Sabina Nowak

Determinants of Dividend Smoothing: The Case of the Turkish Stock Market

We examine the dividend smoothing behaviour of companies listed on the Istanbul Stock Exchange (ISE) in the period of 1996–2015. On the basis of Lintner’s dividend partial adjustment model, we calculate the speed of dividend adjustment (SOA) for individual companies from the research sample. As we find only 8% of the SOA results lower than 0.50 and almost 37% higher than 1.00, we ascertain that the Turkish stock market companies do not smooth the dividends. Nevertheless, we proceed to uncover the determinants of the level of the speed of adjustment coefficient. We find that the leverage, debt to equity ratio, current- and quick liquidity ratios, earnings retention ratio, payout and standard deviation of quick ratio statistically significantly affect the SOA level of individual companies in Turkey. In analysing the Istanbul Stock Exchange one should note that it has been operating in the current structure since April 2013 after the merger of all the exchanges functioning in the Turkish capital markets. Currently, the ISE is one of the largest regional stock exchanges, but despite its relatively huge liquidity, it is also risky because of the political pressure. In 2013–2016, the ISE greatly deteriorated in its capitalisation and turnover because of political events. These circumstances may have affected the obtained results.

Intraday Trading Patterns on the Warsaw Stock Exchange

We estimate linear regressions with dummy variables for the rates of return, spreads and volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the intraday trading patterns after the Universal Trading Platform was introduced in April 2013. In doing so we use the data rounded to nearest second and aggregated into that of 1 h frequency. The analysis shows that the spreads and volumes exhibit either the day of the week or the hour of the day effect or both. The spreads resemble the reversed J and the volumes are U-shaped. The rates of return are mostly positive but eventually decline at the end of the trading day. Some of them exhibit the hour of the day but not the day of the week effect.

Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange

The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005 – December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.