BibTex RIS Kaynak Göster

Borsa İstanbul'da Güniçi Getiri ve Volatilite Yapısı ile Tek Fiyatlı Açılış ve Kapanış Seanslarının Etkisi

Yıl 2015, Cilt: 9 Sayı: 1, 103 - 126, 01.06.2015

Öz

Bu çalışmada, 01.11.2006-31.05.2012 döneminde farklı endekslerde yer alan 102 adet hisse senedinin 624 güne ait 15 dakikalık getirileri analiz edilerek Borsa İstanbul'da gün içi getiri ve volatilite yapısı araştırılmıştır. Ayrıca seans açılış ve kapanışlarında görülen olağanüstü fiyat hareketlerinin azaltılması ve daha etkin fiyat oluşumunun sağlanması amacıyla 02.02.2007 ve 02.03.2012 tarihlerinde sırasıyla yürürlüğe giren tek fiyatlı açılış ve kapanış seanslarının bu yapılara etkileri analiz edilmiştir. Bu amaçla uygulama öncesi ve sonrası 15 dakikalık getirilere ait ortalama ve standart sapmanın farklı olup olmadıkları test edilmiştir. Borsa İstanbul'un gün içi getiri yapısının genel literatüre paralel olarak çift seans uygulaması nedeniyle çift “U” formunda ve gün içi volatilite yapısının ise “L” formunda olduğu tespit edilmiştir. Tek fiyatlı açılış ve kapanış seansları gün içi getiri yapısını birinci seans açılışında ve ikinci seans kapanışında istatistiksel olarak anlamlı bir şekilde etkilemiştir. Tek fiyatlı açılış seansıyla birlikte birinci seans açılışındaki ortalama getiride anlamlı bir düşüş ve volatilitede anlamlı bir artış olmuştur. Tek fiyatlı kapanış seansı uygulaması ise ikinci seans kapanışındaki ortalama getiride ve birinci seans açılışındaki volatilitede anlamlı bir düşüşe neden olmuştur

