scholarly journals IMPACT OF DEMONETIZATION ON INDIAN BANKING STOCKS: AN EVENT STUDY METHODOLOGY

2021 ◽  
pp. 32-39
Keyword(s):  
Event Study ◽  
Tax Evasion ◽  
Stock Prices ◽  
Banking Sector ◽  
Abnormal Returns ◽  
Indian Government ◽  
Study Methodology ◽  
Indian Stock Market ◽  
The Impact ◽  
Event Study Methodology

Demonetization is the withdrawal of a particular form of currency from circulation. In other words, the notes lose their value as a currency. It is an instrument that is used to manage various economic problems such as inflation, corruption, tax evasion, etc. The Indian government on November 8, 2016, decided to demonetize high denomination currencies. This announcement had an impact on several sectors of the Indian economy. This study is an investigation to measure the impact of demonetization announcements on the Indian banking sector. This study employs cumulative abnormal return (CAR) and an event study methodology to measure the impact of the decision on the selected banking stocks. The study shows that demonetization had a significant impact on the stock prices of selected banks. The findings of the study suggest that on the event day, none of the selected stock has shown significant positive abnormal returns. Further on the event day and followed by the event day positive significant ARR is observed indicating demonetization had a significant impact on the stock prices of selected banks. Also, CAR on the event day is not equal to zero indicating the Indian stock market was not efficient for demonetization announcement.

scholarly journals Impact of Merger and Acquisition Announcements on Stock Return, Volatility and Liquidity of Acquirers: Evidence from the Indian Banking Sector

2020 ◽  
Vol 19 (1) ◽  
Author(s):  
Pinky Mal ◽  
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Stock Return ◽  
Banking Sector ◽  
Abnormal Returns ◽  
Merger And Acquisition ◽  
Stock Volatility ◽  
Study Methodology ◽  
Acquisition Announcements ◽  
Event Study Methodology

This study attempts to examine the stock behaviour of acquirer banks during pre and post-merger and acquisition (M&A) announcement period in the Indian banking sector. Data of M&A events that took place in the Indian banking sector during 2000-2018 was collected from the prowessdx database. The sample consisted of 31 merger and 351 acquisition announcements during 2000-2018 in the Indian Banking sector. Stock prices of sample banks were extracted from the NSE for an event window of -10 to +10 days and the event study methodology was used for analysis. The results suggest that shareholders of Indian acquirer banks generate small and insignificant abnormal returns from M&A deals. Return variability was also noticed from the curvy jumps in the average abnormal spread of returns during the announcement period. Whereas, the average abnormal change in liquidity witnessed a sharp hike on day 0 i.e. the date of deal announcement and it remained negative throughout the post-deal period. KEYWORDS: Mergers and Acquisitions, Stock Return, Stock Volatility, Stock Liquidity, Event Study Methodology.

Baggage Fees and Airline Stock Performance: A Case Study of Initial Investor Misperception

2012 ◽  
Vol 51 (1) ◽  
Author(s):  
Gerhard J. Barone ◽  
Kevin E. Henrickson ◽  
Annie Voy
Keyword(s):  
Financial Performance ◽  
Event Study ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Stock Performance ◽  
Study Methodology ◽  
The Impact ◽  
Fuel Costs ◽  
Event Study Methodology

In response to increasing fuel costs, airlines began introducing baggage fees as a new source of revenue, fees which have since been increased. In this study, an event study methodology is used to examine the impact of these announcements on airline stock prices. The results indicate that the initial announcements led to negative abnormal returns for the announcing firm and other competing airlines, as they were interpreted as a sign of industry weakness. However, the results also show that subsequent increases in baggage fees, which had been shown to positively impact the airline’s financial performance, are associated with positive abnormal returns.

