scholarly journals Does switching trading venues create value? Evidence from Hong Kong

2020 ◽  
Vol 27 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Johnny K.H. Kwok
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Abnormal Returns ◽  
Excess Returns ◽  
Trading Activity ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Two Measures ◽  
Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

Stock market reaction to cash dividends: evidence from the Nigerian stock market

2019 ◽  
Vol 45 (3) ◽  
pp. 366-380
Author(s):  
Friday Kennedy Ozo ◽  
Thankom Gopinath Arun
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Content Type ◽  
Price Reaction ◽  
Stock Market Reaction ◽  
Dividend Announcements ◽  
Stock Price Reaction

PurposeVery little is known about the effect of dividend announcements on stock prices in Nigeria, despite the country’s unique institutional environment. The purpose of this paper is, therefore, to provide empirical evidence on this issue by investigating the stock price reaction to cash dividends by companies listed on the Nigerian Stock Exchange.Design/methodology/approachStandard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the cash dividend announcement date. Abnormal returns are also calculated employing the market-adjusted return model as a robustness check and to test the sensitivity of the results toβestimation. The authors also examine the interaction between cash dividends and earnings by estimating a regression model where announcement abnormal returns are a function of both dividend changes and earnings changes relative to stock price.FindingsThe study find support for the signaling hypothesis: dividend increases are associated with positive stock price reaction, while dividend decreases are associated with negative stock price reaction. Companies that do not change their dividends experience insignificant positive abnormal returns. The results also suggest that both dividends and earnings are informative, but dividends contain information beyond that contained in earnings.Research limitations/implicationsThe sample for the study includes only cash dividend announcements occurring without other corporate events (such as interim dividends, stock splits, stock dividends, and mergers and acquisitions) during the event study period. The small firm-year observations may limit the validity of generalizations from these conclusions.Practical implicationsThe findings are useful to researchers, practitioners and investors interested in companies listed on the Nigerian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Nigerian stock market.Originality/valueThis paper adds to the very limited research on the stock market reaction to cash dividend announcements in Nigeria; it is the first of its kind employing a unique cash dividends data.

From anticipation to anxiety in a market for lottery-like stocks

2015 ◽  
Vol 7 (1) ◽  
pp. 42-59 ◽  
Author(s):  
Mikael Boisen ◽  
Robert B. Durand ◽  
John Gould
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Oil And Gas ◽  
Abnormal Returns ◽  
Idiosyncratic Volatility ◽  
Content Type ◽  
Average Abnormal Return ◽  
Short Run ◽  
Run Up

Purpose – The purpose of this paper is to investigate a unique sample of lottery-like stocks and contextualize their short-run price behavior with respect to behavioral principles. Design/methodology/approach – The authors conduct a short-run event-study of the abnormal returns for stock market investments in Australian small-cap oil and gas (O & G) explorers centered on the drilling commencement (spudding) of 157 wildcat oil or gas wells drilled between January 2000 and June 2010. Findings – Small-cap stock market investments associated with newly spudded wildcat O & G wells are negative NPV gambles rather than fair (zero NPV) investments. Once a wildcat well is spudded, the 30-day expected abnormal return is 6-8 percent: wealth-maximizing stockholders are advised to sell upon news of spudding, but gamblers may wish to hold on for the chance of a 10.6 percent 30-day average abnormal return (if the well is not plugged and abandoned). In the lead-up to each gamble the authors observe a significant pre-spudding stock price run-up on average, perhaps indicative of positively affected investors aroused by an easily imagined successful wildcat gusher as per evidence on the influence of image and affect on investors’ decisions (MacGregor et al., 2000; Loewenstein et al., 2001; Rottenstreich and Hsee, 2001; Peterson, 2002). Originality/value – The wildcat drilling events considered in this paper are lottery-like by nature, and spudding represents the distinct moment when the gamble is unambiguously on, following shortly on from which investors either strike it lucky or strike out. The specifically small-cap wildcatters are typically heavily vested in one well at a time, therefore the sample stocks are uniquely lottery like. This differs from other studies which infer the lottery-like nature of their sample stocks from characteristics such as price and idiosyncratic volatility.

