Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue announcements. [WORKING PAPER 61/2011]. URL:[http://www.mse.ac.in/pub/WORKING%20PAPER%2061.pdf].

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Year of publication:	2012-01
Authors:	Malhotra, Madhuri ; Thenmozhi, M ; Gopalaswamy, Arun Kumar
Institutions:	eSocialSciences
Subject:	Time Varying Volatility \| Rights Issue \| stock price \| bonus issues \| ARCH \| GARCH (1 \| 1) \| Indian stock market \| systematic risk \| information asymmetry \| SEBI \| employees \| Taiwanese stock market

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Institutional Papers
Source:	RePEc - Research Papers in Economics

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