Kaynakça

  • Admati, A. ve Pfeiderer, P. 1988. A Theory of Intraday Patterns: Volume and Price Variability. The Review of Financial Studies.1:3-40.
  • Amihud, Y. ve Mendelson, H. 1987. Trading mechanisms and stock returns: an empirical investigation. Journal of Finance. 42: 533–555.
  • Amihud, Y., Mendelson, H. ve Murgia, M. 1990. Stock market microstructure and return volatility Evidence from Italy. Journal of Bankingand Finance.14:423-440.
  • Andersen, T.G., Bollerslev, T. ve Cai, J. 2000. Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets.10:107-130.
  • Bildik, R. 2001. Intra-day seasonalities on stockreturns : evidence from the Tur- kish stock market. Emerging Market Review.2:387-417.
  • Chang, K.C., Fong, W., Kho, B. ve Stulz, R.M. 1996. Information, trading and- stock returns: Lessons from dually-listed securities. Journal of Banking and Finan- ce.20:1161-1187.
  • Chan, K.C., W. G. Christie. ve P. H. Schultz. 1995. Market structure and the intraday pattern of bid-ask spreads for NASDAQ Securities. Journal of Business. 68(1):35-60.
  • Cheung, Y. L. 1995. Intraday return and the day end effect: Evidence from the Hong Kong equity market. Journal of Business Finance and Accounting. 22 (7): 1023-1034.
  • Choe, H. ve Shin, H.1993. An analysis of interday and intraday return Volatility: evidence from the Korean Stock Exchange. Pacific-Basin Finance Journal. 175- 188.
  • Comerton, F. C. 1999. Do trading rules impact on market efficiency? A com- parison of opening procedures on the Australian and Jakarta Stock Exchanges. Pacific-Basin Finance Journal. 7: 495–521.
  • Copeland, L. ve Jones, S.A. 2000. Intradaily Patterns in Two Asian Index Futures Markets: Korea and Hong Kong. EFMA-2000’de sunulmuş olan tebliğ. Atina.
  • Eaves, J. ve Wiliam, J. 2010. Are Intraday Volume And Volatility U-Shaped After Accounting For Public Information? Agricultural and Applied Economics. 92(1): 212–227.
  • Ekman, P. D. 1990. Intraday and Weekly Patterns in the IMM Eurodollar Futu- res Market: Marketplace and Marketwlde Effects, Working Paper, Kansas State University.
  • Ekman, P. D. 1992 Intraday Patterns in the S&P 500 Index Futures Market. The- Journal of Futures Markets.12:365-382.
  • Ferguson, M., Mann, S. C, ve Schneck, L. 1993. Concentrated Trading in the Foreign Exchange Futures Markets: Discretionary Liquidity Trading or Market Closure?, Working Paper. Commodity Futures Trading Commission.
  • Foster, F.D. ve Viswanathan, S. 1993. Variations in trading volume, return vola- tility, and trading costs: evidence on recent price formation models. Journal of Finance.48:187-211.
  • Frino, A., Lau, S.T. ve McInish, T. 1996. What is the best way of opening an electronic market? ASX Perspective 1st Quarter: 48–51.
  • George, T.J. ve Hwang, C.-Y. 2001. Information flow and pricing errors: a unified approach to estimation and testing. Review of Financial Studies. 14: 979–1020.
  • Harris, L. 1986. A transactions data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics. 16:99-117.
  • Harris, L. 1989. A Day-end transaction price anomaly. Journal of Financial and Quantitative Analysis. 24: 29-45.
  • Hillion, P. ve Suominen, M. 1998a. Deadline effect of an order driven market: an analysis of the last trading minute on the Paris Bourse. Yayınlanmamış Çalışma. INSEAD
  • Hong, H. ve Wang, J. 2000. Trading and Returns Under Periodic Market Closu- res. Journal of Finance. 55: 297-354.
  • Huang, Y. ve Tsai P. 2008. Effectiveness of Closing Call Auctions: Evidence from the Taiwan Stock Exchange. Emerging Markets Finance and Trade. 44(3):5–20.
  • Huang, Y., S., D. Y. Liu, ve T. W. Fu. 2000. Stock price behavior over trading and nontrading periods: Evidence from the Taiwan stock exchange. Journal Business and Financial Accounting. 27 (5): 575-602.
  • BİST. 2011. Sermaye Piyasası ve Borsa Temel Bilgiler Kılavuzu, 17. Baskı, BİST Yayınları, İstanbul
  • Jain, P.C. ve Joh, G.H. 1988. The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis. 23: 269-283.
  • Jang, H. ve Lee, J. 1993. Intraday behavior of the bid-ask spread and related trading variables, Yayınlanmamış Çalışma. University of Oklahoma.
  • Jordan, J. V, Seale, W. E,.Dinehart, S. J., ve Kenyon. D. E. 1988. The Intraday Variability of Soybean Futures Prices: Information and Trading Effects. Review of Futures Markets. 7:96-109.
  • Köksal, B.. 2012. An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange, BDDK Bankacılık ve Finansal Piyasalar, 6(2):51-84
  • Kudryavtsev, A. 2012. Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns? Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences. 7(3):58-73.
  • Küçükkocaoğlu, G. 2005a. Borsa İstanbul’da Gün İçi Getiri, Volatilite ve Kapanış Fiyatı Manipülasyonu. Sermaye Piyasası Kurulu. Yayın No: 180. Ankara.
  • Küçükkocaoğlu, G. 2005b. Elektronik Emir İletim Sistemi’nin İstanbul Menkul Kıymetler Borsası’nın Mikroyapısı Üzerine Etkisi. İşletme ve Finans Dergisi. 232.
