scholarly journals COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

2021 ◽  
Vol 14 (8) ◽  
pp. 389
Author(s):  
Adil Saleem ◽  
Judit Bárczi ◽  
Judit Sági
Keyword(s):  
Stock Index ◽  
Market Model ◽  
Market Reactions ◽  
Health Crisis ◽  
Stock Indices ◽  
Thomson Reuters ◽  
Short Run ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Stock Indexes

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

scholarly journals Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (17) ◽  
pp. 2077
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Markets ◽  
Trading Strategies ◽  
Eastern European ◽  
Negative Effects ◽  
Market Reactions ◽  
Study Approach ◽  
Study Methodology ◽  
Stock Market Reactions

This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

Impact of Share Splits on Stock Returns: Evidences from India

2019 ◽  
Vol 23 (4) ◽  
pp. 432-441
Author(s):  
Bilal Ahmad Pandow ◽  
Khurshid Ahmad Butt
Keyword(s):  
Stock Returns ◽  
Impact Analysis ◽  
Positive Influence ◽  
Market Model ◽  
Sign Test ◽  
Rank Test ◽  
Long Run ◽  
Short Run ◽  
Study Methodology ◽  
The Impact

This article empirically examines the impact of stock splits on the price movements and returns of the scrips listed on the stock market in India. The study makes use of the standard event study methodology to measure the significance of unusual yield associated with the event. To calculate the returns, the study employs market model. Also, it uses parametric tests, such as t-statistic, and non-parametric test, such as Corrado Rank Test, Generalized Rank Test and Sign Test, to check the significance and robustness of abnormal return (AR), average AR, and cumulative average AR. Indisputably, the results are somewhat different from the evidences found in developed markets. Mostly in these countries, the event witnesses unusual optimistic yields. The results suggest that there is a positive AR adjacent to the effective day (ED) of the event in the short run. However, in the long run, negative ARs in the post-effective to ED+90 days window is witnessed. Further, the analysis also suggests that share splits do not have a positive influence on the share capital of the investors. The results are based on the 10-days event and 90-days estimation window and are the main limitation of the study. Hence, the windows can be both expanded and reduced to have a better holistic impact analysis of the share splits and stock returns of the selected firms.

scholarly journals Stock Market Reactions to the Comprehensive and Progressive Agreement for Trans-Pacific Partnership’s Approval: Evidence from Vietnam

2021 ◽  
Vol 36 (3) ◽  
pp. 462-490
Author(s):  
Son Tung Ha ◽  
Thi Hong Hanh Pham ◽  
Thi Nguyet Anh Nguyen
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Reactions ◽  
Listed Firms ◽  
Stock Market Performance ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Event Study Methodology

We examine the stock market performance of Vietnam’s listed firms in response to the country’s approval of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP). Employing an event study methodology, we first calculate the abnormal returns of all listed Vietnamese firms around the CPTPP’s approval date. Then, we attempt to link these abnormal returns to firms’ characteristics. We find evidence that the announcement of the CPTPP’s approval is associated with positive abnormal returns for Vietnam’s listed firms. We also find considerable heterogeneity in the magnitude and pace of the impacts of the CPTPP’s approval on market returns across Vietnam’s two stock exchanges. However, we fail to reject the null hypothesis that the market did not react to the CPTPP’s approval at the sectoral level.

scholarly journals Stock Market Reactions to Financing and Payment Decisions for European Mergers and Acquisitions

2020 ◽  
Vol 4 (2) ◽  
pp. 41-89
Author(s):  
Wolfgang Bessler ◽  
David Kruizenga ◽  
Wim Westerman
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Valuation Effects ◽  
Payment Methods ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
Acquisition Announcements ◽  
Stock Market Reactions

Aim: We analyze stock market reactions to merger and acquisition announcements for firms in Europe and contribute to the literature by providing empirical evidence how the decisions with respect to alternative financing sources (equity or debt) and the methods of payment (cash or stock) affect the magnitude of the valuation effects.   Research design: An event study methodology is applied to 717 M&A transactions. We analyze the size of the cumulative abnormal returns using the financing sources and payment methods and other variables as the relevant determinants.   Findings: The cumulative abnormal results suggest that target shareholders and bidder shareholders in private deals benefit from mergers and acquisitions. The effect found is centered around the announcement date, making our findings consistent with market efficiency. Debt financed deals outperform equity financed deals and cash paid M&A outperform stock paid M&As, due to information asymmetry, signaling and agency effects.   Originality: This study adds to our understanding of the relevance of the financing sources and the payment methods for mergers and acquisitions in Europe.   Implications: This study may help practitioners to better assess the valuation effects of alternative financing sources and payment methods when acquiring other firms.     JEL: G32, G34

scholarly journals Examining The Market Reactions To Regulatory Accounting Events

2011 ◽  
Vol 9 (3) ◽  
pp. 36
Author(s):  
Amin Haddad ◽  
Ike Mathur ◽  
Nanda Rangan ◽  
Suresh Tadisina
Keyword(s):  
Event Study ◽  
Accounting Standards ◽  
Market Model ◽  
Proper Treatment ◽  
Estimation Model ◽  
Market Reactions ◽  
Setting Process ◽  
Study Methodology ◽  
Policy Setting ◽  
Event Study Methodology

Evaluation of market reaction to regulatory accounting events such as the accounting standards policy setting process has commonly utilized event study methodology. However, this methodology quite often has resulted in inconsistent and conflicting findings due to partial anticipation of the events being examined and due to nonstationarity of the parameters in the estimation model. A multi-regime market model based methodology that allows for the proper treatment of these problems is proposed and is illustrated with an application in the policy setting process for SFAS No. 8.

