Abstract
The study aims to identify volatility in the banking sector and general market related to some different types of announcements. Totally 103 announcements are clustered considering their sentiment and source. Daily closing values of banking and market indices, XBANK and BIST100, are included in the dataset which spans from the beginning of January 2018 to the end of March 2019. Findings indicate that the banking sector is not affected by the announcements released by the government. Announcements of credit rating agencies carry an informative value and play an important role in volatility. Furthermore, the relationship between economic indicators and volatility exists for the national market. As an interesting finding, investors tend to react 2 days before to the announcements belonging to Standard & Poor’s and Fitch.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
