THE IMPACT OF DOMESTIC AND FOREIGN MACROECONOMIC NEWS ON STOCK MARKET VOLATILITY: ISTANBUL STOCK EXCHANGE | Zendy

Gülüzar Kurt Gümüş | Zendy; A. Tülay Yücel | Zendy; Deniz Karaoğlan | Zendy; Şaban Çeli̇k | Zendy

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THE IMPACT OF DOMESTIC AND FOREIGN MACROECONOMIC NEWS ON STOCK MARKET VOLATILITY: ISTANBUL STOCK EXCHANGE

Author(s) -

Gülüzar Kurt Gümüş,

A. Tülay Yücel,

Deniz Karaoğlan,

Şaban Çeli̇k

Publication year - 2011

Publication title -

bogazici journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.102

H-Index - 4

ISSN - 1300-9583

DOI - 10.21773/boun.25.1.5

Subject(s) - volatility (finance) , stock market , stock exchange , monetary economics , stock market volatility , stock (firearms) , stock market bubble , business , economics , foreign exchange , financial economics , foreign exchange market , international economics , finance , geography , context (archaeology) , archaeology

The purpose of the present paper is to examine the impact of domestic and foreign macroeconomic news announcements on the Istanbul Stock Exchange for the period between 2002 and 2010. The market reaction to the news announcements is tested within a research window through which the reaction can be filtered. The results indicate that foreign announcements do not have a significant effect, whereas domestic announcements are responsible for observed volatility in the market. In other words, within two consecutive sessions after the news is released, the market shows a marked reaction to the news.

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