Economics at your fingertips  

The speed of stock price adjustment to corporate announcements: Insights from Turkey

Oguz Ersan, Serif Aziz Simsir, Koray D. Simsek and Afan Hasan

Emerging Markets Review, 2021, vol. 47, issue C

Abstract: 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)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

DOI: 10.1016/j.ememar.2020.100778

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-09-25
Handle: RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872