The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach

Serkan Çankaya, Veysel Ulusoy and Eken, Hasan/M.

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates intraday effects in the Istanbul Stock Exchange (ISE) during the latest period of financial turmoil which began in August 2007 and extended to February 2010. We tested for the possible existence of intraday anomalies using both return and volatility equations, empirically applying GARCH (p,q) models. The unique data set we utilized was compiled from 15-min intraday values of the ISE-100 Index which are formed by averaging historical ten-second tick data. This study contributes to the current literature in three distinct ways. Firstly, the basic characteristics of the unique data used in this research were investigated in detail. Secondly, four range-based volatility measures, namely Garman Klass (GK), Yang-Zhang (YZ), Rogers-Satchell (RS) and Parkinson (PK), were employed to take more precise measurements of volatility for intraday data analysis in order to identify the changes in general market sentiment using opening, closing, high and low prices. Thirdly, we estimated the relative efficiency of GK, YZ, RS and PK by applying GARCH (p,q) models. The results are quite promising, indicating that strong opening price jumps are present for daily and morning calculations. They illustrate that the YZ estimator has relatively more power in generating tolerable volatility patterns.

Keywords: Intraday volatility; GARCH; Istanbul Stock Exchange (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2011-04-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in African Journal of Business Management 16.5(2011): pp. 7017-7030

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/43656/1/MPRA_paper_43656.pdf original version (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:pra:mprapa:43656

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().