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Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

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  • Inci, A. Can
  • Ozenbas, Deniz

Abstract

The implementation of a closing call auction on market quality and volatility is examined at Borsa Istanbul in Turkey. Using 5- and 15-minute intervals, we document the accentuated volatility after the open and before the close during the morning and afternoon sessions. We show that the implementation of a closing call decreases volatility accentuation just prior to the market close, and increases market quality. We also document the evolution of intraday volatility patterns at Borsa Istanbul using the longest to date high frequency dataset available, and show that volatility has been increasing over time, especially at the close.

Suggested Citation

  • Inci, A. Can & Ozenbas, Deniz, 2017. "Intraday volatility and the implementation of a closing call auction at Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 33(C), pages 79-89.
    • Handle: RePEc:eee:ememar:v:33:y:2017:i:c:p:79-89
    DOI: 10.1016/j.ememar.2017.09.002
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    Cited by:

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    More about this item

    Keywords

    Market microstructure; Intraday volatility; Emerging markets; Borsa Istanbul; Call auction; Price discovery;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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