Public Information Arrival and Emerging Markets Returns and Volatility

Ali Kutan and Tansu Aksoy
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Tansu Aksoy: Southern Illinois University-Edwardsville, U.S.A.

Multinational Finance Journal, 2004, vol. 8, issue 3-4, 227-245

Abstract: Recent findings have heightened the debate about the usefulness of public information in asset markets. Using daily composite and sector index returns, this paper examines the role of public information arrival in an emerging, high-inflation economy like Turkey. The findings reveal that real GDP and industrial production announcements have the most important impact on stock returns. Regarding inflation, nominal stock returns increase in response to unfavorable inflation announcements, but only for the financials sector and partially. Market volatility is more sensitive to news about real GNP, balance of trade, tourism and construction. Implications of the findings for market participants are discussed.

Keywords: emerging markets; GARCH models; stock market volatility (search for similar items in EconPapers)
JEL-codes: E6 F3 G2 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:8:y:2004:i:3-4:p:227-245

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