In the literature it is a common view that the noise trading, which can be defined as non-informative transactions which are not based on new information has distorting effects on the prices of financial assets and creates noise trading risk in the market. The presence of noise and its effect on asset prices are tried to be measured by using quite different methods. In this study, the noise and information effects on the BIST-100 index returns are estimated in the period of 20.04.2000-17.09.2021 by employing an EGARCH-M model, which is an approach suitable for the heteroscedasticity, leptocurtic distribution and asymmetric reaction to information. EGARCH-M method enables the measurement of noise in Borsa Istanbul and the change of noise risk over time by avoiding the disadvantages of alternative noise measurement approaches. The findings show that the effect of the information on BIST-100 index volatility presents asymmetric characteristics. According to the evidence, the effect of negative information is higher than the effect of positive information. The results show that noise has increasing effect on BIST-100 index returns while information has decreasing effect, but we can conclude that the effects of noise and information are unpredictable because both effects are statistically insignificant.
Gürültü Gürültüye dayalı işlem irrasyonel yatırımcılar EGARCH-M modeli Noise Noise Trading Irrational Investors EGARCH-M Model
Primary Language | Turkish |
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Journal Section | Articles |
Authors | |
Publication Date | December 27, 2022 |
Submission Date | October 4, 2021 |
Published in Issue | Year 2022 Volume: 40 Issue: 4 |
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