  • Küçükkocaoğlu, G. 2005c. İstanbul Menkul Kıymetler Borsası’nda Tek Fiyat Sis- temi. İMKB Dergisi. 29(8).
  • Küçükkocaoğlu, G. 2008. Intraday Stock Returns and Close End Price Manipu- lation in the Istanbul Stock Exchange. Frontiers in Finance and Economics. 5(1).
  • Küçükkocaoğlu, G. ve Küçüksözen, C. 2009. Açılış Seansı Uygulamasının Borsa İstanbul’un Mikroyapısı Üzerine Etkileri. Standard – Ekonomik ve Teknik Dergi. 564(48).
  • Kyle, A. S. 1985. Continuous Auctions and Insider Trading. Econometrics. 53 (6):1315- 1335.
  • Lee, J. H. ve Linn, S. C. 1994. Intraday and Overnight Volatility of Stock Index and Stock Index Futures Returns. Review of Futures Markets. 13:1- 30.
  • Lockwood, L.J. ve Linn, S.C. 1990. An examination of stock market return vo- latility during over night and intraday periods. Journal of Finance.45:591-601.
  • Louhichi, W. 2012. Does trading activity containing formation to predict stock re- turns? Evidence from Euronext Paris. Applied Financial Economics.22:625–632.
  • Lowengrub, P. ve Melvin, M. 2002. Before and after international cross-listing: an intraday examination of Volume and Volatility. Journal of International Finan- cial Markets.12:139-155.
  • Madhavan, A. ve Panchapagesan, V. 1999. The First price of the Day. Yayınlan- mamış Çalışma, University of Southern California.
  • Mahoney, P.G. 1999. The Stock Pools and the Securities Exchange Act. Journal of Financial Economics. 51: 343-369.
  • McInish, T.H. ve Wood, R.A. 1990a. A Transaction Data Analysis of the Vari- ability of Common Stock Returns During 1980-1984. Journal of Banking and Finance. 14: 113-129.
  • McInish, T.H. ve Wood, R.A. 1990b. An analysis of transactions data for the To- ronto Stock Exchange. Journal of Banking and Finance. 14: 441-458.
  • McInish, T. H., ve Wood, R. A. 1992. An analysis of intraday patterns in bid/ask spread for NYSE Stocks. Journal of Finance. 47 (2): 753-764.
  • Mian, M. ve Adam, C. 2001 Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns. Applied Financial Eco- nomics. 11: 341-352.
  • Muscarella, C.J. ve Piwowar, M.S. 2001. Market microstructure and securities va- lues: evidence from the Paris Bourse. Journal of Financial Markets. 4: 209–229.
  • Norden, L. 1993. An investigation of intradaily regularities in Swedishstock mar- ket returns. Yayınlanmamış Çalışma. University of Lund. Sweden.
  • Ohta, W. 2006. An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange. Journal of Banking & Finance.30:1023–1039.
  • Pagano, M. ve Schwartz, R. 2003. A Closing Call’s Impact on Market Quality at Euronext Paris. Journal of Financial Economics. 68(3):439–484.
  • Pagano, M. ve Schwartz, R. 2005. Nasdaq’s Closing Cross: Has its new calla- uction given Nasdaq better closing prices? Early findings. Journal of Portfolio Management. 31:100-111.
  • Pagano, M.S.,Peng, L. ve Schwartz, R. 2008. The Quality of Market Opening and Closing Prices: Evidence from the Nasdaq Stock Market. Working Paper. Center for Financial Studies Frankfurt.
  • Selçuk, F. ve Gençbay, R. 2006 Intraday dynamics of stock market returns and volatility. Physica. 367:375–387
  • Smirlock, M. Ve Starks, L. 1986. Day of the week and intraday effects in stock- returns. Journal of Financial Economics.17:197-210.
  • Smith, J. 2006. Nasdaq’s electronic closing cross: An empirical analysis. Journal of Trading. 1 (3): 47-64.
  • Stoll, H. R. 1989. Inferring the component of the bid-ask spread: Theory and empirical test. Journal of Finance. 44: 115-134.
  • Stoll, H., ve Whaley, R. 1990. Stock market structure and volatility. Review of Financial Journal. 5: 231-58.
  • Sumiyana. 2007. Behavior Of Stock Price Variability Over Trading And Nontra- ding Periods, And Daily Return Volatility. Gadjah Mada International Journal Of Business. 9(3): 409-453.
  • Temizel, F. 2005. Borsa İstanbul’da Hisse Senedi Fiyatlarının Gün İçi Yapıları. Doktora Tezi (Yayınlanmamış Çalışma). Anadolu Üniversitesi. Eskişehir.
  • Tezölmez, H. 2000. Intraday patterns in Istanbul Stock Exchange Index and ef- fect of public information on return Volatility. Doktora Tezi (Yayınlanmamış Ça- lışma). Boğaziçi Üniversitesi. İstanbul.
  • Tian, G. ve Guo, M. 2007. Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange. Review Quantative Finance.28:287–306.
  • Wei, P.H. 1992. Intraday variations in trading activity, price variability, and the bid-ask spread. Journal of Financial Research. 15: 265-276.
  • Wood, R.A. McInish, T.H. ve Ord, J.K. 1985. An investigation of transaction data for NYSE stocks. Journal of Finance. 40: 723-741.
  • Yadav, P.K. ve Pope, P.F. 1992. Intra week and intraday seasonalities in stock market risk premia: cash and futures. Journal of Bankingand Finance. 16: 233- 270.
  • Zorlu, E. 2000. Borsa İstanbul’da Gün İçi Endeks Volatilitesinin Değerlendirilmesi. Yeterlik Etüdü. İstanbul Menkul Kıymetler Borsası. İstanbul.

