Market reaction to regulatory policy changes in financial statements filings: evidence from Turkey

Yılmaz, Mustafa Kemal; Aksoy, Mine; Çelik, Tankut T.

doi:10.1007/s40822-020-00142-5

Cited by 6 publications

(5 citation statements)

References 53 publications

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“…The major take-away from this robustness test is that there is price reversal (continuation) in the post-hit window for upper price-limit hits in the presence (absence) of same-day firm-specific news. These results are consistent with the finding of Yılmaz et al (2020) that the choice of regulatory disclosure policy for financial reporting influences the market reaction of BIST-listed companies due to its effect on limited investor attention. These results also highlight the importance of issuer-related disclosures and their timeliness on price discovery in the security market.…”

Section: Tests Of Overreaction and Delayed Price-discovery Hypothesessupporting

confidence: 91%

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Aktas

Kryzanowski

Jie

2021

IMEFM

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Purpose This paper aims to analyze the impact of price-limit hits by hit type and when such hits start and stop using intraday trades and quotes at a one-second frequency for firms included in the BIST-50 index during the 13-months starting with March 2008. Like the recent COVID-19 period, this period includes the heightened stress in global financial markets in September 2008. Design/methodology/approach Using intra-day trades and quotes at a one-second frequency, the authors examine the market effects of price limits for firms included in the BIST-50 index during the global financial crisis. The authors compare the values of various metrics for 60 min centered on price-limit hit periods. The authors conduct robustness tests using auto regressive integrated moving average (ARIMA) models with trade-by-trade and with 3-min returns. Findings The findings are supportive of the following hypotheses: magnet price effects, greater informational asymmetric effects of market quality and each version of price discovery. Results are robust using samples differentiated by cross-listed status, same-day quotes instead of transaction prices and equidistant and trade-by-trade returns. Originality/value The authors use intraday data to reduce measurement error that is particularly pronounced when daily data are used to assess price limits that start and/or stop during a trading session. The authors contribute to the micro-structure literature by using ARIMA models with trade-by-trade and 3-min returns to alleviate some bias due to the autocorrelations in returns around price-limit hits in the presence of a magnet effect. The authors include some recent regulation changes in various countries to illustrate the importance of circuit breakers using price limits during COVID-19.

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Section: Tests Of Overreaction and Delayed Price-discovery Hypothesessupporting

confidence: 91%

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Aktas

Kryzanowski

Jie

2021

IMEFM

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“…Bui (2018) shows that fiscal policies do not seem to stabilize the national saving rate. Yılmaz et al (2020) reveal that small-cap firms are more exposed to abnormalities than large-cap firms, in terms of abnormal returns, for positive news before and after the public disclosure platform.…”

Section: Theoretical Foundations 21 Monetary Policy and Stock Pricesmentioning

confidence: 94%

Structural shocks in monetary policy, exchange rates, and stock prices using SVAR in Iran

Salehi

Behname

Adibian

2021

IMEFM

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Purpose This paper aims to examine the interrelationships of monetary policy's structural shocks, the real exchange rate and stock prices. Design/methodology/approach According to quarterly data, variables such as gross domestic product, consumer price index, the real exchange rate, stock price and monetary policy indices in the structural vector autoregressions model are estimated. These variables' volatility is attributed to other variables’ structural shocks separately, and analysis of variance tables for all variables is presented. Findings The results show that structural shock on the exchange rate does not affect the stock price, but the monetary policy's structural shock positively impacts the real exchange rate. Moreover, the real exchange rate and monetary policy's structural shocks have a negative impact on the stock price index. However, no significant effect is found pertain to the real exchange rate structural shock, statistically. Originality/value To the best of the authors’ knowledge, the current study model is relatively novel in developing countries, and the study sought strength to develop knowledge on the subject of the study.

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“…With the establishment of the Capital Markets Board, which is the main regulatory and supervisory authority for the securities markets, and the Istanbul Stock Exchange (BIST) during the early 1980s, Turkey opened the doors to the development of its capital markets. As of 2017, more than 410 companies were listed in BIST and their total market capitalisation was USD 250 million (Yılmaz et al, 2020). With respect to pension reforms, starting in 2001 and going into effect in 2003, Turkey introduced a voluntary private pension system.…”

Section: Introductionmentioning

confidence: 99%

Voluntary Private Pension Funds and Capital Market Development

Eğrican

Kayhan

2022

aamjaf

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We examine voluntary private pension funds and their relationship to capital market development. Using data from Turkey, we analyse depth, efficiency and liquidity indicators of capital markets after the introduction of voluntary private pension funds in 2003. Overall, our findings indicate that the introduction of voluntary private pension plans are positively associated with indicators of capital market development, focusing on market depth (such as market capitalisation and trading volume) in both debt and equity markets. We also observe that indicators for other more recently established markets are also positively associated with the introduction of voluntary pension plans. In contrast, equity market turnover shows a negative association. These findings, along with the positive association with the corporate governance index, suggest that pension funds are important for capital market development and for corporate governance of firms as they are long-term investors. However, the introduction of state contributions in 2013 is not robust to alternative specifications.

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Market reaction to regulatory policy changes in financial statements filings: evidence from Turkey

Cited by 6 publications

References 53 publications

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Structural shocks in monetary policy, exchange rates, and stock prices using SVAR in Iran

Voluntary Private Pension Funds and Capital Market Development

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