Event-related GARCH: the impact of stock dividends in Turkey

Roy Batchelor () and Ismail Orakcioglu

Applied Financial Economics, 2003, vol. 13, issue 4, pages 295-307

Abstract: Cash dividends and rights issues on the Istanbul Stock Exchange are commonly accompanied by large stock dividend payments. This paper tests the proposition that stock dividends have no effect on company value, using a novel GARCH process with event-related intercept terms to capture induced changes in the volatility of stock prices. Returns rise in advance of stock dividend payments, but this effect becomes statistically insignificant when proper allowance is made for heteroscedasticity. Volatility rises after stock dividend payments, and this is attributed to persistence following exceptionally large price movements around the ex-dividend day, rather than to any transitory rise in the unconditional returns variance. The study does document some irrationality in responses to cash dividends, with prices rising/falling after increased/decreased dividend payments, rather than after the much earlier dividend announcements.

Date: 2003

Downloads: (external link)
http://taylorandfrancis.metapress.com/link.asp?tar ... &id=VWN4PDWUD5XNV8EH (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Event-related GARCH: the impact of stock dividends in Turkey (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apfiec:v:13:y:2003:i:4:p:295-307

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Applied Financial Economics is edited by Mark P. Taylor

More articles in Applied Financial Economics from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().