Trends in market reactions: stock dividends and rights offerings at Istanbul stock exchange
Date
2003Source Title
The European Journal of Finance
Print ISSN
1351-847X
Electronic ISSN
1466-4364
Publisher
Routledge
Volume
9
Pages
41 - 60
Language
English
Type
ArticleItem Usage Stats
121
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109
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Abstract
This paper examines the existence of different price reactions to the Implementation of
stock dlvldends and rights offerings as the stock market matures over time and the
Investor mix changes. For that purpose market reactions at the Istanbul Stock Exchange
(lSE) are Investigated during three sub-periods displaying different developmental
phases of the market defined In terms of Institutional framework, transactions volumes
and related Investor profiles. Differences In price reactions and the accompanying
trading volumes are tested as the Investor mix changes and small Investors enter ISE due
to the cultivating of awareness about the stock market. Other possible causes of excess
returns such as prior knowledge about the stocks being traded or a preferred trading
range are also tested. Considering the characteristics of thinly traded emerging markets,
non-parametric tests are employed besides traditional event study methodology and
results are Immune to the choice of relevant test statistics. The results Indicate that the
changing mix of Investors shift the timing of market reaction from announcement to
Implementation of stock diVidends and rights offerings. Since Individual Investors, who
are attracted by lower relative prices. are not expected to be prompt In timing. excess
returns persist over longer event windows and are accompanied by Increasing trading
volumes.