Market reaction to the international acquisitions by Chinese firms

2020 ◽  
Vol 14 (4) ◽  
pp. 915-934
Author(s):  
Xinzhe Lin ◽  
Yina Li ◽  
Xiaolan Wan ◽  
Jiuchang Wei
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Innovation Capability ◽  
International Acquisitions ◽  
Chinese Firms ◽  
Content Type ◽  
Cross Border ◽  
Acquiring Firms

Purpose The purpose of this paper is to examine the effects of cross-border mergers and acquisitions (M&As) by firms in the emerging marketing on stock market cumulative abnormal returns (CARs). This research focuses on the acquiring firms in emerging markets and broadens the existing scope which highlights the M&As by firms in developed countries. Design/methodology/approach Regarding the controversial argument on the effect of cross-border M&As, the authors introduce a resource-based theory to explain the motivation of M&As by Chinese firms, conduct an event study analysis of 472 international acquisitions by Chinese firms from 2010 to 2015 and indicate cross-border M&As as a positive signal in the stock market. Findings The results reveal that cross-border M&As result in significantly positive CARs in a short term for the acquiring firms listed in mainland markets but not for that in the Hong Kong market. Furthermore, consistent with signaling theory and the investors’ heuristic thinking in decision-making, investors may adopt the technological innovation capability of the country where the target firms locate, and the acquiring firm’s preannouncement in shaping their positive judgment of the acquiring firm’s near future performance. Originality/value The authors distinguished the responses of the investors from the mainland and Hong Kong stock markets and investigated how the knowledge of the national innovation capability of the target firm and acquisition preannouncement influence the investors’ interpretation of the cross-border M&As as a market signal.

scholarly journals Growth enterprise market in Hong Kong

2019 ◽  
Vol 27 (1) ◽  
pp. 19-34
Author(s):  
Trang Nguyen ◽  
Taha Chaiechi ◽  
Lynne Eagle ◽  
David Low
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Long Memory ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Statistical Significance ◽  
Weak Form ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Hedging Strategies

Purpose Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this paper is to examine the evolving efficiency and dual long memory in the GEM. This paper also explores the joint impacts of thin trading, structural breaks and inflation on the dual long memory. Design/methodology/approach State-space GARCH-M model, Kalman filter estimation, factor-adjustment techniques and fractionally integrated models: ARFIMA–FIGARCH, ARFIMA–FIAPARCH and ARFIMA–HYGARCH are adopted for the empirical analysis. Findings The results indicate that the GEM is still weak-form inefficient but shows a tendency towards efficiency over time except during the global financial crisis. There also exists a stationary long-memory property in the market return and volatility; however, these long-memory properties weaken in magnitude and/or statistical significance when the joint impacts of the three aforementioned factors were taken into account. Research limitations/implications A forecasts of the hedging model that capture dual long memory could provide investors further insights into risk management of investments in the GEM. Practical implications The findings of this study are relevant to market authorities in improving the GEM market efficiency and investors in modelling hedging strategies for the GEM. Originality/value This study is the first to investigate the evolving efficiency and dual long memory in an SME stock market, and the joint impacts of thin trading, structural breaks and inflation on the dual long memory.

scholarly journals The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market

2021 ◽  
Vol 18 (4) ◽  
pp. 1398
Author(s):  
Kuo-Jung Lee ◽  
Su-Lien Lu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Recovery Phase ◽  
Socially Responsible ◽  
Cumulative Impact ◽  
Study Approach ◽  
Price Performance ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

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.

Thanks, neighbor! Stock market experience around significant European tax cuts

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Huabing Wang ◽  
Anne Macy
Keyword(s):  
Stock Market ◽  
Spillover Effect ◽  
Abnormal Returns ◽  
The Other ◽  
Stock Index ◽  
Corporate Tax ◽  
Cross Sectional ◽  
Content Type ◽  
Study Approach ◽  
Tax Cuts

PurposeThis paper analyzes the effect of corporate tax cuts on the competitiveness of the tax-cutting countries and neighbor countries.Design/methodology/approachThis study utilizes four significant corporate tax reforms among the OECD countries in Europe that offer a one-time tax cut of 6% or more. The short-term event study approach examines the stock index reactions for both the tax-cutting countries and the other countries. Multivariate fixed-effect regressions are employed to study the cross-sectional variations in the non-tax-cut countries.FindingsThis paper finds positive excess returns for Slovakia and Germany around the tax-cut passage. Multivariate analysis of stock market reactions of the non-tax-cutting countries reveals some evidence supporting both the positive spillover effect and the negative competitive loss effect. More advanced countries are more likely to experience higher abnormal returns, while higher tax countries are more likely to suffer lower abnormal returns. Other factors identified that might have influenced the effect of a foreign tax cut include the existing trade flows with the tax-cutting countries, whether the country has a common currency and the export orientation of the economy.Research limitations/implicationsThe findings are subject to sample-size issues. The lack of results for the other two countries is due to complicating events, as suggested by the further investigation of concurrent news events around the event days.Practical implicationsThe simultaneous analysis of the reform countries and the other countries in the region suggests that policymakers need to consider the relative positioning of their country vs the other countries in terms of economic development and current tax burdens when determining the optimal policy for their country or to respond to the tax policy changes in the other countries.Originality/valueThis study offers empirical evidence regarding the effect of corporate tax changes on competitiveness through the lens of stock markets' reactions, which depend on the net results of the spillover gain vs the competitive loss.

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