Applications of Parametric and Nonparametric Tests for Event Studies on ISE
Handan Yolsal ()
Additional contact information
Handan Yolsal: Istanbul University
Istanbul University Econometrics and Statistics e-Journal, 2011, vol. 15, issue 1, pages 53-72
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.
Keywords: Event Study; Parametric Tests; Nonparametric Tests (search for similar items in EconPapers)
JEL-codes: G14 C12 C14 (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ist:ancoec:v:15:y:2011:i:1:p:53-72
Access Statistics for this article
Istanbul University Econometrics and Statistics e-Journal is currently edited by Nov
More articles in Istanbul University Econometrics and Statistics e-Journal from Department of Econometrics, Faculty of Economics, Istanbul University Contact information at EDIRC.
Series data maintained by Kutluk Kagan Sumer ().