Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul

Yıldız, Yılmaz; Karan, Mehmet Baha; Pirgaip, Burak

doi:10.1016/j.bir.2017.08.001

Cited by 6 publications

(7 citation statements)

References 31 publications

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“…Following the study of Yildiz et al (2017) and Harris and Gurel (1986), we consider 40 days (8 weeks) prior to event window for the computation of Volume Ratio because short estimation period prevent overlapping effect of announcements.…”

Section: Methodsmentioning

confidence: 99%

“…Event study is also used by Wronska et al (2018) to measure market reaction to share repurchase announcement and the factor that determines the pattern of the market reaction in Poland; Chakrabarti et al (2017) to investigate the effect on stock returns after stock split in Indian context; Achleitner et al (2018) to find out effect of foundation ownership on shareholder value; Yildiz el al. (2017) to measure the market reaction to stock grouping announcements; Tan et al (2017) to explore the influence on corporate governance news on stock performance; Basgoze et al (2016) to examine the effects of brand value announcements on stock returns of Turkish firms and Tuli and Shukla (2015) to analyse the effect of Qualified Institutional Placement Announcements on Indian Capital Market in India.…”

Section: Review and Literaturementioning

confidence: 99%

“…V it is the traded volume of the stock i for the day t. V i is the average of traded volume of stock over 40 days prior to event window (-50, -11) M it is the traded volume of the market index for the day t M i is the average of traded volume of market index traded over 40 days prior to event window (-50, -11) Following the study of Yildiz et al (2017) and Harris and Gurel (1986), we consider 40 days (8 weeks) prior to event window for the computation of Volume Ratio because short estimation period prevent overlapping effect of announcements. Table 4 presents the Abnormal Returns and test statistics of stock price of the concerned banks during the event window of -10 and +10 days.…”

Section: And Vr / / /mentioning

confidence: 99%

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Reaction of Stock Price to Frauds’ Announcements: Evidence from Indian Banking Sector

Sharma

Verma

2020

Asia-Pacific Journal of Management Research and Innovation

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This paper is an attempt to investigate the reaction of stock price of Indian banks with respect to announcements of frauds. The Event Study Methodology is used to examine the impact of frauds’ announcements to stock price of banks which experienced fraud. The fraud cases which exceed ₹1,000 crores are considered for the period from January 2014 to December 2018. The results indicate that the fraud announcements do affect the stock price of banks which experienced fraud. In majority of cases of frauds under consideration, the study found significant abnormal loss which further supported by the results of abnormal volume ratio. The highest abnormal loss is found in the stock price of Punjab National Bank (8.74 per cent) which involves the scam committed by the Nirav Modi. Due to increased frauds in the banking sector, the confidence of the investors adversely affects which may further lead to consequences on concerned banks. In this direction, the results of the study have importance for the policy makers and regulators for analysing the behaviour of stock price with respect to the announcements of frauds in the Indian banking sector.

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Section: Methodsmentioning

confidence: 99%

Section: Review and Literaturementioning

confidence: 99%

Section: And Vr / / /mentioning

confidence: 99%

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Reaction of Stock Price to Frauds’ Announcements: Evidence from Indian Banking Sector

Sharma

Verma

2020

Asia-Pacific Journal of Management Research and Innovation

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“…This price change can occur due to an increase in the exchange rate, inflation or a decrease in price caused by the sale and purchase of stock instruments in realtime every second in the capital market so that the stock market price will experience price changes that fluctuate every day (Wahyudi & Sani, 2014). Although in the long term, the stock market is a promising place to invest, in the short term, there are changes in stock prices that occur on a daily, weekly, and monthly basis that need to be anticipated (Yildiz, Karan, & Pirgaip, 2017). Stock price volatility that occurs daily, weekly or monthly can be a source of reference for predicting how the stock price will move in the future (Tan, Yan, & Zhu, 2019).…”

