The speed of stock price adjustment to corporate announcements: Insights from Turkey


ERSAN O., Simsir S. A. , Simsek K. D. , Hasan A.

EMERGING MARKETS REVIEW, vol.47, 2021 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 47
  • Publication Date: 2021
  • Doi Number: 10.1016/j.ememar.2020.100778
  • Title of Journal : EMERGING MARKETS REVIEW

Abstract

The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When highfrequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following eventdriven strategies.