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

Yıl 2015, Cilt: 9 Sayı: 1, 103 - 126, 01.06.2015

Öz

In this study, intraday return and volatility structures are researched 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 respectively to 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 and both 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 return meanwhile 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.

Kaynakça

  • Admati, A. ve Pfeiderer, P. 1988. A Theory of Intraday Patterns: Volume and Price Variability. The Review of Financial Studies.1:3-40.
  • Amihud, Y. ve Mendelson, H. 1987. Trading mechanisms and stock returns: an empirical investigation. Journal of Finance. 42: 533–555.
  • Amihud, Y., Mendelson, H. ve Murgia, M. 1990. Stock market microstructure and return volatility Evidence from Italy. Journal of Bankingand Finance.14:423-440.
  • Andersen, T.G., Bollerslev, T. ve Cai, J. 2000. Intraday and interday volatility in the Japanese stock market. Journal of International Financial Markets.10:107-130.
  • Bildik, R. 2001. Intra-day seasonalities on stockreturns : evidence from the Tur- kish stock market. Emerging Market Review.2:387-417.
  • Chang, K.C., Fong, W., Kho, B. ve Stulz, R.M. 1996. Information, trading and- stock returns: Lessons from dually-listed securities. Journal of Banking and Finan- ce.20:1161-1187.
  • Chan, K.C., W. G. Christie. ve P. H. Schultz. 1995. Market structure and the intraday pattern of bid-ask spreads for NASDAQ Securities. Journal of Business. 68(1):35-60.
  • Cheung, Y. L. 1995. Intraday return and the day end effect: Evidence from the Hong Kong equity market. Journal of Business Finance and Accounting. 22 (7): 1023-1034.
  • Choe, H. ve Shin, H.1993. An analysis of interday and intraday return Volatility: evidence from the Korean Stock Exchange. Pacific-Basin Finance Journal. 175- 188.
  • Comerton, F. C. 1999. Do trading rules impact on market efficiency? A com- parison of opening procedures on the Australian and Jakarta Stock Exchanges. Pacific-Basin Finance Journal. 7: 495–521.
  • Copeland, L. ve Jones, S.A. 2000. Intradaily Patterns in Two Asian Index Futures Markets: Korea and Hong Kong. EFMA-2000’de sunulmuş olan tebliğ. Atina.
  • Eaves, J. ve Wiliam, J. 2010. Are Intraday Volume And Volatility U-Shaped After Accounting For Public Information? Agricultural and Applied Economics. 92(1): 212–227.
  • Ekman, P. D. 1990. Intraday and Weekly Patterns in the IMM Eurodollar Futu- res Market: Marketplace and Marketwlde Effects, Working Paper, Kansas State University.
  • Ekman, P. D. 1992 Intraday Patterns in the S&P 500 Index Futures Market. The- Journal of Futures Markets.12:365-382.
  • Ferguson, M., Mann, S. C, ve Schneck, L. 1993. Concentrated Trading in the Foreign Exchange Futures Markets: Discretionary Liquidity Trading or Market Closure?, Working Paper. Commodity Futures Trading Commission.
  • Foster, F.D. ve Viswanathan, S. 1993. Variations in trading volume, return vola- tility, and trading costs: evidence on recent price formation models. Journal of Finance.48:187-211.
  • Frino, A., Lau, S.T. ve McInish, T. 1996. What is the best way of opening an electronic market? ASX Perspective 1st Quarter: 48–51.
  • George, T.J. ve Hwang, C.-Y. 2001. Information flow and pricing errors: a unified approach to estimation and testing. Review of Financial Studies. 14: 979–1020.
  • Harris, L. 1986. A transactions data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics. 16:99-117.
