scholarly journals Dynamic network and own effects on abnormal returns: evidence from China’s stock market

2020 ◽  
Author(s):  
Peter H. Egger ◽  
Jiaqing Zhu
Keyword(s):  
Stock Market ◽  
Network Effects ◽  
Abnormal Returns ◽  
Dynamic Network ◽  
Autoregressive Process ◽  
Market Returns ◽  
Stock Market Returns ◽  
Cumulative Abnormal Returns ◽  
Setting Events ◽  
The Usa

AbstractThis paper addresses the question of how to model the process of abnormal returns on individual stocks. It postulates a framework, where abnormal returns are generated by a process which features two autoregressive components, one stock-specific and one related to network effects. This process deviates from customary ones in that the parameters are specific to each stock/firm, that the autoregressive process is explicitly modelled instead of using cumulative abnormal returns over a pre-specified window, and that network effects are present. Abandoning either one of those deviations is rejected by data on Chinese stocks in 2018 and 2019, an episode which is significant for an abnormal stock-market returns analysis, as it was characterized by numerous tariff-setting events related to the “trade war” between the USA and China.

scholarly journals Do Higher-Rated or Enhancing ESG of Firms Enhance Their Long–Term Sustainability? Evidence from Market Returns in Korea

2020 ◽  
Vol 12 (7) ◽  
pp. 2664 ◽  
Author(s):  
Yeonwoo Do ◽  
Sunghwan Kim
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Stock Price ◽  
Abnormal Returns ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns ◽  
Listed Firms ◽  
The Third

In this study, we investigate the effects of the level and changes in environmental, social and corporate governance (ESG) rating, an index developed to represent a firm’s long-term sustainability, on the stock market returns of Korea Composite Stock Price Index (KOSPI) listed firms over the period 2011–2018. We find that the changes in ESG ratings have statistically significant short-term effects on their abnormal returns. However, their impacts on short-term abnormal returns decrease some days after the disclosure and become negative in the third year. The results imply that investors in the Korean stock market do not view corporate social responsibility activities as a means of supporting their long-term sustainability, judging from the firm value for a long period after their rating. Rather, based on the effects of the changes on coefficient signs over the period—positive in the year and the year after, no effects in the following year, and negative in the third year and later—we can infer that the short-term oriented market sentiments of investors might worsen their long-term stock performances, thus deteriorating their sustainability and growth opportunities.

Stock Market Seasonality in an Emerging Market

2004 ◽  
Vol 29 (3) ◽  
pp. 35-42 ◽  
Author(s):  
S N Sarma
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Market Returns ◽  
Reform Era ◽  
Stock Market Returns ◽  
Active Strategy ◽  
Calendar Anomalies ◽  
Indian Stock Market ◽  
Daily Returns

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric tests on the stock returns data, that turn of the year, month, week, and holidays have consistently generated abnormal equity returns in both the developed and emerging markets unrelated to the attendant risks. Studies on the Indian stock markets' calendar anomalies, especially in the post-reform era, are very few. In an attempt to fill this gap, this study explores the Indian stock market's efficiency in the 'weak form' in the context of calendar anomalies, especially in respect of the weekend effect. Daily returns generated by the SENSEX, NATEX, and BSE200 during January 1st 1996 to August 10th 2002 comprising a total of 1,667 observations for each of the indices are considered for testing the seasonality. While most of the studies have considered the returns of one of the major indices based on the closing values, this study examines the multiple indices for possible seasonality. An analysis of returns' pattern of multiple indices is helpful in identifying the presence or otherwise of the stock market seasonality associated with various portfolios and for testing the efficacy of investment game based on the observed patterns of the returns. This study employed the daily mean index value for generating the daily returns to relax the implied assumption of the earlier studies — by considering the closing values of the indices — that trading is done at the closing values. A non-parametric test — Kruskall-Wallis test using 'H' statistic — is employed for testing the seasonality in the Indian stock market returns. The null hypothesis tested is that there are no differences in the mean daily returns across the weekdays. The major findings of the study are as follows: The Indian stock markets do manifest seasonality in their returns' pattern. The Monday-Tuesday, Monday-Friday, and Wednesday-Friday sets have positive deviations for all the indices. The Monday-Friday set for all the indices has the highest positive deviation thereby indicating the presence of opportunity to make consistent abnormal returns through a trading strategy of buying on Mondays and selling on Fridays. The above-mentioned active strategy is found to be beneficial in case of SENSEX The above-mentioned active strategy is found to be beneficial in case of SENSEX alone during the study period while for the others — NATEX and BSE200 — a passive ‘buy and hold’ strategy is more effective. The study concludes that the observed patterns are useful in timing the deals thereby exploring the opportunity of exploiting the observed regularities in the Indian stock market returns.

