Exploring the Evidence on changes in time varying volatility around bonus and rights issue: a study based on KSE

Muhammad Tariq, Abdur Rehman Aleem, Shuaib Ahmed


Purpose: This Purpose of this study examines the volatility in stock prices after announcement of right and bonus issue. This study result showed the increase in volatility after announcement of right and bonus issue.

Methodology/Sampling: This study data collected as long-term perspective which showed the historically volatility and fluctuate with the change of time varying volatility after and before announcement of right and bonus issue. The data was collected fifteen days share prices after and before announcement of right and bonus issue for the period of 2010 to 2012 and the statistical test includes ARCH and GARCH.

Findings: The results show that the relationship between prior prices to current price volatility the mean changes in volatility. This study result out with the help of techniques which is showed the historically volatility and fluctuations before and after announcement of right and bonus issue. The results taken on three year data of 26 listed company which comes in kse-100 index. There is significance which means increase the volatility after and before announcements of right and bonus issue.

Practical Implications: This study explores the implications historical bonus and right issues and their effects on the stock prices. This study is a unique for Pakistani environment and it is helpful for the top management of the company and the investors.

Keywords. Volatility, bonus issues, rights issue, GARCH

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