Yüksek frekanslı verilerle gün içi fiyat geri dönüşüm hareketleri: BIST100 endeksi üzerine bir uygulama

Investors are willing to exploit opportunities to earn abnormal profits. Event study methodology has received considerable attention to catch these opportunities. However, the literature dealing with short-term reactions to large price movements is quite small regarding emerging markets because of difficulties in collecting intraday dataset. In this thesis, we contribute to the literature by providing evidence about the existence of overreaction and intraday reversal effect over a 13-year period from an emerging market. The Istanbul Stock Exchange National 100 Index XU100 (BIST 100) is chosen for the analyses. The event set includes the days that experience price changes exceeding a prespecified threshold at the market open, and hypotheses of the results are tested using various statistical tests. The results document that overreaction in the market lasts only for a few minutes, and reversal happens after the second minute of the trading day. Additionally, our long-term investigation shows evidence in favor of major magnitudes of reversal as threshold levels rise, consistent with the previous findings in reversal literature.