The Speed of Stock Price Adjustment to Corporate Announcements: Insights from Turkey
54 Pages Posted: 2 Dec 2020
Date Written: September 20, 2020
The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.
Keywords: Speed of stock price response, Corporate announcements, High frequency trading, Event study
JEL Classification: G14, G12
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