Document Type
Article
Publication Date
12-1-2017
Journal / Book Title
Emerging Markets Review
Abstract
The implementation of a closing call auction on market quality and volatility is examined at Borsa Istanbul in Turkey. Using 5- and 15-minute intervals, we document the accentuated volatility after the open and before the close during the morning and afternoon sessions. We show that the implementation of a closing call decreases volatility accentuation just prior to the market close, and increases market quality. We also document the evolution of intraday volatility patterns at Borsa Istanbul using the longest to date high frequency dataset available, and show that volatility has been increasing over time, especially at the close.
DOI
10.1016/j.ememar.2017.09.002
MSU Digital Commons Citation
Inci, A. Can and Ozenbas, Deniz, "Intraday Volatility and the Implementation of a Closing Call Auction At Borsa Istanbul" (2017). Department of Accounting and Finance Faculty Scholarship and Creative Works. 72.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/72
Published Citation
Inci, A. C., & Ozenbas, D. (2017). Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. Emerging Markets Review, 33, 79-89.