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The speed of stock price adjustment to corporate announcements: Insights from Turkey

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  • Ersan, Oguz
  • Simsir, Serif Aziz
  • Simsek, Koray D.
  • Hasan, Afan

Abstract

The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.

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  • Ersan, Oguz & Simsir, Serif Aziz & Simsek, Koray D. & Hasan, Afan, 2021. "The speed of stock price adjustment to corporate announcements: Insights from Turkey," Emerging Markets Review, Elsevier, vol. 47(C).
    • Handle: RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872
    DOI: 10.1016/j.ememar.2020.100778
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    Cited by:

    1. Aziz Simsir, Serif & Simsek, Koray D., 2022. "The market impact of private information before corporate Announcements: Evidence from Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).

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    More about this item

    Keywords

    Speed of stock price response; Corporate announcements; High frequency trading; Event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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