Intra-Day Seasonalities on Stock Returns: Evidence from the Turkish Stock Market

Posted: 25 Oct 2003

See all articles by Recep Bildik

Recep Bildik

Borsa Istanbul (Istanbul Stock Exchange)

Multiple version iconThere are 2 versions of this paper


One of the interesting findings among the seasonalities in stock markets is that the return, volume and volatility of the stock prices and bid-ask spreads all broadly follow a U-shaped pattern over the trading day. This study examines the intra-daily seasonalities of the stock returns in the emerging Turkish Stock Market which is an order-driven market using electronic trading without market makers, in the period from 1996 to 1999, by using 15-minute (and also 5- and 1-minute) interval data. Results show that stock returns follow a U-shaped or more precisely a W-shaped pattern over the trading day at the Istanbul Stock Exchange (ISE) since there are two trading sessions in a day. This result is consistent with the previous findings in the literature. Opening (Overnight) and closing returns are significantly large and positive. Volatility is higher at the openings and follows an L-shape pattern during the both sessions. Interestingly, the daily average close-to-close returns are generated only during the opening and closing intervals and the average intra-day return is negative when the returns at the opening and/or closing intervals (even the first and the last minutes of the day) are excluded from the analyses. Relatively higher mean return and standard deviation at the openings of the trading sessions seem to be significantly generated by the accumulated overnight information and the closed-market effect (halt of trade). Large day-end returns are strongly affected by the activities of fund managers and speculators for the window-dressing around the close. Finally, intra-day seasonalities exist significantly also in the Turkish Stock Market as consistent with those of the international stock markets.

Keywords: Anomalies, Seasonalities, Microstructure, Intraday Effects, Day-end Effect

JEL Classification: G1, G14, G15

Suggested Citation

Bildik, Recep, Intra-Day Seasonalities on Stock Returns: Evidence from the Turkish Stock Market. Available at SSRN:

Recep Bildik (Contact Author)

Borsa Istanbul (Istanbul Stock Exchange) ( email )

Borsa Istanbul
Resitpasa, Emirgan
Istanbul, 34467
90-212-298 21 93 (Phone)
90-212-298 25 00 (Fax)

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