The Effects of Macroeconomic News Surprises on Borsa Istanbul Sectoral Indices: A Study with Volatility Models

This study aims to determine the impact of unexpected economic news announcements on the returns of sectoral indices in Borsa Istanbul (BIST). Utilizing volatility models, the research examines how unexpected developments in key financial indicators influence sectoral returns and volatility reactions. The dataset comprises daily closing prices of 26 BIST sectoral indices from January 1, 2018, to December 31, 2022, sourced from Tradingview. Data regarding expectations and realized values for inflation, growth, unemployment, CBRT policy rates, and FED interest rates were obtained from Bloomberg. The findings reveal that average returns across all sectoral indices are positive, with positive news announcements yielding a more favorable impact than negative ones. Furthermore, negative shocks induce higher volatility than positive shocks, indicating a significant leverage effect across the indices. As the most comprehensive study to date covering 26 indices, these results provide vital insights for investors regarding market reactions to economic surprises and contribute significantly to the existing literature on emerging market efficiency.