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Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey

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  • Ali Kutan
  • Tansu Aksoy

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  • Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer;Western Finance Association, vol. 23(3), pages 225-239, June.
    • Handle: RePEc:kap:jfsres:v:23:y:2003:i:3:p:225-239
    DOI: 10.1023/A:1024671612784
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    1. Basci, Erdem & Ozyildirim, Suheyla & Aydogan, Kursat, 1996. "A note on price-volume dynamics in an emerging stock market," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 389-400, March.
    2. Evans, Martin D D & Lewis, Karen K, 1995. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Journal of Finance, American Finance Association, vol. 50(1), pages 225-253, March.
    3. Berry, Thomas D & Howe, Keith M, 1994. "Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-1346, September.
    4. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    5. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 33-55, March.
    6. Karfakis, Costas & Kim, Suk-Joong, 1995. "Exchange rates, interest rates and current account news: some evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 575-595, August.
    7. Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July.
    8. Evans, Martin & Wachtel, Paul, 1992. "Interpreting the Movements in Short-Term Interest Rates," The Journal of Business, University of Chicago Press, vol. 65(3), pages 395-429, July.
    9. Melvin, Michael & Yin, Xixi, 2000. "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Economic Journal, Royal Economic Society, vol. 110(465), pages 644-661, July.
    10. Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 23-35, March.
    11. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    12. Hakan Berument & Kamuran Malatyali, 1999. "Determinants of interest rates in Turkey," Discussion Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    13. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    14. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
    15. Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, vol. 90(3), pages 566-576, May.
    16. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1998. "Is There Private Information in the FX Market? The Tokyo Experiment," Journal of Finance, American Finance Association, vol. 53(3), pages 1111-1130, June.
    17. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. "Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
    18. Riza Demirer & M. Baha Karan, 2002. "An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 38(6), pages 47-77, December.
    19. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
    20. Nicole Davis & Ali Kutan, 2003. "Inflation and output as predictors of stock returns and volatility: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 693-700.
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    Cited by:

    1. Sin-Yu Ho, 2018. "Macroeconomic determinants of stock market development in South Africa," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 14(2), pages 322-342, December.
    2. Sin-Yu Ho & Bernard Njindan Iyke, 2017. "Determinants of stock market development: a review of the literature," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(1), pages 143-164, March.
    3. Sin-Yu Ho & Nicholas M. Odhiambo, 2019. "The macroeconomic drivers of stock market development: evidence from Hong Kong," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(2), pages 185-207, July.
    4. Aigbe Akhigbe & Bhanu Balasubramnian & Ann Marie Whyte, 2020. "Foreign Exchange Manipulation and the Equity Returns of Global Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(2), pages 207-230, April.
    5. Mai, Nhat Chi, 2022. "Tác động của lạm phát đến hoạt động của thị trường chứng khoán ở Việt Nam: Kiểm chứng bằng mô hình GARCH," OSF Preprints azcqd, Center for Open Science.
    6. Aktürk, Halit, 2016. "Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 230-246.
    7. John H. Boyd & Bruce A. Champ, 2003. "Inflation and financial market performance: what have we learned in the last ten years?," Working Papers (Old Series) 0317, Federal Reserve Bank of Cleveland.
    8. Candauda Arachchige Saliya, 2022. "Stock market development and nexus of market liquidity: The case of Fiji," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4364-4382, October.
    9. Mehdian, Seyed & Nas, Tevfik & Perry, Mark J., 2008. "An examination of investor reaction to unexpected political and economic events in Turkey," Global Finance Journal, Elsevier, vol. 18(3), pages 337-350.
    10. Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from South Africa," MPRA Paper 76493, University Library of Munich, Germany.
    11. Sangram K. Jena, 2016. "Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market," Vision, , vol. 20(2), pages 101-110, June.
    12. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.
    13. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    14. Dragos Stefan Oprea, 2014. "The Fisher effect: Evidence from the Romanian Stock Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 637-644, May.
    15. Mehmet Asutay & Primandanu Febriyan Aziz & Banjaran S. Indrastomo & Yusuf Karbhari, 2023. "Religiosity and Charitable Giving on Investors’ Trading Behaviour in the Indonesian Islamic Stock Market: Islamic vs Market Logic," Journal of Business Ethics, Springer, vol. 188(2), pages 327-348, November.

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