Abstract
Purpose – Information underlies the stock price movements. There are lots of economic and political news that have an impact on the stock price. Unlike other studies (extensively considering economic news), this paper aims to detect abnormal returns resulting from important political news from 2010 to 2022 in Turkey. Methodology – To determine the abnormal returns-overreactions, this paper utilized the market-based event study approach and the results were corroborated by non-parametric test statistics. Findings – Crucial important news occurring between 2010-2022, led to statistically significant negative abnormal reactions the day before the event days. These results show that the banking sector dissociates negatively from reference market reaction. Conclusion – It is deduced that some investors got information about political events before the events day, and so they priced the information. This result implies that Semi- Strong Efficient Market Hypothesis is not valid. Keywords: Political events, event study, efficient market hypothesis, non-parametric test JEL Codes: G14,G21
Published Version
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