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.

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.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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.

Volatility and cross correlations of stock markets in SAARC nations

2014 ◽  
Vol 3 (2) ◽  
pp. 154-169 ◽  
Author(s):  
Monica Singhania ◽  
Shachi Prakash
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
Cross Correlation ◽  
Global Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Indices

Purpose – The purpose of this paper is to examine cross-correlation in stock returns of SAARC countries, conditional and unconditional volatility of stock markets and to test efficient market hypothesis (EMH). Design/methodology/approach – Stock indices of India, Bangladesh, Sri Lanka and Pakistan are considered to serve as proxy for stock markets in SAARC countries. Data consist of daily closing price of stock indices from 2000 to 2011. Since preliminary testing indicated presence of serial autocorrelation and volatility clustering, family of GARCH models is selected. Findings – Results indicate presence of serial autocorrelation in stock market returns, implying dependence of current stock prices on stock prices of previous times and leads to rejection of EMH. Significant relationship between stock market returns and unconditional volatility indicates investors’ expectation of extra risk premium for exposing their portfolios to unexpected variations in stock markets. Cross-correlation revealed level of integration of South Asian economies with global market to be high. Research limitations/implications – Business cycles and other macroeconomic developments affect most companies and lead to unexplained relationships. The paper finds stock markets to exist at different levels of development as economic liberalization started at different points of time in SAARC countries. Practical implications – Correlation between stock indices of SAARC economies are found to be low which is in line with intra-regional trade being one of lowest as compared to other regional groups. Results point towards greater need for economic cooperation and integration between SAARC countries. Greater financial integration leads to development of markets and institutions, effective price discovery, higher savings and greater economic progress. Originality/value – The paper focuses on EMH and risk return relation for SAARC nations.

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.

Shariah-compliant investments and stock returns: evidence from the Indonesian stock market

2017 ◽  
Vol 8 (2) ◽  
pp. 143-160 ◽  
Author(s):  
Devi Lusyana ◽  
Mohamed Sherif
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Index ◽  
Superior Performance ◽  
Investment Performance ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.

scholarly journals The impact of supply chain disruptions on stock market returns during COVID-19

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hélène Flore Nguemgaing ◽  
Ana Claudia Sant’Anna
Keyword(s):  
Supply Chain ◽  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Google Trends ◽  
Meat Processing ◽  
Supply Chain Disruptions ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeHow has COVID-19 impacted meat processors' stock returns? The authors evaluate the effects of supply chain disruptions (e.g. lockdowns and COVID-19 incidences among workers) on stock market prices of meat processors during the COVID-19 pandemic.Design/methodology/approachThis study uses an event study approach to examine the disruptions from COVID-19 through events such as plant shutdowns, the pandemic announcement, lockdown dates and the first case of COVID-19 outbreaks in meat processing plants. The dataset includes S&P 500, Google Trends, financial beta and data collected for 14 US publicly traded meat processing companies.FindingsResults show that nationwide events (e.g. announcement of the pandemic) had no statistically significant impact on average abnormal returns of meat processing companies. Individually, however, firms experienced negative abnormal returns. COVID-19-related events in individual meat processing companies had a temporary negative abnormal return in the days prior to the event.Originality/valueThis study has two main contributions. First, the authors estimate the effect of COVID-19 on the returns of meat processors. Second, the authors use Google Trends to estimate the expected stock markets returns of meat processing companies. This study provides insight to investors on the behavior of industry returns from events such as outbreaks that affect human health.

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.

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