Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

A. Can Inci, Deniz Ozenbas

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

The implementation of a closing call auction on market quality and volatility is examined at Borsa Istanbul in Turkey. Using 5- and 15-minute intervals, we document the accentuated volatility after the open and before the close during the morning and afternoon sessions. We show that the implementation of a closing call decreases volatility accentuation just prior to the market close, and increases market quality. We also document the evolution of intraday volatility patterns at Borsa Istanbul using the longest to date high frequency dataset available, and show that volatility has been increasing over time, especially at the close.

Original languageEnglish
Pages (from-to)79-89
Number of pages11
JournalEmerging Markets Review
Volume33
DOIs
StatePublished - Dec 2017

Keywords

  • Borsa Istanbul
  • Call auction
  • Emerging markets
  • Intraday volatility
  • Market microstructure
  • Price discovery

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