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Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market
16 references·1 citing·40 second hop
Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market (2001)Intra-day seasonalities on stock returns:…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Borsa Istanbul (BIST) daily prediction using financial news and balanced feature selection (2015)Borsa Istanbul (BIST) daily p…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Statistical properties of the volatility of price fluctuations (1999)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)The Cost of Transacting (1968)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Competition and Financial Stability (2004)
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References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1986Stock return variances1,813 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks

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554 cited
  • 1990Stock Market Structure and Volatility544 cited
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    • 2015Borsa Istanbul (BIST) daily prediction using financial news and balanced feature selection47 cited