Effect of annual and quarterly financial statement announcements on trading volume and return variability in ISE

Abstract

Announcements of financial statement informations provide valuable signals for investors. There are evidences documenting the changes in trading volume and stock returns at the time of annual and interim financial statement announcements in comparison to those in non-announcement periods. The purpose of this study is to analyse the effect of the quarterly and annual financial statement announeements on trading volume and security return variability in the Turkish stock market. The testing period covers the suceessive three interim announeement periods and the annual statements of the years 1991 through 1994.