  • Harris, L. 1989. A Day-end transaction price anomaly. Journal of Financial and Quantitative Analysis. 24: 29-45.
  • Hillion, P. ve Suominen, M. 1998a. Deadline effect of an order driven market: an analysis of the last trading minute on the Paris Bourse. Yayınlanmamış Çalışma. INSEAD
  • Hong, H. ve Wang, J. 2000. Trading and Returns Under Periodic Market Closu- res. Journal of Finance. 55: 297-354.
  • Huang, Y. ve Tsai P. 2008. Effectiveness of Closing Call Auctions: Evidence from the Taiwan Stock Exchange. Emerging Markets Finance and Trade. 44(3):5–20.
  • Huang, Y., S., D. Y. Liu, ve T. W. Fu. 2000. Stock price behavior over trading and nontrading periods: Evidence from the Taiwan stock exchange. Journal Business and Financial Accounting. 27 (5): 575-602.
  • BİST. 2011. Sermaye Piyasası ve Borsa Temel Bilgiler Kılavuzu, 17. Baskı, BİST Yayınları, İstanbul
  • Jain, P.C. ve Joh, G.H. 1988. The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis. 23: 269-283.
  • Jang, H. ve Lee, J. 1993. Intraday behavior of the bid-ask spread and related trading variables, Yayınlanmamış Çalışma. University of Oklahoma.
  • Jordan, J. V, Seale, W. E,.Dinehart, S. J., ve Kenyon. D. E. 1988. The Intraday Variability of Soybean Futures Prices: Information and Trading Effects. Review of Futures Markets. 7:96-109.
  • Köksal, B.. 2012. An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange, BDDK Bankacılık ve Finansal Piyasalar, 6(2):51-84
  • Kudryavtsev, A. 2012. Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns? Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences. 7(3):58-73.
  • Küçükkocaoğlu, G. 2005a. Borsa İstanbul’da Gün İçi Getiri, Volatilite ve Kapanış Fiyatı Manipülasyonu. Sermaye Piyasası Kurulu. Yayın No: 180. Ankara.
  • Küçükkocaoğlu, G. 2005b. Elektronik Emir İletim Sistemi’nin İstanbul Menkul Kıymetler Borsası’nın Mikroyapısı Üzerine Etkisi. İşletme ve Finans Dergisi. 232.
  • Küçükkocaoğlu, G. 2005c. İstanbul Menkul Kıymetler Borsası’nda Tek Fiyat Sis- temi. İMKB Dergisi. 29(8).
  • Küçükkocaoğlu, G. 2008. Intraday Stock Returns and Close End Price Manipu- lation in the Istanbul Stock Exchange. Frontiers in Finance and Economics. 5(1).
  • Küçükkocaoğlu, G. ve Küçüksözen, C. 2009. Açılış Seansı Uygulamasının Borsa İstanbul’un Mikroyapısı Üzerine Etkileri. Standard – Ekonomik ve Teknik Dergi. 564(48).
  • Kyle, A. S. 1985. Continuous Auctions and Insider Trading. Econometrics. 53 (6):1315- 1335.
  • Lee, J. H. ve Linn, S. C. 1994. Intraday and Overnight Volatility of Stock Index and Stock Index Futures Returns. Review of Futures Markets. 13:1- 30.
  • Lockwood, L.J. ve Linn, S.C. 1990. An examination of stock market return vo- latility during over night and intraday periods. Journal of Finance.45:591-601.
  • Louhichi, W. 2012. Does trading activity containing formation to predict stock re- turns? Evidence from Euronext Paris. Applied Financial Economics.22:625–632.
  • Lowengrub, P. ve Melvin, M. 2002. Before and after international cross-listing: an intraday examination of Volume and Volatility. Journal of International Finan- cial Markets.12:139-155.
  • Madhavan, A. ve Panchapagesan, V. 1999. The First price of the Day. Yayınlan- mamış Çalışma, University of Southern California.
  • Mahoney, P.G. 1999. The Stock Pools and the Securities Exchange Act. Journal of Financial Economics. 51: 343-369.
  • McInish, T.H. ve Wood, R.A. 1990a. A Transaction Data Analysis of the Vari- ability of Common Stock Returns During 1980-1984. Journal of Banking and Finance. 14: 113-129.
  • McInish, T.H. ve Wood, R.A. 1990b. An analysis of transactions data for the To- ronto Stock Exchange. Journal of Banking and Finance. 14: 441-458.
