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APPLICATIONS OF PARAMETRIC AND NONPARAMETRIC TESTS FOR EVENT STUDIES ON ISE

Journal Name:

  • İstanbul Üniversitesi Ekonometri ve İstatistik Dergisi

Publication Year:

  • 2011

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study, we conducted a research as to whether splits in shares on the ISE-ON Index at the Istanbul Stock Exchange have had an impact on returns generated from shares between 2005 and 2011 or not using event study method. This study is based on parametric tests, as well as on nonparametric tests developed as an alternative to them. It has been observed that, when cross-sectional variance adjustment is applied to data set, such null hypothesis as “there is no average abnormal return at day 0” couldn’t be rejected through both parametric and nonparametric tests.
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Abstract (Original Language): 
Bu çalışmada İstanbul Menkul Kıymetler Borsasında 2005-2011 döneminde İMKB-30 endeksine giren hisselere ait bölünmelerin senet getirilerine etkisi olup olmadığı olay çalışması yöntemi ile araştırılmıştır. Çalışmada parametrik testler ve bu testlere alternatif olarak geliştirilen non-parametrik testler kullanılmıştır. Veri kümesine çapraz kesit varyans düzeltmesi uygulandığında, seçilen örneklem için “0. günde ortalama anormal getiri yoktur” şeklindeki sıfır hipotezinin hem parametrik hem de parametrik olmayan testlerle reddedilemediği görülmüştür.
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  • English

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REFERENCES

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