Do stock splits matter for returns, volatility, and liquidity? New evidence from Borsa Istanbul
Yükleniyor...
Dosyalar
Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
SSBFNET
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The purpose of this study is to investigate the impact of stock splits on the return, riskiness, and liquidity of stocks. Utilizing a sample of 94 stock splits taken place between 2010 and 2019 at Borsa Istanbul, the study analyzes the daily abnormal returns, change in volatility, and changes in volume around the stock split announcement and execution dates. The results display significant positive abnormal returns around the announcement date but not significant abnormal returns around the execution. The volatility and liquidity of stocks increase significantly around both announcement and execution dates. The findings are in line with the positive signaling, and liquidity hypotheses of stock split and with most of the observations reported in the empirical literature. The new evidence provided points out the lack of semi-strong form of market efficiency at Borsa Istanbul as far as the stock splits are considered.
Açıklama
Anahtar Kelimeler
Stock Splits, Borsa Istanbul, Return, Risk, Liquidity
Kaynak
International Journal of Research in Business and Social Science (IJRBS)
WoS Q Değeri
Scopus Q Değeri
Cilt
10
Sayı
4
Künye
Gümüş, N. ve Gümüş Çağlayan, A. (2021). International Journal of Research in Business and Social Science (IJRBS), 10(4), 467-478.