Stock Market Reactions and Formula One Performance

2011 ◽  
Vol 25 (4) ◽  
pp. 305-313 ◽  
Author(s):  
Klaus Schredelseker ◽  
Fedja Fidahic
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Formula One ◽  
Study Methodology ◽  
The One ◽  
The Global Financial Crisis ◽  
Stock Market Reactions ◽  
Event Study Methodology

Due to the global financial crisis, the investments of car manufacturers are going to be revised as never before; especially this is the case for any kind of commitment in sport sponsoring. In Formula One on the one hand costs are exploding, on the other hand money becomes shortened. That is why it becomes interesting to know to what extent a manufacturer’s involvement in this sport is worth it. We use an event study methodology analyzing the stock market response after race performances from 2005 to 2007. Our main results: McLaren- Mercedes and Fiat-Ferrari generate positive abnormal returns after wins for DaimlerChrysler and Fiat, and significantly weaker abnormal returns after losses. Conversely, returns for Renault change in an opposite way.

Stock market reactions to voluntary integrated reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuzuka Nakajima ◽  
Yushi Inaba
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Integrated Reporting ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Voluntary Adoption ◽  
Event Study Methodology

Purpose This study aims to examine the impact of voluntary adoption of integrated reporting on the stock prices of firms in Japan. Design/methodology/approach The event study methodology was used to analyze the stock market reactions to voluntary integrated report (IR) publication. Abnormal returns were estimated for 1,602 observations of 490 firms publishing IRs in Japan using the market model. The t-test, the Boehmer et al., 1991 test and the generalized sign test examined the significance of the cumulative average abnormal returns (CAARs). Findings The study reveals that the stock market reacts positively to voluntary IR publication by firms, especially in 2019 and 2015. Additionally, it reveals a tendency for higher CAARs around IR publication dates than around corporate social responsibility report publication dates, especially in 2016 and 2015. Research limitations/implications The limitations of this study include the possibility of self-selection bias and omitted variable bias. Practical implications This study suggests that firms can earn higher abnormal returns in the stock market through environmental, social and governance (ESG) disclosure in IRs, corroborating the recently rising investor interest in voluntary integrated reporting in Japan. Originality/value This study contributes to the literature on the value relevance of voluntary adoption of integrated reporting by providing evidence of firms achieving significantly positive abnormal returns around voluntary IR publication dates. There is no published analysis on this topic using multitudes of sample firms using the event study methodology.

scholarly journals Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

2019 ◽  
Vol 7 (1) ◽  
pp. 7 ◽  
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Markets ◽  
Eastern European ◽  
The European Union ◽  
Market Reactions ◽  
Daily Data ◽  
Study Methodology ◽  
International Portfolios ◽  
International Investors ◽  
The Uk ◽  
Stock Market Reactions

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern European (SEE) stock markets to the Brexit vote on 23 June 2016. Using daily data for the time span from January 2010 until July 2016 and the event study methodology (ESM), the return and volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned event. This is important for international investors and gives information on the reaction of mentioned markets to big political and economic events in order to tailor international portfolios in a way to hedge from risk.

scholarly journals Do mergers and acquisitions in china create value to acquiring firms?

2015 ◽  
Vol 12 (4) ◽  
pp. 117-140 ◽  
Author(s):  
Geeta Duppati ◽  
Sazali Abidin ◽  
Jiani Hu
Keyword(s):  
Mergers And Acquisitions ◽  
Stock Returns ◽  
Abnormal Return ◽  
Factor Model ◽  
Market Model ◽  
Short Term ◽  
Market Reactions ◽  
Stock Market Reactions ◽  
Term Performance

This paper investigates both short-term and long-term stock market reactions to the announcement of domestic and cross-border Mergers and Acquisitions (M&As) by Chinese acquiring companies. For short-term performance, this study uses market model methods to calculate daily abnormal return and measure how M&A deals announcement impact on stock returns. For the long-term performance, this study uses market model, capital asset pricing model and Fama-French three factor model to calculate monthly abnormal return and measure whether M&A deals create value to shareholders. This paper also examines differences in operating performance between pre-acquisition and post-acquisition, and finally investigates whether cash flow from operations, Tobin’s Q and profit margin are significantly changed by M&A deals

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