Market reactions to the inclusion of people with disabilities

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Claudia Araceli Hernández González
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
People With Disabilities ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Research Advance ◽  
The Impact

PurposeThis study aims to provide evidence of market reactions to organizations' inclusion of people with disabilities. Cases from financial journals in 1989–2014 were used to analyze the impact of actions taken by organizations to include or discriminate people with disabilities in terms of the companies' stock prices.Design/methodology/approachThis research is conducted as an event study where the disclosure of information on an organization's actions toward people with disabilities is expected to impact the organization's stock price. The window of the event was set as (−1, +1) days. Stock prices were analyzed to detect abnormal returns during this period.FindingsResults support the hypotheses that investors value inclusion and reject discrimination. Furthermore, the impact of negative actions is immediate, whereas the impact of positive actions requires at least an additional day to influence the firm's stock price. Some differences among the categories were found; for instance, employment and customer events were significantly more important to a firm's stock price than philanthropic actions. It was observed that philanthropic events produce negative abnormal returns on average.Originality/valueThe event study methodology provides a different perspective to practices in organizations regarding people with disabilities. Moreover, the findings in this research advance the literature by highlighting that organizations should consider policies and practices that include people with disabilities.

scholarly journals Is the market swayed by press releases on corporate governance? Event study on the Eurostoxx banks

2018 ◽  
Vol 15 (3) ◽  
pp. 23-31 ◽  
Author(s):  
Marina Brogi ◽  
Valentina Lagasio
Keyword(s):  
Corporate Governance ◽  
Event Study ◽  
Stock Prices ◽  
Investment Decisions ◽  
Press Releases ◽  
European Banks ◽  
Study Methodology ◽  
The Impact ◽  
Governance Disclosure ◽  
Event Study Methodology

Are press releases on Corporate Governance price sensitive? What is the impact of Corporate Governance information on stock prices of banks? This paper addresses these questions by applying an event study methodology on 70 press releases published by the Euro area banks listed on the Eurostoxx banks Index, from 2007 to 2016. Systemic shocks are explored as well idiosyncratic ones. Our results show that investment decisions are significantly but negatively influenced by the disclosure of a press release on corporate governance as if this kind of news leads investors to perceive the banks’ prospects negatively. The best of our knowledge this is the first paper that investigates European banks press releases on corporate governance. Findings are relevant for banks’ management and their disclosure policy. Nonetheless, further research is needed to investigate differences and similarities between an area of governance disclosure and another.

scholarly journals COVID-19’s Impacts on the Kuwaiti Stock Market’s Performance

2021 ◽  
Vol 16 (5) ◽  
pp. 122
Author(s):  
Ahmad Al-Kandari ◽  
Kholoud Al-Roumi ◽  
Meshal K. AlRoomy
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Event Study ◽  
Consumer Goods ◽  
Abnormal Returns ◽  
Consumer Services ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact ◽  
Event Study Methodology

This study investigates the impact of COVID-19 pandemic on daily stock returns in Kuwait Stock Market (KSE) over the period from 28 March to 20 April 2020. By applying the event study methodology (ESM) approach, the results reveal that the pandemic has positively impacted stocks of banks, consumer goods and telecommunications sectors. However, oil & gas, real estate, financial, basic materials, industrials, consumer services, and insurance stocks have been negatively impacted by the pandemic. The COVID-19 pandemic's most negatively affected are services and financial stocks. The cumulative average abnormal returns (CAAR) of all sectors were affected negatively by the COVID-19 pandemic.

scholarly journals Stock Spams: Another Kind Of Stock Prices Manipulation

2012 ◽  
Vol 29 (1) ◽  
pp. 79 ◽  
Author(s):  
Taoufik Bouraoui ◽  
Mohamed Mehanaoui ◽  
Bouchaib Bahli
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Market Reaction ◽  
Font Size ◽  
Event Window ◽  
Parametric Test ◽  
Study Methodology ◽  
Penny Stocks ◽  
The Impact ◽  
Event Study Methodology

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify;" class="MsoNormal"><span style="font-family: Times New Roman;"><span lang="EN-GB" style="color: black; font-size: 10pt; mso-ansi-language: EN-GB;">This research investigates the market reaction to an information-based manipulation called stock spams. The impact is focused on the liquidity variable which is measured by </span><span lang="EN-GB" style="font-size: 10pt; mso-ansi-language: EN-GB;">Amivest ratio. Using the event study methodology on a sample of penny stocks for the period February 2006 through October 2008, our findings suggest <span style="color: black;">positive and significant abnormal liquidities for stocks targeted by manipulators during the event window. Robustness checks were performed using a non-parametric test. These results support the thesis that this kind of manipulation is a very flourishing business that manipulators exploit by simply purchasing stocks at low prices and selling them at higher prices. </span></span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

scholarly journals Dividend Announcement and Ex-Dividend Effects on Stock Return

2016 ◽  
Vol 8 (7) ◽  
pp. 207
Author(s):  
Dinh Bao Ngoc ◽  
Nguyen Chi Cuong
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Stock Return ◽  
Dividend Policy ◽  
Abnormal Returns ◽  
Listed Companies ◽  
Announcement Date ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

