The Speed of Stock Price Adjustment To Corporate Announcements: Insights From Turkey

dc.contributor.authorErsan, Oğuz
dc.contributor.authorŞimşir, Serif Aziz
dc.contributor.authorŞimsek, Koray D.
dc.contributor.authorAfan, Hasan
dc.date.accessioned2021-01-28T12:45:36Z
dc.date.available2021-01-28T12:45:36Z
dc.date.issued2020
dc.departmentFakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.description.abstractThe market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.en_US
dc.identifier.citation3
dc.identifier.doi10.1016/j.ememar.2020.100778en_US
dc.identifier.issn1566-0141en_US
dc.identifier.issn1566-0141
dc.identifier.scopus2-s2.0-85096974112en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12469/3785
dc.identifier.urihttps://doi.org/10.1016/j.ememar.2020.100778
dc.identifier.wosWOS:000657395800010en_US
dc.identifier.wosqualityQ1
dc.institutionauthorErsan, Oğuzen_US
dc.institutionauthorErsan, Oğuz
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.journalEmerging Markets Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.subjectCorporate announcementsen_US
dc.subjectEvent studyen_US
dc.subjectHigh frequency tradingen_US
dc.subjectSpeed of stock price responseen_US
dc.titleThe Speed of Stock Price Adjustment To Corporate Announcements: Insights From Turkeyen_US
dc.typeArticleen_US
dspace.entity.typePublication
relation.isAuthorOfPublication668cc704-cc26-4a39-bb0f-5db2099bf1d3
relation.isAuthorOfPublication.latestForDiscovery668cc704-cc26-4a39-bb0f-5db2099bf1d3

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