Santa Claus Rally and firm size

2016 ◽  
Vol 42 (8) ◽  
pp. 817-829 ◽  
Author(s):  
Kenneth M Washer ◽  
Srinivas Nippani ◽  
Robert R Johnson
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Firm Size ◽  
Convincing Evidence ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Santa Claus ◽  
The Usa ◽  
The Impact

Purpose – Several articles in the popular press have detailed an end-of-year anomaly known as the Santa Claus Rally, a period best defined as the last five trading days of December and the first two trading days of January. The purpose of this paper is to examine US stock market returns over this period from 1926 to 2014. Design/methodology/approach – The authors examine the Santa Claus Rally by relating it to firm size in the stock markets of the USA. The Santa Claus Rally consists of the last five trading days in December and the first two in January. The authors use t-tests, non-parametric test and regression analysis to determine if investors in small firms get superior returns over the period 1926-2014. Findings – The authors find that returns are generally higher during the period and that the effect is considerably stronger for small-firm portfolios relative to large capitalization portfolios. The authors also provide convincing evidence that the three most important trading days (especially for small stock portfolios) are the last trading day in December and the first two trading days in January. Research limitations/implications – The authors only check the markets in the USA. Market makers can use this to get significantly high returns during the Christmas-New Year period. The study shows for the first time that there is a size effect as part of the Santa Claus Rally. Practical implications – This is the first study to show that Santa Claus Rally exists for a long time in the USA. It is the first study to show that there is a size effect in Santa Claus Rally. Market participants could get significantly higher returns by investing or being invested in the stock market during this period. Social implications – The impact of the holiday season on stock market returns. Originality/value – This is the first major academic study to examine Santa Claus Rally in this much detail. The authors not only show that the rally exists, the authors show that it is based on firm size and has been in existence for nearly 90 years in the USA.

scholarly journals The effects of ISO 14001 on corporate financial and environmental performance

2021 ◽  
Author(s):  
Melissa Lynn Mandula
Keyword(s):  
Stock Market ◽  
Environmental Performance ◽  
Abnormal Returns ◽  
Iso 14001 ◽  
Market Returns ◽  
Emission Reductions ◽  
Stock Market Returns ◽  
Event Window ◽  
Transportation Equipment ◽  
Time Periods

The purpose of this study is to examine the effects of ISO 14001 registration on corporate financial and environmental performance. The stock market's reaction to the ISO 14001 registration of a sample of Canadian firms is investigated. An analysis of the overall sample of companies revealed that there were no abnormal stock market returns experienced during a three day event window. However, abnormal returns were experienced when the companies were analyzed individually. The environmental performance component of this study investigated whether ISO 14001 registered facilities experience greater emission reductions than non-registered facilties within the Transportation Equipment Industries sector in Canada. The results of the analysis indicated that there was no difference between facilities that adopted ISO 14001 at differenct time periods and that the facilities that adopted ISO 14001 experienced an increase in aggregated weighed emissions.

scholarly journals Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis

2019 ◽  
Author(s):  
Vassilios Babalos ◽  
Guglielmo Maria Caporale ◽  
Nicola Spagnolo
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Fund Flows ◽  
Market Returns ◽  
Equity Fund ◽  
Stock Market Returns ◽  
Before And After ◽  
The Usa ◽  
The Global Financial Crisis

Abstract The 2008–2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper provides new insights by using US monthly data over the period 2000:1–2015:8 and estimating a VAR-GARCH(1, 1)-in-mean model with a BEKK representation, which also includes a switch dummy for the global financial crisis. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check, we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results.

scholarly journals Do Industry Specialist Auditors Add Value in Mergers and Acquisitions?

2015 ◽  
Vol 31 (4) ◽  
pp. 1245 ◽  
Author(s):  
Ho-Young Lee ◽  
Vivek Mande ◽  
Jong Chool Park
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Abnormal Returns ◽  
Financial Statements ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Audit Firm ◽  
External Auditors ◽  
Acquiring Firms

This study examines whether the stock market returns surrounding announcements of mergers and acquisitions (M&A) are higher for acquiring firms audited by industry specialists. External auditors are uniquely positioned to provide assurance on the financial statements of their acquiring clients both before and after an acquisition. Also, an important aspect of due diligence in M&A transactions is the external auditors review of the accounting records, financial statements, internal controls and information systems of the target company. Using a sample of 4,283 M&A announcements between 1988 and 2011 in the United States of America, we report the results from our main regressions, controlling for all the bidder traits and deal characteristics. We examine incremental effect of audit firm specialization on cumulative abnormal returns. We also measure the effect of audit firm industry specialization in a reduced sample of 3,946 acquisitions after removing all non-Big N auditors. We use Heckmans (1979) two-step procedure to ensure that announcement period return to the size of the audit firm is not driven by the determinants related to auditor choice. Consistent with the idea that industry specialists provide higher quality assurance and possibly superior M&A advisory services, we find that the stock market returns are higher when acquiring firms are audited by industry specialists.

scholarly journals Euro-Mediterranean Financial Markets Reaction to Political Elections

