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The Effect of News on Return Volatility and Volatility Persistence: The Turkish Economy during Crisis

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  • M. Nihat Solakoglu
  • Nazmi Demir

Abstract

In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul. New information arrival is measured by the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. We classify news headlines by country and type of news. Our findings indicate that, during a recessionary period, new information arrival causes return volatility mostly to decline. Moreover, both economic news and European news cause a significant decline in volatility persistence. However, when news is classified based on origin and type, a larger decline in persistence is observed.

Suggested Citation

  • M. Nihat Solakoglu & Nazmi Demir, 2014. "The Effect of News on Return Volatility and Volatility Persistence: The Turkish Economy during Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(6), pages 249-263, November.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:6:p:249-263
    DOI: 10.1080/1540496X.2014.1013864
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    Cited by:

    1. 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.
    2. Ali M. Kutan & Yaz Gülnür Muradoğlu & Zhong Yu, 2016. "Worldwide impact of IMF policies during the Asian crisis: who does the IMF help, creditors or crisis countries?," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 19(2), pages 116-147, June.
    3. 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.

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