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An Analysis of Intraday Data on Borsa Istanbul

Author

Listed:
  • Murat Çinko

    (Marmara University)

  • Emin Avcı

    (Marmara University)

  • Aslı Aybars

    (Marmara University)

  • Mehtap Öner

    (Marmara University)

Abstract

Calendar anomalies (day of the week effect, January effect, month effect) are the most frequently encountered cases for the rejection of price unpredictability suggested by Efficient Market Hypothesis in finance literature. Evaluation of intraday data is not only important for understanding the hourly movement of returns but also learning the structure of standard deviation. This study analyses the structure of intraday returns and their standard de¬viations within 15 minute time frames for BIST 100. Because the transaction times were changed on 10 June 2013, the dataset co¬vers 5954 observations belonging to the period between 11 June 2013 and 28 May 2014. The findings as to standard deviations demonstrate J type and W type structures in the first and second sessions, respectively.

Suggested Citation

  • Murat Çinko & Emin Avcı & Aslı Aybars & Mehtap Öner, 2015. "An Analysis of Intraday Data on Borsa Istanbul," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 30(103), pages 142-155, April.
    • Handle: RePEc:acc:malfin:v:30:y:2015:i:103:p:142-155
    DOI: https://doi.org/10.33203/mfy.307955
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