Strategic Public Shaming: Evidence from Chinese Antitrust Investigations

2019 ◽  
Vol 237 ◽  
pp. 174-195
Author(s):  
Angela Huyue Zhang
Keyword(s):  
Infant Formula ◽  
Stock Prices ◽  
Media Coverage ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
National Development ◽  
Event Studies ◽  
Cumulative Abnormal Return ◽  
Event Window ◽  
Market Capitalization

AbstractThis article examines strategic public shaming, a novel form of regulatory tactics employed by the National Development and Reform Commission (NDRC) during its enforcement of the Anti-Monopoly Law. Based on analysis of media coverage and interview findings, the study finds that the way that the NDRC disclosed its investigation is highly strategic depending on the firm's co-operative attitude towards the investigation. Event studies further show that the NDRC's proactive disclosure resulted in significantly negative abnormal returns of the stock prices of the firm subject to the disclosure. For instance, Biostime, an infant-formula manufacturer investigated in 2013, experienced −22 per cent cumulative abnormal return in a three-day event window, resulting in a loss of market capitalization that is 27 times the antitrust fine that it ultimately received. The NDRC's strategic public shaming might therefore result in severe market sanctions that deter firms from defying the agency.

scholarly journals Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

2020 ◽  
Vol 4 (1) ◽  
pp. 340
Author(s):  
Fitri Astuti ◽  
Anggi Setya Prayoga
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Annual Report ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Event Window ◽  
Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

scholarly journals Price Reaction of Airline Stocks after Accidents: International Evidence

2017 ◽  
Vol 1 (3) ◽  
Author(s):  
Daniel Reed Bergmann ◽  
Mauri Aparecido Oliveira ◽  
Victor Wood Machado
Keyword(s):  
Stock Prices ◽  
Extreme Event ◽  
Abnormal Returns ◽  
Shareholder Wealth ◽  
Air Transport ◽  
Cumulative Abnormal Return ◽  
Event Window ◽  
Price Reaction ◽  
International Evidence ◽  
Simple Addition

Objective. In this paper we evaluate the reaction of airline stock prices after the occurrence of an extreme event, the air crash, based on international evidence.Methodology. We selected 49 cases that occurred between January of 1990 and April of 2011, we used the method of event studies. Cumulative Abnormal Return (CAR) was obtained through the simple addition of all abnormal returns contained in an event window. We also tested the existence of price reaction differences in high and low disclosure markets.Findings. The results obtained in this article, from a sample of 49 events, suggest that stock prices of air transport companies are instantaneously and negatively impacted by the occurrence of aerial accidents, average CAR of 4,3% until the tenth trading day after the event. And, this decrease in prices seems to be more pronounced when there are fatalities, but at the same time no differences were found due to the level of disclosure of the market in which the company is based. In addition, there appears to be a statistically significant negative reaction to the air crash, resulting in loss of shareholder wealth. The analyzes indicate that, as expected, the events in which victims were found, the loss of value of the company was considerably higher.Originality/Value. This article, in a pioneering way, considers the level of disclosure typical of the markets in the evaluation of the reaction of the prices to the occurrence of aerial accidents.

THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS

2019 ◽  
Vol 65 (04) ◽  
pp. 889-915
Author(s):  
TEPLOVA TAMARA ◽  
QAISER MUNIR ◽  
KAPICHNIKOVA MARIA
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Global Financial Crisis ◽  
Abnormal Returns ◽  
Share Price ◽  
Market Behavior ◽  
Expected Return ◽  
Trading Volumes ◽  
Tax Hypothesis ◽  
The Global Financial Crisis

This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the [Formula: see text] day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue [Formula: see text]3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.

scholarly journals Reaksi Pasar Terhadap Pengumuman Pergantian CEO di Bursa Efek Indonesia

2018 ◽  
pp. 2430
Author(s):  
I Kadek Diky Agusnawan ◽  
Dewa Gede Wirama
Keyword(s):  
Event Study ◽  
Chief Executive Officer ◽  
Capital Market ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Chief Executive ◽  
Ceo Turnover ◽  
Company Performance ◽  
Cumulative Abnormal Return ◽  
Event Study Method

Announcement of CEO turnover indicates a change in company management in order to improve company performance. The purpose of this study is to test whether the capital market reacts to CEO turnover announcements. This study uses event study method and the sample was selected purposively. The research sample consisted of 79 companies listed in the IDX. Based on the results of the analysis it is found that there are no abnormal returns around the CEO turnover announcement. The results shows that there is no information content in the CEO turnover announcement. The results of this study is consistent with the research of Warner et al., (1998) and Setiawan (2008). The results of the study is not consistent with the research of Weisbach (1988), Kang and Shivdasani (1996), Derment-Ferere and Renneboog (2000), Bahtera (2017). Keywords: Chief executive officer, cumulative abnormal return, market reaction

scholarly journals What Factors Affect Stocks’ Abnormal Return during the COVID-19 Pandemic: Data from the Indonesia Stock Exchange

2021 ◽  
Vol 6 (6) ◽  
pp. 1-11
Author(s):  
Yohanes Indrayono
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Early Period ◽  
World Health ◽  
Book Value ◽  
Market Capitalization