2021 ◽  
Vol 6 (2) ◽  
pp. 70-85
Author(s):  
Jihene Ghouli Oueslati ◽  
Nadia Basty ◽  
Lamis Klouj
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Abnormal Returns ◽  
Anomalous Behavior ◽  
Market Returns ◽  
Stock Market Returns ◽  
Mediterranean Countries ◽  
Market Disruption ◽  
Stock Market Performance ◽  
The Impact

This paper studies a sample of Euro-Mediterranean countries to test the link of political-financial interdependencies. We focus specifically on the impact of the occurrence of national elections on the reaction of financial markets. We used the GARCH (1,1) model and the concept of the volatility multiplier to test our hypotheses. The results established that political elections have a significant impact on stock market performance and volatility for Euro-Mediterranean countries. We detected anomalous behavior in stock market returns. Stock market returns on election day and in the days following the election are inversely higher as uncertainty about the election outcome decreases. Investor uncertainty, combined with the consequences of the multiparty system in Euro-Mediterranean countries, leads to negative abnormal returns around elections. In terms of volatility, we found that the greater degree of uncertainty about the situation and the market disruption affected by the media and social networks increase volatility before election day.

scholarly journals DOES ELECTION IMPACT ON STOCK MARKET RETURNS IN BANGLADESH?

2021 ◽  
pp. 1-18
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Descriptive Statistics ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Participants ◽  
Before And After ◽  
The Common ◽  
The Impact

This paper investigates the impact of parliamentary general election on the stock market returns by considering the previous fifteen days and the after fifteen days of each of six elections in Bangladesh held between 1991 and 2018. The study analyzed the election effect on stock returns through considering both abnormal returns by choosing 20 stocks as a proxy of portfolio motive of the investors and the broad index returns as a measurement of whole market scenario. The study employed descriptive statistics, t-tests, and F-tests to understand the impact of election by gauging the changes in return series. Descriptive statistics showed very high differences in means, standard deviations, and volatilities. Paired t-tests showed significant differences between the means and F-tests showed significant differences between the variances of the returns during before and after days of these elections. The results were the same for abnormal returns and broad index returns. The impacts of individual election on the returns were also found as the same in most cases. The study has found some very useful insights part of which can benefit the policymakers to reform the policies. The common investors and the financial market participants can also make better investment plan.

Cybercrime in Europe: surprising results of an expensive lapse

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Martin Roškot ◽  
Isaac Wanasika ◽  
Zuzana Kreckova Kroupova
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Cyber Attacks ◽  
The European Union ◽  
Market Returns ◽  
Market Reactions ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of ransomware cyber-attacks “WannaCry” and “Petya” on stock prices of publicly traded companies in the European Union. The study analyses a set of case studies related to largest recent cybercrime events, which happened in the first half of 2017. The study answers two questions, what is the impact of cybercrime to public companies? How do cybercrime announcements and publications affect stock prices? Design/methodology/approach Using archival financial data, an event study methodology was used to assess the impact of cybercrime activity on market value of European companies affected during WannaCry and Petya ransomware attacks in 2017. Findings The results suggest that announcements of information breaches because of ransomware exploits have impact on stock market returns. There is evidence of positive investors` reactions to the announcements. Specifically, there was little impact of “Wannacry” ransomware attack on market returns. Although stock market reactions differ by the sector, the market was positively affected in general. Our analysis of the impact of the more aggressive “Petya attack,” aimed at destroying affected data found evidence that such information security breach leads to increased market returns. There were significant abnormal returns starting from the third day of the announcement. These findings contradict previous results and the literature related to the impact of cyber-attacks. Originality/value Contrary to previous findings, the results suggest that ransomware attacks lead to positive market returns. However, cybercrime and other types of cyber-attacks pose serious threats whose implications deserve further investigation. Different attacks may have different consequences and could be potentially damaging to a firm’s reputation. Thus, it is necessary for companies to avoid becoming victim of cybercrime. Information systems should be continuously monitored for vulnerabilities.

scholarly journals The effects of ISO 14001 on corporate financial and environmental performance

2021 ◽  
Author(s):  
Melissa Lynn Mandula
Keyword(s):  
Stock Market ◽  
Environmental Performance ◽  
Abnormal Returns ◽  
Iso 14001 ◽  
Market Returns ◽  
Emission Reductions ◽  
Stock Market Returns ◽  
Event Window ◽  
Transportation Equipment ◽  
Time Periods

The purpose of this study is to examine the effects of ISO 14001 registration on corporate financial and environmental performance. The stock market's reaction to the ISO 14001 registration of a sample of Canadian firms is investigated. An analysis of the overall sample of companies revealed that there were no abnormal stock market returns experienced during a three day event window. However, abnormal returns were experienced when the companies were analyzed individually. The environmental performance component of this study investigated whether ISO 14001 registered facilities experience greater emission reductions than non-registered facilties within the Transportation Equipment Industries sector in Canada. The results of the analysis indicated that there was no difference between facilities that adopted ISO 14001 at differenct time periods and that the facilities that adopted ISO 14001 experienced an increase in aggregated weighed emissions.

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