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Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data
Saleem, Shabir - 2020
We investigate whether the daily betas of individual stocks vary with the release of firm-specific news in an emerging market. Using intraday prices of all stocks traded on the Borsa Istanbul, Turkey over the period 2005-2013, we find evidence that average market betas increase significantly...
Persistent link: https://www.econbiz.de/10012825149
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Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
Saleem, Shabir A. A.; Smith, Peter N.; Yalaman, Abdullah - 2021
Persistent link: https://www.econbiz.de/10012586184
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Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
Saleem, Shabir; Smith, Peter N.; Yalaman, Abdullah - 2021
We investigate whether the daily betas of individual stocks vary with the release of firm-specific news in an emerging market. Using intraday prices of all stocks traded on the Borsa Istanbul, Turkey over the period 2005-2013, we find evidence that average market betas increase significantly...
Persistent link: https://www.econbiz.de/10013236409
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Stock market manipulation in an emerging market of Turkey : how do market participants select stocks for manipulation?
Ok Ergün, Hilal; Yalaman, Abdullah; Manahov, Viktor; … - In: Applied economics letters 28 (2021) 5, pp. 354-358
Persistent link: https://www.econbiz.de/10012484994
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Jumps and earnings announcement : empirical evidence from an emerging market using high frequency data
Saleem, Shabir A. A.; Yalaman, Abdullah - In: Risk management, strategic thinking and leadership in …, (pp. 211-223). 2017
Persistent link: https://www.econbiz.de/10011597380
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Forecasting emerging market volatility in crisis period : comparing traditional GARCH with high-frequency based models
Yalaman, Abdullah; Saleem, Shabir A. A. - In: Global financial crisis and it's ramifications on …, (pp. 475-492). 2017
Persistent link: https://www.econbiz.de/10011809957
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Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
Saleem, Shabir A. A.; Smith, Peter N.; Yalaman, Abdullah - 2020
Persistent link: https://www.econbiz.de/10012491887
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Stock market investment and different behavioural patterns : an exploratory study
Argan, Metin; Sevil, Güven; Yalaman, Abdullah; … - In: Review of behavioral finance : RBF 15 (2023) 2, pp. 138-161
Persistent link: https://www.econbiz.de/10014340511
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Characterizing financial crises using high-frequency data
Dungey, Mardi H.; Holloway, Jet; Yalaman, Abdullah; … - In: Quantitative finance 22 (2022) 4, pp. 743-760
Persistent link: https://www.econbiz.de/10013367856