Section: Sharia Stockmentioning

confidence: 99%

Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange

Widodo

2022

JIEFeS

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The Islamic stock index is a composite index of Islamic stocks listed on the Indonesia Stock Exchange (IDX). Therefore, is expected to have low volatility and be resistant to a possible financial crisis. This study aims to see whether the volatility of the Islamic stock index is lower than the conventional stock index during the Covid-19 crisis. The data taken is daily stock closing data for JKSE and JII for the period March 1, 2020, to April 30, 2022, with a total of 532 observations. The model used is ARMA/ ARIMA which is then followed by the ARCH – GARCH volatility model. The results of this study indicate that the appropriate Islamic and conventional stock index volatility model is GARCH(1,1) and there is no problem with the asymmetry effect. The findings of this study are that during the Covid-19 crisis, there was a tendency that the return volatility of the Islamic stock index to be lower than conventional and that the Islamic and conventional stock indexes were relatively low against the financial crisis that occurred. AbstrakIndeks saham syariah adalah indeks komposit saham syariah yang tercatat di Bursa Efek Indonesia (BEI). Karena itu, diharapkan memiliki volatilitas rendah dan tahan terhadap krisis keuangan yang kemungkinan terjadi. Penelitian ini, bertujuan untuk melihat apakah volatilitas indeks saham syariah lebih rendah dibandingkan indeks saham konvensional semasa krisis yaitu Covid-19. Data yang diambil adalah data penutupan saham harian JII dan IHSG periode 1 Maret 2020 sampai dengan periode 30 April 2022, sebanyak 532 pengamatan. Model yang dipergunakan adalah ARMA/ ARIMA yang kemudian dilanjutkan dengan model volatilitas ARCH – GARCH. Hasil penelitian ini menunjukkan bahwa model volatilitas indeks saham syariah maupun konvensional yang sesuai adalah GARCH(1,1) dan tidak terdapat masalah effect asimetri. Temuan penelitian ini adalah selama krisis Covid-19 terdapat kecenderungan bahwa volatilitas return indeks saham syariah lebih rendah dibandingkan konvensional dan indeks saham syariah maupun konvensional relative tidak imum terhadap krisis keuangan yang terjadi.

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“…In Indonesia, there were some previous researches concerning the announcement of Annual Report Award (Sulistyanto & Prapti, 2003;Yildiz et al, 2017), the announcement of a stock split (Almilia & Kristijadi, 2005), the dividend announcement (Siaputra & Atmadja, 2006;Khoiruddin & Faizati, 2014), the publication of Corporate Governance Perception Index (Almilia & Sifa, 2006) and the announcement of Annual Report Award on Good Corporate Governance (Ardiansari, 2009;Yekini et al, 2016).…”

Section: Introductionmentioning

confidence: 99%

Market Reaction to Indonesia Golden Ring Award

Soejono¹

2017

JDM

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This research is attended to analyze market reaction to announcement of Golden Ring Award period [2008][2009][2010][2011][2012][2013][2014][2015]. Indonesia Golden Ring Award (IGRA) which was originally called as GRA is a form of award for the telecommunications industry in which the assessment team consist of the journalists who are daily covering the telecommunications industry It used an event study methodology to empirically evidence. The research samples are focused on 6 telecommunication firms listed in Indonesian Stock Exchange with judgement sampling technique. The secondary data consists of daily closing price of shares and composite stock price index with an estimation period during 21 days by using a market adjusted model. Hypotheses are tested by one sample t-test, paired t-test and independent sample t-test. There is significant market reaction to announcement of Golden Ring Award. The second Hypothesis also accepted i.e. there is a significance in different market reaction between the firms getting Golden Ring Award and the firms not getting Golden Ring Award, especially in best operator category. Whereas in best value added category, market didn't show significant reactions. This result gives implication related to the efficient capital market Hypothesis i.e. semi strong form efficiency are proven. Info Article

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Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul

Cited by 6 publications

References 31 publications

Reaction of Stock Price to Frauds’ Announcements: Evidence from Indian Banking Sector

Reaction of Stock Price to Frauds’ Announcements: Evidence from Indian Banking Sector

Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange

Market Reaction to Indonesia Golden Ring Award

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