Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements

Madhuri Malhotra (), M Thenmozhi () and Arun Kumar Gopalaswamy ()

Working Papers from eSocialSciences

Abstract: The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue announcements. [WORKING PAPER 61/2011]. URL:[http://www.mse.ac.in/pub/WORKING%20PAPER%2061.pdf].

Keywords: Time Varying Volatility; Rights Issue; stock price; bonus issues; ARCH; GARCH (1; 1); Indian stock market; systematic risk; information asymmetry; SEBI; employees; Taiwanese stock market (search for similar items in EconPapers)
Date: 2012-01
Note: Institutional Papers
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Related works:
Journal Article: Evidence on changes in time varying volatility around bonus and rights issue announcements (2013)
Working Paper: Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements (2011)
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