Asymmetric volatility modelling in the Istanbul stock exchange

In the financial world, capital structure policy refers to the strategic decisions regarding maximization the firm's value, while dividend policy pertains to the decision of how to distribute this value. Numerous theoretical and empirical studies have been undertaken on the dividend policy choices of companies from developed and developing countries which have high importance in finance literature. In the light of all theoretical and empirical research carried out in this field, significant articles and their methodological approaches are re-examined and the related findings are reported in this thesis. This paper also looks into the dividend policies of Turkish companies listed on the Istanbul Stock Exchange (ISE), employing event study methodology (ESM). In addition, the study examined whether those firms follow stable and regular dividend policy, and also analyse how firms' dividend distributions effect financial markets before and after events (event day=0). The study aimed to investigate the dividend policies of these companies and to investigate the changes occurred in the legal arrangements between the years 1992 and. A number of empirical investigations conducted in the Turkish market have yielded the conclusion that the companies in question adhere to dividend policies that are both unstable and irregular. The capital markets are not experiencing any information signaling impact as a consequence of the instability that has been seen. To put it another way, dividend policies do not offer Turkish investors any type of information on the future prospects of companies. The study's findings also indicate that the primary determinant affecting firms' dividend policies is the company's earnings generated in a specific year. The fact that developing countries such as Turkey have weak-form markets and also activities of companies, their financial structure and investment policies affect dividend to be distributed to shareholders, because inflation will affect interests of the firm in developing countries. Therefore, firms's earnings change because of inflation. Because of this, change in earnings determines changes in dividend policies. As a result, instability and unregularity in earnings are the most important negative factor for dividend policies. Therefore, companies that incur losses in a specific year are unable to distribute dividends to their shareholders. With regulation of Board of Capital Market in 1995, companies that traded on ISE had gained freedom in determining their own dividend policy. In accordance with the initial legal amendment in 1982 and subsequent to 1995, Corporations listed on ISE are permitted to pay cash dividends on an annual basis. The stockholders are entitled to receive these dividends at the last day of May in the subsequent fiscal year. This research contains periods of 1982-1995 and 1995-2004. In order to get more healthy results from data in empirical study, company data were used between 1998 and 2004.