SavedAdd your journal

Journals / Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 2016 / Cilt: 19 - Sayı: 36-1

Impact of First-Time Warrant Issuance on Underlying Stock Returns: An Analysis with Event Study on BIST

HİSSE SENETLERİNİN VARANTLARA DAYANAK VARLIK OLUŞUNUN HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ: OLAY ÇALIŞMASI YÖNTEMİ İLE BIST'TE BİR UYGULAMA

Melek AKSU
Şakir SAKARYA
Pages
21–37
Publication Date
2022-10-11
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

These results mean that the market is inefficient.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper examines the impact of first-time issuance of covered warrants on prices of underlying stocks listed on BIST.
📊
Key Findings & Data:A negative price impact of first-time issuance of warrants on underlying stocks' prices and a significant negative cumulative abnormal returns around the first-time warrant issuing dates are investigated.
💡
Conclusion & Impact:These results mean that the market is inefficient.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

This paper examines the impact of first-time issuance of covered warrants on prices of underlying stocks listed on BIST. Event study methodology is used to analyze price impact of underlying stocks around the first-time issuance dates of covered warrants. A negative price impact of first-time issuance of warrants on underlying stocks' prices and a significant negative cumulative abnormal returns around the first-time warrant issuing dates are investigated. These results mean that the market is inefficient.

Özet

İlk kez hisse senetlerine dayalı yatırım kuruluşu varantlarının ihraç edilmesinin hisse senedi fiyatları üzerindeki etkisinin incelendiği bu çalışmada olay çalışmasından yararlanılmıştır. Şirketlerin hisse senetlerine dayalı yatırım kuruluşu varantlarının ilk kez ihraç edilmesi ile hisse senetlerinin fiyatlarında bir düşüş gözlenmiş ve hisse senetlerinin varantlara dayanak olduğu tarihler etrafında negatif kümülatif anormal getiri tespit edilmiştir. Bu durum, piyasanın etkin olmadığını göstermektedir.

🔖

Cite This Article

AKSU, M., SAKARYA, Ş. (2022). Impact of First-Time Warrant Issuance on Underlying Stock Returns: An Analysis with Event Study on BIST. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 19 - Sayı: 36-1, 21–37. https://ajindex.com/articles/460168

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. Abdioğlu, N., ve Aytekin, S. (2016). The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns. Emerging Markets Journal, 6(1), 62-69.
  2. Aitken, M., ve Segara, R. (2005). Impact of Warrant Introductions on the Behaviour of Underlying Stocks: Australian Evidence. Accounting and Finance, 45, 127-144.
  3. Akmehmet, Ö. M. (2012). Varantların Teorik Fiyatının Piyasa Fiyatını Açıklama Gücü: Black ve Scholes Opsiyon Fiyatlama Modeli Çerçevesinde İMKB'de Bir Uygulama, Yüksek Lisans Tezi, İstanbul Üniversitesi,
  4. İstanbul.
  5. Atan, M., Özdemir, Z. A., ve Duman Atan, S. (2009). Hisse Senedi Piyasasında Zayıf Formda Etkinlik: IMKB Uzerine Ampirik Bir Calısma. Dokuz Eylul Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi, 24(2), 33-48. Bizim Menkul Değerler, http://www.bmd.com.tr/page/kategori_detay/95/ varantlar.htm.[Erişim Tarihi: 29.10.2016]
  6. Black, F., ve Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
  7. Campbell, J. Y., Lo, A. W. C., ve MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton University Press.
  8. Chan, C., ve Chen, G. (2012). The Impact of Warrants Issuance in Taiwan and Hong Kong. International Research Journal of Finance and Economics, 86,161- 167. http://www.wbaonline.co.uk/abstract.asp?id=57054&rev= [Erişim Tarihi: 29.10.2016]
  9. Chan, Y., ve Wei, K.C.J. (2001). Price and Volume Effects Associated With Derivative Warrant Issuance on the Stock Exchange of Hong Kong. Journal of Banking and Finance, 25, 1401-1426.
  10. Chen, K., ve Wu, L. (2001). Introduction and Expiration Effects of Derivative Equity Warrants in Hong Kong. International Review of Financial Analysis, 10, 37-52.
  11. Chow, Y., Li, J., and Liu, M. (2007). Making Hong Kong's Derivative Warrants Market. China International Conference in Finance. Chuang, C.,ve Chuang, S. (2005), The Impacts of Warrants Issuance on the Price and Trading Volumes of the Underlying Stock: The Call Warrants Case of Taiwan Stock Exchange. Information and Management Sciences, 16, 17-34.
  12. Clarke, M., Gannon, G., ve Vinning, R. (2011). The Impact of Warrant Introduction: The Australian Experience. Review of Pacific Basin Financial Markets and Policies, 14(2), 213-269. Deutsche Bank Sermaye Piyasası Aracı Notu. https://www.xmarkets.db.com/ TR [Erişim Tarihi: 29.10.2016] Garanti Bankası. http://www.garantiyatirim.com.tr/Article.aspx?PageID=65. [Erişim Tarihi: 29.10.2016]
  13. HKEX, Hong Kong Exchange. https://www.hkex.com.hk/eng/prod/secp