Public Information Arrival and Emerging Markets Returns and Volatility

Kutan, Ali M.; Aksoy, Tansu

Volume 8, Numbers 3 & 4 / September/December , Pages 141-274

Multinational Finance Journal, 2004, vol. 8, no. 3 & 4, pp. 227-245

Ali M. Kutan , Southern Illinois University-Edwardsville, U.S.A. Corresponding Author

Tansu Aksoy , Southern Illinois University-Edwardsville, U.S.A.

Abstract:
Recent findings have heightened the debate about the usefulness of public information in asset markets. Using daily composite and sector index returns, this paper examines the role of public information arrival in an emerging, high-inflation economy like Turkey. The findings reveal that real GDP and industrial production announcements have the most important impact on stock returns. Regarding inflation, nominal stock returns increase in response to unfavorable inflation announcements, but only for the financials sector and partially. Market volatility is more sensitive to news about real GNP, balance of trade, tourism and construction. Implications of the findings for market participants are discussed

Keywords : emerging markets; GARCH models; stock market volatility
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