Do stock splits matter for returns, volatility, and liquidity?
Nihat Gumus · Ayse Caglayan Gumus
International Journal of Research in Business and Social Science · 2021 · Vol. 10 / Issue 4 · 467-478
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Abstract
The purpose of this study is to investigate the impact of stock splits on the return, riskiness, and liquidity of stocks. Utilizing a sample of 94 stock splits taken place between 2010 and 2019 at Borsa Istanbul, the study analyzes the daily abnormal returns, change in volatility, and changes in volume around the stock split announcement and execution dates. The results display significant positive abnormal returns around the announcement date but not significant abnormal returns around the execution. The volatility and liquidity of stocks increase significantly around both announcement and execution dates. The findings are in line with the positive signaling, and liquidity hypotheses of stock split and with most of the observations reported in the empirical literature. The new evidence provided points out the lack of semi-strong form of market efficiency at Borsa Istanbul as far as the stock splits are considered.
Keywords: {'name': 'Stock splits, Borsa Istanbul, return, risk, liquidity'}
Authors & affiliations
Nihat Gumus
Affiliation not supplied
Ayse Caglayan Gumus
Affiliation not supplied
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