Event studies in Turkey

Date

2014-09-01

Author

BAŞDAŞ, Ulkem
Oran, Adil

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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The primary goal of this paper is to review the event studies conducted for Turkey to in order to identify the common components in their designs. This paper contributes to the existing literature by reviewing all event studies for Turkey for the first time, but more importantly; this review leads to the upcoming event studies on Turkey by highlighting main components of a proper design. Based on the review of 75 studies, it is observed that event studies generally choose BIST-100 (formerly, ISE-100) market index and market adjusted returns with the parametric tests. In general, the studies prefer to rely on one type of model to calculate abnormal returns without discussing the selection of the underlying model. Especially for the event studies focusing on the impact of political events or macroeconomic announcements in Turkey, there is a risk of clustering due to the application of same event date for all observations.

Subject Keywords

Event Study Methodology , Stock Returns , Clustering , Borsa Istanbul

URI

https://hdl.handle.net/11511/40061

Journal

Borsa Istanbul Review

DOI

https://doi.org/10.1016/j.bir.2014.03.003

Collections

Department of Business Administration, Article

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Citation Formats

U. BAŞDAŞ and A. Oran, “Event studies in Turkey,” Borsa Istanbul Review, pp. 167–188, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/40061.