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Applications of Parametric and Nonparametric Tests for Event Studies on ISE

Listed author(s):
  • Handan YOLSAL

    ()

    (Istanbul University)

Registered author(s):

    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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    File URL: http://eidergisi.istanbul.edu.tr/sayi15/iueis15m4.pdf
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    Article provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.

    Volume (Year): 15 (2011)
    Issue (Month): 1 (November)
    Pages: 53-72

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    Handle: RePEc:ist:ancoec:v:15:y:2011:i:1:p:53-72
    Contact details of provider: Web page: http://eidergisi.istanbul.edu.tr

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