<p>We study the impact of dividend policy on the stock return by investigating reaction of the stock price on the dividend announcement date and the ex-dividend date.<strong> </strong>In order to achieve this goal, a sample comprising 1962 observations of dividend-related events from 432 listed companies in Vietnam during the period 2008 to 2015 is chosen to analyze and the event study methodology is used to estimate abnormal returns to the shares around the announcement date and the ex-dividend date. Our results clearly show that the effect of dividend announcement on the stock return is positive around the announcement date. In addition, the stock price moves up as long as the ex-dividend date approaches and then starts decreasing from this date onwards.</p>

International Mutual Fund Performance and Political Risk

2005 ◽  
Vol 08 (01) ◽  
pp. 167-184 ◽  
Author(s):  
Barrie A. Bailey ◽  
Jean L. Heck ◽  
Kathryn A. Wilkens
Keyword(s):  
Mutual Funds ◽  
Event Study ◽  
Mutual Fund ◽  
Abnormal Returns ◽  
Political Risk ◽  
Equity Mutual Funds ◽  
International Equity ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Recent years have witnessed phenomenal growth in both the number and size of US based international equity mutual funds. While the benefits of international diversification are well documented in the literature, empirical research relating to the performance of international mutual funds has been limited and contradictory. The purpose of this study is to examine the impact of political risk on the risk-adjusted returns of international mutual funds using a modified event study methodology. More specifically, the dummy variable event study methodology using portfolios rather than individual funds is used. This methodology addresses the problems of multiple event days and calendar clustering. The macro political risk event of interest is the Iraqi invasion of Kuwait. Results of the study suggest that shareholders of international equity mutual funds earn significant abnormal returns in the face of political turmoil.

scholarly journals Abnormal returns: econometric problems or psychological bias?

2008 ◽  
Vol 5 (3) ◽  
pp. 463-470
Author(s):  
Nizar Hachicha ◽  
Abdelfettah Bouri ◽  
Foued Khlifi
Keyword(s):  
Event Study ◽  
Behavioral Finance ◽  
Stock Prices ◽  
Empirical Studies ◽  
Abnormal Returns ◽  
Strong Positive Correlation ◽  
Study Methodology ◽  
Trading Volumes ◽  
Psychological Bias ◽  
Event Study Methodology

To validate the existence of abnormal returns, the most of empirical studies use the event study methodology which examines the behavior of firms’ stock prices around corporate event. However, this methodology was been the source of several limits. Some defenders of efficiency theory assert that the abnormal returns are due to the event study methodology failures and econometric problems. However, partisans of behavioral finance demonstrate that the abnormal returns are due to psychological bias. The main purpose of this paper is to verify if the abnormal returns resulting from the event study methodology are due to econometric problems or to psychological bias generated by irrational investors’ reactions. For the econometric bias, five problems are studied: the choice of market index; the missing observations; the abnormal returns normality, joined hypothesis; and the variance volatility in the event window. Results show that abnormal returns are far from being due to the event study methodology failures and econometric bias. For the psychological problems, based on trading volumes, the results show negative and significant abnormal returns (investors’ under-reaction); a strong positive correlation between abnormal returns and abnormal trading volumes and a significant causal sense between them. So, abnormal returns are due to psychological bias

scholarly journals Will Investors Profit By Following The Stock Recommendations Published In Barrons?

2011 ◽  
Vol 4 (3) ◽  
Author(s):  
Francis Cai ◽  
LianZan Xu
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Recommendations ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Barron's is a weekly financial magazine published by Dow Jones. It’s considered America's premier financial weekly. Every week, Barron’s magazine will include a section “Research Reports,” which contains the analysts’ recommendations. Using event study methodology and market model as a benchmark, we calculate abnormal returns to ascertain the impact of the recommendations published in the Research Reports. We find that there are no statistically significant long-term abnormal returns associated with the published recommendations in Barron’s.

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