The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns

Abdioğlu, Nida; Aytekin, Sinan

doi:10.5195/emaj.2016.98

Cited by 3 publications

(1 citation statement)

References 24 publications

(21 reference statements)

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“…Abdioglu and Aytekin [20] examined whether the monetary policy committee decisions of the Central Bank of the Republic of Turkey have impact on the stock returns of the Deposit Banks quoted on Borsa Istanbul Bank Index. The research work utilized the event study methodology using the index data from 2008 to 2012.…”

Section: Literature Reviewmentioning

confidence: 99%

An Empirical Test for Semi-strong form Efficient Market Hypothesis of the Nigeria Stock Market

Gbanador

2021

AJEBA

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A capital market is said to be efficient if new information are quickly reflected in stock prices. This study empirically examines how the prices of stocks listed on the Nigerian Stock Exchange quickly respond to monetary policy announcement. The daily All Shares Index and 41 monetary policy announcement from 2014 -2020 were used as proxy for stock prices and new information respectively. The Researcher adopted the event study methodology and a 21 day event window was constructed. That is 10 days before monetary policy announcement (-10) and 10 days after the announcement (+10) in addition to the event day. The average abnormal returns (AAR) and the cumulative average abnormal returns (CAARs) were computed and analyzed using the t-statistic to ascertain whether it is possible to earn abnormal return due to monetary policy announcement. The findings revealed that it was not possible to earn abnormal return due to monetary policy announcement. The implication of this result is that stock prices quickly adjust to new information (monetary policy rate announcement) therefore making it difficult for market participants to outperform the market.Thus, the Researcher concluded that the Nigeria stock market is semi-strong form efficient.

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Section: Literature Reviewmentioning

confidence: 99%

An Empirical Test for Semi-strong form Efficient Market Hypothesis of the Nigeria Stock Market

Gbanador

2021

AJEBA

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Market reaction as an impact of announcement increase fed interest rate in Asian and European area

Mentari

Artini

2019

irjmis

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The purpose of this study is to determine whether there is a difference in the average abnormal return around the date of the announcement of the Fed's interest rate hike in Asia and the European region. The sample of this study was 18 emerging market countries' index indices in Asia and Europe with sample collection techniques using purposive sampling. This study uses One Way Anova analysis techniques and One Sample T-test. The results found that there was no difference in the average abnormal return before and after the announcement of the Fed's interest rate increase. This condition shows that markets in the two regions do not react significantly because markets in Asia and the European region are in an efficient condition in the form of half strong, where the market absorbs information quickly and is reflected in stock prices so there is no difference in the average abnormal return in both regions. The absence of a difference in the average abnormal return is also caused by the uncertainty of the global economy making investors more careful in making investment decisions.

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Hi̇sse Senetleri̇ni̇n Varantlara Dayanak Varlik Oluşunun Hi̇sse Senedi̇ Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Olay Çalişmasi Yöntemi̇ İle Bist’te Bi̇r Uygulama

Aksu

Sakarya

2016

Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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İlk kez hisse senetlerine dayalı yatırım kuruluşu varantlarının ihraç edilmesinin hisse senedi fiyatları üzerindeki etkisinin incelendiği bu çalışmada olay çalışmasından yararlanılmıştır. Şirketlerin hisse senetlerine dayalı yatırım kuruluşu varantlarının ilk kez ihraç edilmesi ile hisse senetlerinin fiyatlarında bir düşüş gözlenmiş ve hisse senetlerinin varantlara dayanak olduğu tarihler etrafında negatif kümülatif anormal getiri tespit edilmiştir. Bu durum, piyasanın etkin olmadığını göstermektedir

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The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns

Cited by 3 publications

References 24 publications

An Empirical Test for Semi-strong form Efficient Market Hypothesis of the Nigeria Stock Market

An Empirical Test for Semi-strong form Efficient Market Hypothesis of the Nigeria Stock Market

Market reaction as an impact of announcement increase fed interest rate in Asian and European area

Hi̇sse Senetleri̇ni̇n Varantlara Dayanak Varlik Oluşunun Hi̇sse Senedi̇ Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Olay Çalişmasi Yöntemi̇ İle Bist’te Bi̇r Uygulama

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