The speed of stock price adjustment to corporate announcements: Insights from Turkey
Serif Aziz Simsir,
Koray D. Simsek and
Emerging Markets Review, 2021, vol. 47, issue C
The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.
Keywords: Speed of stock price response; Corporate announcements; High frequency trading; Event study (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872
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