The effects of news arrival on stock return and volatility

The purpose of this study is to examine the effects of news announced on the Public Disclosure Platform (PDP) by Bist-30 companies on stock returns and volatility during the period of January 2022 to June 2022. There was a total of 1,673 news effects observed, based on the examination of the texts related to company news in six categories. Subsequently, the effects of the announcements related to corporate governance, financial announcements, and general information announcements about the companies, which has the highest amount of news among these categories, were examined separately. In addition to company-specific news, the Consumer Price Index (CPI), Foreign Trade Balance (FTB), and Gross Domestic Product (GDP) of eight countries published in the Matrix database are taken into account as macroeconomic data. The effect of the total of 227 macroeconomic news on the returns and volatilities of the companies in the Bist-30 were examined. The return of Bist-30 companies was calculated by taking the share prices of the companies at 5-minute intervals. GARCH (1,1) model was used to analyze the data. The analyses indicate that company-specific and macroeconomic news has a significant and positive impact on stock returns. The impact of company-specific news on returns is greater than the impact of macroeconomic news. Corporate governance announcements have the greatest effect on stock returns, relative to other categories of company-specific news. When examining the effect on volatility, the impact of incoming news on volatility is weak, but the existing effect is positive. According to the Efficient Markets Hypothesis (EMH), the existence of statistically significant positive returns indicates that Borsa İstanbul is not semi-strongly efficient.