Buradasınız

APPLICATIONS OF PARAMETRIC AND NONPARAMETRIC TESTS FOR EVENT STUDIES ON ISE

Journal Name:

Publication Year:

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.
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.
53-72

JEL Codes:

REFERENCES

References: 

Adaoğlu, C., (2001), Rights Offering in a Different Institutional Setting: Evidence
From the Istanbul Stock Exchange, The ISE Finance Award Series V.3, pp.29-67
Bildik, R., G.Gülay, (2008), The effects of Changes in Index Composition on Stock
Prices and Volume: Evidence From the Istanbul Stock Exchange, International Review of
Financial Analysis, Vol. 17, Issue1, pp.178-197
Boehmer, E., J.Musumeci, and A.B.Poulsen (1991), Event-Study Methodology Under
Conditions of Event-Induced Variance, Journal Of Financial Economics, 30, pp.253-272
Brown, S. J.,J. B. Warner, (1980), Measuring Security Price Performance, Journal Of
Financial Economics, 8, pp.205-258
Brown, S. J., J. B. Warner, (1985), Using Daily Stock Returns, Journal Of Financial
Economics, 14, pp. 3-31
Campbell, J.Y., A. W. Lo, A.C. MacKinlay, (1997), The Econometrics of Financial
Market, Princeton University Press, USA, p.149
Corrado, C.J., (1989), A Nonparametric Test for Abnormal Security-Price
Performance in Event Studies, Journal Of Financial Economics, 23, pp.385-395
Corrado C.J., T.L. Zivney, (1992), The Specification and Power of the Sign Test in
Event Study Hypothesis Tests Using Daily Stock Returns, Journal Of Financial and
Quantitative Analysis, 27,No:3, pp.465-478
Fama, E.F., Fisher, L., Jensen, M. C., Roll, R.,(1969), The Adjustment Of Stock Prices
To New Information, International Economic Review, 10, Feb., pp. 1-21
Fama, E.F., (1970), Efficient Capital Markets: A Review of Theory and Empirical
Work, The Journal Of Finance, 25, p. 383
Fama, E.F., (1991), Efficient Capital Markets: II, The Journal Of Finance, V.XLVI,
No 5, December, p. 1575-1576
Gürbüz, A.O., S. Tantan, H. Yolsal, (2000)‘The Effect of Stock Splits on Liquidity
and Excess Returns: Evidence From Istanbul Stock Exchange’, European Financial
Management Association Conference, June 28th- July 1st,2000, Athens,
Muratoğlu G., K. Aydoğdu, (1998), Do Price Reactions to Stock Dividends and Rights
Offerings Change as ISE Matures?, Boğaziçi Journal: Review of Social, Economic and
Administrative Studies, Vol. 12, No.2, pp.21-29
Patell, J., (1976), Corporate Forecasts of Earnings Per Share and Stock Price Behavior:
Empirical Test, Journal of Accounting Research, Vol. 14, No. 2., (Autumn), pp.246-276

Thank you for copying data from http://www.arastirmax.com