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

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

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 43656.

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Date of creation: 17 Apr 2011
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Publication status: Published in African Journal of Business Management 16.5(2011): pp. 7017-7030
Handle: RePEc:pra:mprapa:43656

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Related research

Keywords: Intraday volatility; GARCH; Istanbul Stock Exchange;

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References

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Cited by:
  1. Çankaya, Serkan & Eken, Hasan/M. & Ulusoy, Veysel, 2011. "The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange," MPRA Paper 43658, University Library of Munich, Germany.

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