This study identifies Indonesian investors’ reactions to the drop in stock prices on the Indonesia Stock Exchange market, during the early months of the COVID-19 crisis, before and after the World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables that influence stock returns on this market during the financial crisis caused by the COVID-19 pandemic. This study uses a regression analysis of 70 firms, listed on the Indonesia Stock Exchange to examine the pandemic’s influence on trading volume, market capitalization, profitability, and book value for the period December 31, 2019, to April 30, 2020. The results show that stock returns were lower in the early period of the financial crisis caused by the pandemic. Firms’ trading volumes, profitability and book values positively affected stock returns and their market capitalization negatively affected stock returns during the study period. This study contributes useful insights to the finance literature and stock-market participants in terms of dealing with stock markets during financial crises. This study recommends that in any crisis investors should begin buying stocks or increasing their stock purchases to achieve abnormal returns by choosing stocks that perform well in terms of firm profitability and book value by looking a number of financial factors.

scholarly journals The effect of enforcement intensity on illegal insider trading volume: the case of Taiwan

2016 ◽  
Vol 13 (2) ◽  
pp. 141-148
Author(s):  
Han-Ching Huang ◽  
Jung-Tzu Chang
Keyword(s):  
Insider Trading ◽  
Abnormal Return ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Cumulative Abnormal Return ◽  
Critical Factors ◽  
Cumulative Abnormal Returns

In this paper, the authors examine the illegal insider trading volume and cumulative abnormal return by the relative variables of the amendment, the change of the securities price, the number of defendants, the penalty and the fine for insider who committed a crime, and the quality of concealed important information. Illegal insider trading is prohibited by the article 157-1 of Securities and Exchange Act in Taiwan. It has been amended three times to provide a sound and rigorous law and completely protect investors. The authors examine the illegal insider trading volume after the amendment to explore whether the Securities and Exchange Act is efficient enough to lower illegal insider trading. The authors find that the change of the securities price and the quality of concealed important information are the critical factors which affect the illegal insider trading volume and cumulative abnormal returns. Nevertheless, the relative variables of the amendment do not show significant effects

scholarly journals Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Indonesia 2019

2019 ◽  
Vol 29 (3) ◽  
pp. 1026
Author(s):  
I Gede Aditya Baskara ◽  
Made Gede Wirakusuma
Keyword(s):  
Event Study ◽  
Presidential Election ◽  
Stock Prices ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
T Test ◽  
Significant Difference

This research is an event study that aims to determine the market reaction arising from the 2019 Indonesian presidential election, against companies listed in the infrastructure stock sector on April 17, 2019, using the abnormal return indicator. This study uses secondary data in the form of daily stock prices per company during the period with the population of the infrastructure sector listed on the Indonesia Stock Exchange. The statistical tests used to test hypotheses are descriptive statistical tests, normality tests and one sample t-test. The results of the one sample t-test on abnormal return is that there is no significant difference, which means the market does not respond to the event. These results indicate that the efficient market is not answered in the 2019 Indonesian presidential election due to the absence of abnormal returns in it. Keywords : Event Study, Market Reaction, Abnormal Return, 2019 Indonesian Presidential Election.

scholarly journals ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (5) ◽  
pp. 2642
Author(s):  
Komang Intan Permatasari ◽  
I Ketut Mustanda
Keyword(s):  
Data Collection ◽  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Stock Index ◽  
January Effect ◽  
Average Abnormal Return ◽  
Day Of The Week

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia. Keywords: calendar effect anomaly, abnormal return

scholarly journals Apakah Pembatasan Sosial Berskala Besar Warga Negara Asing Berdampak Pada Average Abnormal Return?

2021 ◽  
Vol 1 (2) ◽  
pp. 160-171
Author(s):  
Asnat Susanti Dangga Lolu ◽  
Lusianus Heronimus Sinyo Kelen
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Large Scale ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Economic Sector ◽  
Stock Trading ◽  
Average Abnormal Return ◽  
Before And After ◽  
Research Period

This study examines the differences in stock prices listed on the Indonesia Stock Exchange as measured using average abnormal returns on events (event studies) before and after the enactment of Large-Scale Social Restrictions for Foreign Citizens, especially COVID-19 which has an impact not only threatening human health but also has an impact on the economic sector. This condition will certainly have an impact on all sectors including stock trading on the Indonesia Stock Exchange, especially the Tourism, Hospitality, and Restaurant sub-sector. By using a sample of 41 companies on the Indonesia Stock Exchange with a research period of 3 months (16 November 2020 to 15 February 2021) the type of purposive sampling research that meets the criteria and using paired sample t-test, the results show that there is no difference Average Abnormal Return before and after the occurrence of a PSBB event for Foreign Citizens. So it can be concluded that the PSBB for Foreign Citizens has no impact on the average abnormal return obtained by investors.

scholarly journals CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF THE FIRST CASE OF COVID-19 IN INDONESIA

2021 ◽  
Vol 2 (2) ◽  
pp. 301-312
Author(s):  
Sarlina Sari
Keyword(s):  
Abnormal Return ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Comparative Method ◽  
Abnormal Returns ◽  
Market Capitalization ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Sample Test

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

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