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The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data

İbrahim Yaşar Gök, Sefa Topuz.

Abstract
In this study, the intraday effects of US macroeconomics new announcements on BIST 30 index futures markets are examined. The effects of thirteen US macroeconomic news announcements are investigated for the period 07/01/2009-06/30/2014. Since it is aimed to investigate the simultaneous effects of US macroeconomic news announcements, only the US 08.30 am and 10.00 am macroeconomic news are taken into account. Among 08.30 am macroeconomic news, in the first 10 minutes following the announcements, durable goods orders, GDP, personal income and outlays, retail sales, and nonfarm payroll employment have significant effects on the volatility. Among 10.00 am macroeconomic news, in the first 10 minutes following the announcements, construction spending and new residential sales have significant effects on the volatility. Nonfarm payroll employment has the most prominent and persistent effect among all macroeconomic news announcements. The highest increase in the volatility on the 08.30 am and 10.00 am announcements days compared to nonannouncements days occurs in the first minute following the announcements. Volatility remains high in the first 9 minutes following the 08.30 announcements and in the first 7 minutes following the 10.00 am announcements. The results for adjustment speed of returns on the announcement days indicate that returns adjust to new information in the first minute on both 08.30 am and 10.00 am announcement days. In this context, it is concluded that although returns adjustment process to new information related to announcements lasts in a short time, volatility remains high for a while.

Key words: Macroeconomic news announcements, index futures market, volatility persistence, return adjustment speed, Borsa İstanbul. Jel Codes: E44, G11, G14.



ABD Makroekonomik Haber Anonslarının Borsa İstanbul Pay Endeks Futures Piyasası Üzerine Etkileri: Yüksek Frekanslı Veriler Bazında Bir Analiz

Özet
Bu çalışmada, ABD makroekonomik haber anonslarının BIST 30 endeks futures piyasası üzerindeki gün içi etkileri incelenmiştir. On üç ABD makroekonomik haber anonsunun 01/07/2009-30/06/2014 dönemindeki etkileri araştırılmıştır. ABD’deki haber anonslarının eşzamanlı etkilerinin incelenmesi amaçlandığından, sadece ABD’deki 08.30 ve 10.00 makroekonomik haberleri dikkate alınmıştır. 08.30 makroekonomik haberlerinden, anonsları takip eden ilk 10 dakika içerisinde, volatilite üzerinde anlamlı bir etkiye sahip olanlar dayanıklı tüketim malları siparişleri, GSYİH, kişisel gelir ve harcamalar, perakende satışlar ve tarım dışı istihdamdır. 10.00 makroekonomik haberlerinden, anonsları takip eden ilk 10 dakikada içerisinde, volatilite üzerinde anlamlı bir etkiye sahip olanlar ise inşaat harcamaları ve yeni konut satışlarıdır. Tüm makroekonomik haber anonsları içerisinde en belirgin ve kalıcı etkiye tarım dışı istihdam sahiptir. 08.30 ve 10.00 anons günlerinde anons olmayan günlere göre volatilitedeki en büyük artış, anonsu takip eden birinci dakikada gerçekleşmektedir. Volatilite, 08.30 anonslarını takiben ilk 9 dakika boyunca, 10.00 anonslarını takiben de ilk 7 dakika boyunca yüksek seyretmektedir. Anons günlerindeki getirinin uyarlanma hızına dair sonuçlar ise hem 08.30 hem de 10.00 anons günlerinde getirilerin birinci dakika içerisinde yeni bilgiye uyarlandığına işaret etmektedir. Bu kapsamda, getirilerin anonslara ilişkin yeni bilgiye uyarlanma sürecinin kısa sürdüğüne, ancak volatilitenin bir süre daha yüksek seyrettiğine varılmaktadır.

Anahtar Kelimeler: Makroekonomik haber anonsları, endeks futures piyasa, volatilite kalıcılığı, getiri uyarlanma hızı, Borsa Istanbul. Jel Sınıflaması: E44, G11, G14.


 
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How to Cite this Article
Pubmed Style

Gok IY, Topuz S. [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim. 2017; 28(102): 31-64. Turkish. doi:10.5455/ey.36101



Web Style

Gok IY, Topuz S. [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. www.scopemed.org/?mno=244559 [Access: November 19, 2017]. Turkish. doi:10.5455/ey.36101



AMA (American Medical Association) Style

Gok IY, Topuz S. [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim. 2017; 28(102): 31-64. Turkish. doi:10.5455/ey.36101



Vancouver/ICMJE Style

Gok IY, Topuz S. [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim. (2017), [cited November 19, 2017]; 28(102): 31-64. Turkish. doi:10.5455/ey.36101



Harvard Style

Gok, I. Y. & Topuz, S. (2017) [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim, 28 (102), 31-64. Turkish. doi:10.5455/ey.36101



Turabian Style

Gok, Ibrahim Yasar, and Sefa Topuz. 2017. [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim, 28 (102), 31-64. Turkish. doi:10.5455/ey.36101



Chicago Style

Gok, Ibrahim Yasar, and Sefa Topuz. "[The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]." Ekonomik Yaklasim 28 (2017), 31-64. Turkish. doi:10.5455/ey.36101



MLA (The Modern Language Association) Style

Gok, Ibrahim Yasar, and Sefa Topuz. "[The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]." Ekonomik Yaklasim 28.102 (2017), 31-64. Print.Turkish. doi:10.5455/ey.36101



APA (American Psychological Association) Style

Gok, I. Y. & Topuz, S. (2017) [The Effects of US Macroeconomic News Announcements on Borsa Istanbul Stock Index Futures Market: An Analysis Based on High Frequency Data]. Ekonomik Yaklasim, 28 (102), 31-64. Turkish. doi:10.5455/ey.36101



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