Effect of Removing Lunch Break on Intraday Return, Volatility and Trading Volume in Debt Securities Market

Abstract

In this study, the effect of removing lunch break on August 1, 2019 in Borsa Istanbul Debt Securities Market, on intraday return, volatility and trading volume of government debt securities and intraday pattern in this market are analysed. To this end, for 15-minute intervals data of return, volatility and trading volume of 45 same day settlement government debt securities are used for the time period of May 02, 2019- October 31, 2019, which covers 3 months before and after of the removal. After the analyses, it was revealed that intraday volatility and average trading volume do form reverse J-shaped and L-shaped respectively. The removal of lunch break decreases intraday returns, increases average trade volume and reduces volatility. Although the change in the microstructure of the market improves the price discovery efficiency of underlying securities, the improvement is limited to opening transactions as compared to midday and closing time.

Keywords

• Borsa Istanbul Debt Securities Market
• Intraday Return
• Intraday Volatility
• Intraday Trading Volume
• Intraday Pattern
• Microstructure

BORÇLANMA ARAÇLARI PİYASASINDA ÖĞLE ARASININ KALDIRILMASININ GÜNİÇİ GETİRİ, VOLATİLİTE VE İŞLEM HACMİNE ETKİSİ

Abstract

Bu çalışmada, Borsa İstanbul Borçlanma Araçları Piyasası’nda 01.08.2019 tarihinden itibaren öğle arasının kaldırılmasının piyasada işlem gören devlet tahvillerinin güniçi getiri, volatilite ve işlem hacmine olan etkisi ve bu piyasadaki güniçi yapılar araştırılmıştır. Bu amaçla, öğle arasının kaldırılma tarihinin 3 ay öncesi ve sonrasını kapsayan 02.05.2019-31.10.2019 döneminde piyasada işlem gören aynı gün valörlü 45 devlet tahvilinin 15-dakikalık periyodlar için hesaplanan getiri, volatilite ve işlem hacmi verileri kullanılmıştır. Yapılan analizler sonucunda, güniçi volatilite ve ortalama işlem hacmi formunun sırasıyla ters “J” ve “L” harfi şeklinde olduğu, öğle arasının kaldırılmasının gün içi getiriyi azalttığı, ortalama işlem hacmini artırdığı ve volatiliteyi düşürdüğü bulunmuştur. Piyasanın mikro yapısında meydana gelen bu değişiklik, fiyat oluşum etkinliğini artırmış olmakla birlikte bu etkinlik artışının, açılış işlemlerinde gün ortası ve kapanışa göre daha sınırlı kaldığı tespit edilmiştir.

Keywords

• Borsa İstanbul Borçlanma Araçları Piyasası
• Güniçi Getiri
• Güniçi Volatilite
• Güniçi İşlem Hacmi
• Güniçi Yapılar

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