Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul
The main aim of this study is to investigate the market reaction to stock grouping announcements in Borsa Istanbul which requires stocks to be classified into groups âAâ, âBâ and âCâ according to their market capitalization and floating rates. By utilizing event study analysis, our results suggest t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2017-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845017300248 |
| _version_ | 1811180334501330944 |
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| author | Yilmaz Yildiz Mehmet Baha Karan Burak Pirgaip |
| author_facet | Yilmaz Yildiz Mehmet Baha Karan Burak Pirgaip |
| author_sort | Yilmaz Yildiz |
| collection | DOAJ |
| description | The main aim of this study is to investigate the market reaction to stock grouping announcements in Borsa Istanbul which requires stocks to be classified into groups âAâ, âBâ and âCâ according to their market capitalization and floating rates. By utilizing event study analysis, our results suggest that grouping announcements have significant effect on stock prices and trading volume. The event day positive (negative) relationship between abnormal return and volume for the upgraded (downgraded) stocks supports the downward sloping demand curve hypothesis. Moreover, findings also suggest that stocks which are upgraded to Group A are exposed to more attention which is in line with the attention hypothesis. The reverse is valid for the downgraded firms. We find no evidence of price reversals and long-term symmetrical liquidity effect which lead us to reject price pressure and liquidity hypotheses. Finally, we reach controversial evidence for the information hypothesis. Keywords: Equity grouping, Regulation, Price and volume effects, Jel Classification: G11, G12, G14 |
| first_indexed | 2024-04-11T09:00:15Z |
| format | Article |
| id | doaj.art-19b3d909752942aeb2ec5d85ffea3fee |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-11T09:00:15Z |
| publishDate | 2017-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-19b3d909752942aeb2ec5d85ffea3fee2022-12-22T04:32:47ZengElsevierBorsa Istanbul Review2214-84502017-12-01174216227Market reaction to grouping equities in stock markets: An empirical analysis on Borsa IstanbulYilmaz Yildiz0Mehmet Baha Karan1Burak Pirgaip2Hacettepe University, Department of Business Administration, Faculty of Economics and Administrative Sciences, 06800, Beytepe, Ãankaya, Ankara, Turkey; Corresponding author.Hacettepe University, Department of Business Administration, Faculty of Economics and Administrative Sciences, 06800, Beytepe, Ãankaya, Ankara, TurkeyCankaya University, Department of Banking and Finance, EskiÅehir Yolu 29. Km, Yukarıyurtçu Mah. Mimar Sinan Cad. No:4, 06790, Etimesgut, Ankara, TurkeyThe main aim of this study is to investigate the market reaction to stock grouping announcements in Borsa Istanbul which requires stocks to be classified into groups âAâ, âBâ and âCâ according to their market capitalization and floating rates. By utilizing event study analysis, our results suggest that grouping announcements have significant effect on stock prices and trading volume. The event day positive (negative) relationship between abnormal return and volume for the upgraded (downgraded) stocks supports the downward sloping demand curve hypothesis. Moreover, findings also suggest that stocks which are upgraded to Group A are exposed to more attention which is in line with the attention hypothesis. The reverse is valid for the downgraded firms. We find no evidence of price reversals and long-term symmetrical liquidity effect which lead us to reject price pressure and liquidity hypotheses. Finally, we reach controversial evidence for the information hypothesis. Keywords: Equity grouping, Regulation, Price and volume effects, Jel Classification: G11, G12, G14http://www.sciencedirect.com/science/article/pii/S2214845017300248 |
| spellingShingle | Yilmaz Yildiz Mehmet Baha Karan Burak Pirgaip Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul Borsa Istanbul Review |
| title | Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul |
| title_full | Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul |
| title_fullStr | Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul |
| title_full_unstemmed | Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul |
| title_short | Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul |
| title_sort | market reaction to grouping equities in stock markets an empirical analysis on borsa istanbul |
| url | http://www.sciencedirect.com/science/article/pii/S2214845017300248 |
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