and afternoon sessions. We show that the implementation of a closing call decreases volatility accentuation just prior to the market close, and increases market quality. We also document the evolution of intraday volatility patterns at Borsa Istanbul using the longest to date high frequency dataset available, and show that volatility has been increasing over time, especially at the close.

Keywords: Market microstructure; Intraday volatility; Emerging markets; Borsa Istanbul; Call auction; Price discovery (search for similar items in EconPapers)
JEL-codes: D40 G14 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:33:y:2017:i:c:p:79-89

DOI: 10.1016/j.ememar.2017.09.002

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