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Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements

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  • Madhuri Malhotra

    ()

  • M Thenmozhi

    ()

  • Arun Kumar Gopalaswamy

    ()

Abstract

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue announcements. [WORKING PAPER 61/2011]. URL:[http://www.mse.ac.in/pub/WORKING%20PAPER%2061.pdf].

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Paper provided by eSocialSciences in its series Working Papers with number id:4728.

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Date of creation: Jan 2012
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Handle: RePEc:ess:wpaper:id:4728

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Keywords: Time Varying Volatility; Rights Issue; stock price; bonus issues; ARCH; GARCH (1; 1); Indian stock market; systematic risk; information asymmetry; SEBI; employees; Taiwanese stock market;

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