Volatility Increases Subsequent to NYSE and AMEX Stock Splits

Dubofsky, David A.

doi:10.2307/2328703

Cited by 41 publications

(31 citation statements)

References 4 publications

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“…Lakonishok ve Vermaelen (1990), 1962-1986 yılları arasında hisse geri alım duyurularının pozitif piyasa hareketlerine sebep olduğunu belirlemişlerdir. Dubofsky (1991Dubofsky ( ), 1962Dubofsky ( -1987 döneminde hisse bölünmesi haberlerinin hisse oynaklığını arttır-dığını belirlemiştir. Chaney ve diğerleri (1991Chaney ve diğerleri ( ), 1975Chaney ve diğerleri ( -1984 arasında yeni ürün tanı-tımlarının yatırımcılara pozitif aşırı getiriler sağladığını belirlemişlerdir.…”

Section: Literatür çAlışmasıunclassified

Şi̇rketlere Özgü Haberleri̇n Hi̇sse Performansina Etki̇si̇: Bi̇st-30 Şi̇rketleri̇ Örneği̇

Eyüboğlu¹,

Bulut²

2016

UİİİD

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THE EFFECT OF FIRM-SPECIFIC NEWS TO STOCK PERFORMANCE: CASE OF BIST-30 COMPANIES ABSTRACTThe purpose of this study is to analyze whether the news provides an opportunity to obtain abnormal returns, which news are announced by companies traded in BIST-30 during January 2003 to December 2012. The firm-specific news are classified on 5 main topics which are corporate governance related announcements, financial announcements, legal announcements, operational announcements and restructuring related announcements. The data covers 2143 news announced by BIST-30 companies. For data analysis event study is used. As a result, it is determined investors mostly react to announcements about operational, financial and restructuring news in terms of the average abnormal returns (ARR) at the day of event respectively. Result shows that Borsa Istanbul is not effective at semi-strongly form within the scope of efficient market hypothesis.

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Section: Literatür çAlışmasıunclassified

Şi̇rketlere Özgü Haberleri̇n Hi̇sse Performansina Etki̇si̇: Bi̇st-30 Şi̇rketleri̇ Örneği̇

Eyüboğlu¹,

Bulut²

2016

UİİİD

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“…This inquiry closely follows the approach of Dubofsky (1991) and Clayton et al (2005) in that the dependent variable is defined as the natural logarithm of the pre-event and event window volatility ratio. The application of the log transformation to the variance quotient reduces the skewness of the underlying data and thereby leads to more reliable t-statistics.…”

Section: Repeat Steps I and Ii 5000 Times And Sort The Collectmentioning

confidence: 99%

“…Following the approach adopted in prior literature (Dubofsky, 1991;Clayton et al, 2005), we define the dependent variable as a natural logarithm of the volatility ratio. This ratio is constructed by dividing the return variance computed over the (-25,25) event window…”

Section: Determinants Of Election Surprisementioning

confidence: 99%

Stock Market Volatility around National Elections

2006

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“…Stock splits were shown to increase volatility of stock returns (e.g. Sheikh (1989), Dubofsky (1991), Koski (1998) ) and mixed effects were also found on volume (Koski, 1998) and other measures of liquidity (Easley et al, 2001). Thus, even though the data is adjusted for capital events stocks experiencing splits during the observed period were excluded from the dataset 52 .…”

Section: International Journal Of Economic Sciencesmentioning

confidence: 99%

The impact of Securities Transaction Tax on market quality: Evidence from France and Italy

Šramko¹

2015

IJoES

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This paper analyzes two recent securities transaction tax (STT) implementations in France and Italy in order to identify the effects of STT on market quality. The effects are observed on panel data in four periods utilizing several trading activity and market quality measures. Difference-in-Differences are estimated using several control groups including German and Spanish equities. The results suggest significant decrease in trading activity and liquidity in French taxed stocks following the STT levy. The effect of STT on volatility is statistically insignificant across different control groups and estimation periods. The need to account for seasonal effects is also demonstrated. In Italian case, the results are inconclusive due to possible contamination by political events, but the evidence points to decrease in trading activity following the reform. The evidence regarding volatility and liquidity in Italian case is mixed. Keywords: Financial Transaction Tax, Market Quality, Volatility, Liquidity, Securities Transaction Tax JEL Classification: G18, G12, G14 Authors:FILIP ŠRAMKO, University of Economics in Prague, Czech Republic, Email: fsramko@gmail.com Citation:FILIP ŠRAMKO (2015). The impact of Securities Transaction Tax on market quality: Evidence from France and Italy. International Journal of Economic Sciences, Vol. IV(3), pp. 52-93., 10.20472/ES.2015.4.3.004 52 Copyright © 2016, FILIP ŠRAMKO, fsramko@gmail.com IntroductionThe idea of Financial Transaction Tax (FTT) has recently gained a renewed support from renowned economists 1 and wide public 2 . Most prominently 11 EU states are in talks to introduce FTT as soon as 2017 (Reuters, 2015). Besides revenue-raising FTTs are meant to discourage financial transactions that do not enhance efficiency of financial market and as a consequence to curb excess volatility observed in financial markets 3 . Hence FTTs should function as Pigouvian taxes.The objective of this paper is to extend previous empirical evidence and verify the effects of FTT imposed in securities market, or Securities Transaction Tax (STT) 4 , on market quality measures, most notably volatility, in France and Italy. Especially Italian case has garnered limited attention.To analyze the effects Difference-in-Differences (DiD) as well as triple DiD are estimated using individual stock panel data. The estimations are performed using several control groups including German and Spanish stocks observing STT's effects on volume, several measures of liquidity and volatility. Current paper adds to the literature by analyzing impacts of STT on liquidity and volatility using several measures of each market quality measure for both France and Italy. Main contribution of this paper is detailed analysis of Italian reform extending the evidence provided by Coelho (2014).The results of this paper confirm previous evidence evaluating French and Italian policy changes. It is shown that trading activity significantly decreases in France and suggestive evidence is provided showing an increase i...

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Volatility Increases Subsequent to NYSE and AMEX Stock Splits

Cited by 41 publications

References 4 publications

Şi̇rketlere Özgü Haberleri̇n Hi̇sse Performansina Etki̇si̇: Bi̇st-30 Şi̇rketleri̇ Örneği̇

Şi̇rketlere Özgü Haberleri̇n Hi̇sse Performansina Etki̇si̇: Bi̇st-30 Şi̇rketleri̇ Örneği̇

Stock Market Volatility around National Elections

The impact of Securities Transaction Tax on market quality: Evidence from France and Italy

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