Browsing by Subject "event study"

Now showing 1 - 3 of 3

Open Access
The effects of political and economic news on the intradaily performance of the Istanbul Stock Exchange
(2004) İlkuçan, Ayça
This study aims to analyze the immediate effects of political and economic news on the intradaily performance of the ISE100 stock index. For the period between August 1, 2002 and March 31, 2003, both domestic and foreign news are collected from the Reuters Turkish language news service and divided into four main categories and 44 sub-categories. First using an event study methodology, parametric and nonparametric tests are employed to compare the ISE100 index returns in the 5-minute frequency during the event window of the news to a control sample, which contains returns of intervals with no news. Second, six GARCH (1,1) models are estimated using returns in the 15-minute frequency, with dummy variables representing seasonal factors and news categories. Overall, political news are found to increase significantly both mean and variability of returns. Among the individual subcategories, the findings indicate that news about the Iraq Crisis/War, November 2002 elections and Cyprus peace negotiations influence intradaily index returns significantly. Although no significant impact of domestic economic news is found on mean and variability of returns using the broad classification of news, specifically, news about employment, forced savings, production, budget, taxes and CBRT auctions and economic news from other countries are found to affect the returns.
Open Access
The impacts of procurement policy changes on defense stocks : evidence from the US defense industry
(2003) Mintaş, Feyzi
The purpose of this study is to examine the relative stock market performance of US defense stocks over different time periods and analyze the impact of changes in Federal Acquisition Policy on defense stock returns. The data set covers monthly returns of 67 defense stocks during the period 1945-2000. The analysis consists of two parts. Relative performance analysis and the event study analysis. The results of the relative performance analysis showed that defense stocks portfolio is both more profitable and riskier than the size based benchmark. However, the difference was not found to be statistically significant. On the other hand, the event study analysis indicates that defense firms significantly reacted to nine major regulatory changes that occurred during the sample period. Only two of the nine regulatory changes examined resulted in statistically significant average excess returns. For other regulations, the sign and the magnitude of the reaction varies across firms.
Open Access
The impacts of the Kosovo War on NATO defense industries
(2002) Ateş, Emin
The purpose of this study is to examine the effects of the Kosovo War on the NATO countries defense industry stocks. The data set covers daily prices of stocks of 34 U.S., 12 U.K., 7 French and 3 Turkish companies, totaling 56 defense stocks. The analysis is conducted by using both standard event study methodology and multivariate regression model. The study provides evidence that the defense stocks reacted positively and significantly to the Kosovo War. The study shows that there is a significant difference between the abnormal returns of the U.S. defense stocks and European defense stocks. However, the analysis proves that there is no significant difference between the abnormal returns of aerospace stocks and non-aerospace defense stocks.