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Intraday Return and Volatility Structures in Borsa Istanbul and the Impact of Opening and Closing Call Auction Sessions

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  • Eyup KADIOGLU
  • Guray KUCUKKOCAOGLU

Abstract

In this study, intraday return and volatility structuresareresearched in Borsa Istanbul using 102 shares in different indexes while focusing on the period between November 1, 2006 – May 31, 2012 by using 15-minute returns. Additionally, the effect of opening and closing call sessions, implemented on February 2nd, 2007 and March 3rd, 2012 respectivelyto reduce extraordinary price movement and ensure more effective price formation, on these structures are analyzed. For this purpose, the difference in the average and standard deviation of the 15- minute returns in the period before and after the implementation of call sessions are tested.Due to two separate trading sessions, the intraday return structure fits the double “U” form,the volatility structure fits the “L” form andboth are consistent with the literature. Implementation of opening and closing call sessions significantly affected the structure of return and volatility at the opening time of the first session and closing time of the second session.Implementation of opening call session significantly decreased average returnmeanwhile increased volatility during the opening time of the first session. Implementation of closing call session significantly decreased the average return in the closing time of the second session and the volatility in the opening time of the first session.

Suggested Citation

  • Eyup KADIOGLU & Guray KUCUKKOCAOGLU, 2015. "Intraday Return and Volatility Structures in Borsa Istanbul and the Impact of Opening and Closing Call Auction Sessions," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 9(1), pages 103-126.
    • Handle: RePEc:bdd:journl:v:9:y:2015:i:1:p:103-126
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    Citations

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    Cited by:

    1. Kadıoğlu, Eyüp & Frömmel, Michael, 2022. "Manipulation in the bond market and the role of investment funds: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    2. Imisiker, Serkan & Tas, Bedri Kamil Onur, 2018. "Wash trades as a stock market manipulation tool," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 92-98.
    3. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.

    More about this item

    Keywords

    Intraday Return; Intraday Volatility; Closing Price; Call Auction;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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