Event-related GARCH: the impact of stock dividends in Turkey
Batchelor, R. A. and Orakcioglu, Ismail (2002) Event-related GARCH: the impact of stock dividends in Turkey. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.
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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.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Alternative Title:||Event-related generalized autoregressive conditional heteroskedasticity: the impact of stock dividends in Turkey|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||İstanbul Menkul Kıymetler Borsası, Stock exchanges -- Turkey, Heteroscedasticity, Stocks -- Rate of return|
|Series Name:||Working papers (Warwick Business School. Financial Econometrics Research Centre)|
|Publisher:||Warwick Business School, Financial Econometrics Research Centre|
|Place of Publication:||Coventry|
|Number of Pages:||28|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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