Applications of Parametric and Nonparametric Tests for Event Studies on ISE
Handan Yolsal ()
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Handan Yolsal: Istanbul University
Istanbul University Econometrics and Statistics e-Journal, 2011, vol. 15, issue 1, 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)
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ancoec:v:15:y:2011:i:1:p:53-72
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