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Macroeconomic Suprises and the Turkish Financial Market
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Author(s): Ayşegül İşcanoğlu Çekiç (Trakya University, Turkey)and Havva Gültekin (Trakya University, Turkey)
Copyright: 2020
Pages: 29
Source title:
Applied Econometric Analysis: Emerging Research and Opportunities
Source Author(s)/Editor(s): Brian W. Sloboda (University of Maryland Global Campus, USA)and Yaya Sissoko (Indiana University of Pennsylvania, USA)
DOI: 10.4018/978-1-7998-1093-3.ch004
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Abstract
In the study, the authors investigate the impacts of macroeconomic news originating from Turkey, US, Euro Zone, and China on the Turkish financial market. They consider Purchasing Managers Indices and Gross Domestic Product growth rates as macroeconomic news. The study covers the period from May 4, 2015 to January 1, 2019, and six sectoral indices are included into the analysis. The findings show that impacts of macroeconomic surprises on abnormal returns are significant for all the sectors except Holdings and Investments and Insurance. The authors also provide evidence that the impacts of macroeconomic surprises on volatilities are significant for only Holdings and Investments and Technology.
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