  • McInish, T. H., ve Wood, R. A. 1992. An analysis of intraday patterns in bid/ask spread for NYSE Stocks. Journal of Finance. 47 (2): 753-764.
  • Mian, M. ve Adam, C. 2001 Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns. Applied Financial Eco- nomics. 11: 341-352.
  • Muscarella, C.J. ve Piwowar, M.S. 2001. Market microstructure and securities va- lues: evidence from the Paris Bourse. Journal of Financial Markets. 4: 209–229.
  • Norden, L. 1993. An investigation of intradaily regularities in Swedishstock mar- ket returns. Yayınlanmamış Çalışma. University of Lund. Sweden.
  • Ohta, W. 2006. An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange. Journal of Banking & Finance.30:1023–1039.
  • Pagano, M. ve Schwartz, R. 2003. A Closing Call’s Impact on Market Quality at Euronext Paris. Journal of Financial Economics. 68(3):439–484.
  • Pagano, M. ve Schwartz, R. 2005. Nasdaq’s Closing Cross: Has its new calla- uction given Nasdaq better closing prices? Early findings. Journal of Portfolio Management. 31:100-111.
  • Pagano, M.S.,Peng, L. ve Schwartz, R. 2008. The Quality of Market Opening and Closing Prices: Evidence from the Nasdaq Stock Market. Working Paper. Center for Financial Studies Frankfurt.
  • Selçuk, F. ve Gençbay, R. 2006 Intraday dynamics of stock market returns and volatility. Physica. 367:375–387
  • Smirlock, M. Ve Starks, L. 1986. Day of the week and intraday effects in stock- returns. Journal of Financial Economics.17:197-210.
  • Smith, J. 2006. Nasdaq’s electronic closing cross: An empirical analysis. Journal of Trading. 1 (3): 47-64.
  • Stoll, H. R. 1989. Inferring the component of the bid-ask spread: Theory and empirical test. Journal of Finance. 44: 115-134.
  • Stoll, H., ve Whaley, R. 1990. Stock market structure and volatility. Review of Financial Journal. 5: 231-58.
  • Sumiyana. 2007. Behavior Of Stock Price Variability Over Trading And Nontra- ding Periods, And Daily Return Volatility. Gadjah Mada International Journal Of Business. 9(3): 409-453.
  • Temizel, F. 2005. Borsa İstanbul’da Hisse Senedi Fiyatlarının Gün İçi Yapıları. Doktora Tezi (Yayınlanmamış Çalışma). Anadolu Üniversitesi. Eskişehir.
  • Tezölmez, H. 2000. Intraday patterns in Istanbul Stock Exchange Index and ef- fect of public information on return Volatility. Doktora Tezi (Yayınlanmamış Ça- lışma). Boğaziçi Üniversitesi. İstanbul.
  • Tian, G. ve Guo, M. 2007. Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange. Review Quantative Finance.28:287–306.
  • Wei, P.H. 1992. Intraday variations in trading activity, price variability, and the bid-ask spread. Journal of Financial Research. 15: 265-276.
  • Wood, R.A. McInish, T.H. ve Ord, J.K. 1985. An investigation of transaction data for NYSE stocks. Journal of Finance. 40: 723-741.
  • Yadav, P.K. ve Pope, P.F. 1992. Intra week and intraday seasonalities in stock market risk premia: cash and futures. Journal of Bankingand Finance. 16: 233- 270.
  • Zorlu, E. 2000. Borsa İstanbul’da Gün İçi Endeks Volatilitesinin Değerlendirilmesi. Yeterlik Etüdü. İstanbul Menkul Kıymetler Borsası. İstanbul.
Toplam 65 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Eyüp Kadıoğlu

Güray Küçükkocaoğlu Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 9 Sayı: 1

Kaynak Göster

APA Kadıoğlu, E., & Küçükkocaoğlu, G. (2015). Borsa İstanbul’da Güniçi Getiri ve Volatilite Yapısı ile Tek Fiyatlı Açılış ve Kapanış Seanslarının Etkisi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 9(1), 103-126.