The Speed of Stock Price Adjustment to Corporate Announcements: Insights from Turkey

54 Pages Posted: 2 Dec 2020

See all articles by Oguz Ersan

Oguz Ersan

Kadir Has University, International Trade and Finance, Faculty of Economics, Administrative and Social Sciences

Serif Aziz Simsir

Sabanci University

Koray D. Simsek

Rollins College - Crummer Graduate School of Business

Afan Hasan

YTU

Date Written: September 20, 2020

Abstract

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

Suggested Citation

Ersan, Oguz and Simsir, Serif Aziz and Simsek, Koray D. and Hasan, Afan, The Speed of Stock Price Adjustment to Corporate Announcements: Insights from Turkey (September 20, 2020). Emerging Markets Review, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3733475 or http://dx.doi.org/10.2139/ssrn.3733475

Oguz Ersan

Kadir Has University, International Trade and Finance, Faculty of Economics, Administrative and Social Sciences ( email )

Cibali Mah., Fatih
Istanbul, 34083
Turkey

Serif Aziz Simsir (Contact Author)

Sabanci University ( email )

Sabanci Business School
Istanbul, Orhanli, 34956 Tuzla
Turkey

Koray D. Simsek

Rollins College - Crummer Graduate School of Business ( email )

Winter Park, FL 32789
United States

Afan Hasan

YTU ( email )

Davutpasa Mh., Esenler
Besiktas, Istanbul 80750
Turkey

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