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Applications of Parametric and Nonparametric Tests for Event Studies on ISE

Author

Listed:
  • Handan YOLSAL

    (Istanbul University)

Abstract

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.

Suggested Citation

  • Handan YOLSAL, 2011. "Applications of Parametric and Nonparametric Tests for Event Studies on ISE," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 15(1), pages 53-72, November.
    • Handle: RePEc:ist:ancoec:v:15:y:2011:i:1:p:53-72
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    File URL: http://eidergisi.istanbul.edu.tr/sayi15/iueis15m4.pdf
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    Cited by:

    1. Turki Rashed Alshammari & Jean-Noël Ory, 2023. "The Impact of Religious Announcements on Stock Prices and Investment Decisions on the Saudi Stock Exchange," Post-Print hal-04105704, HAL.

    More about this item

    Keywords

    Event Study; Parametric Tests; Nonparametric Tests;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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