Market reaction to the Karachi stock exchange floor imposition

2015 ◽  
Vol 4 (2) ◽  
pp. 275-291 ◽  
Author(s):  
Saqib Sharif
Keyword(s):  
Financial Markets ◽  
Market Reaction ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Content Type ◽  
Market Intervention ◽  
Price Floor ◽  
Price Freeze ◽  
Regulatory Intervention

Purpose – The purpose of this paper is to investigate the market reaction to the decision made by the management of the Karachi Stock Exchange (KSE) to impose a price floor that resulted in trading curbs in 2008. The paper analyzes if regulatory intervention helped in restoring investor confidence. Design/methodology/approach – The paper examines the effect of enforcement of a price floor and trading curbs by splitting the time period studied into two periods: pre-floor and post-floor period. The parametric t-statistics and non-parametric Mann-Whitney test are used to compare the abnormal returns (ARs), abnormal trading volume, bid-ask spread, Amihud illiquidity ratio, and price volatility between the two periods. Event study was conducted to observe the behavior of market returns surrounding market-wide price floor. Finally, multivariate regression analysis was also applied by controlling for factors that might influence valuation, liquidity, and volatility. The standard errors have been corrected for cross-sectional clustering due to market-wide restrictions. Findings – The study found an adverse impact of price freeze and trading curb in the KSE, following the relaxation of floor (resumption of active trading). First, the price of securities (or ARs) significantly declined following the relaxation of the price freeze. Second, the market liquidity deteriorated following the relaxation of the price floor. Third, the price volatility increased in the post-floor period. It seems that the decision made by the KSE’s board to implement lower cap on prices for an extended period was ineffective. Practical implications – Market intervention by regulators to bring calm in the financial markets have negative consequences across the globe. The results presented in this paper suggest that implementing price floor brought inefficiency in the market and prevented firms from raising capital to finance their future investments. The author believe this study will add to the knowledge base of regulatory intervention and its impact on the performance of financial markets. Originality/value – There is no empirical evidence on the impact of price limits on volatility in emerging markets. The author selected Pakistan as a case study, where we particularly focus upon impact of the enforcement of a price floor around the peak of Global Financial Crisis (or market intervention) in Pakistan. This study also documents the effect of trading curb on liquidity and volatility in an emerging market, given that a majority of research on trading halt/price limits is based on developed markets.

The relationship between knowledge-based economy and fraudulent financial reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abbas Koolivand ◽  
Mahdi Salehi ◽  
Meysam Arabzadeh ◽  
Hassan Ghodrati
Keyword(s):  
Financial Markets ◽  
Financial Reporting ◽  
Fixed Effects ◽  
Stock Exchange ◽  
Fraudulent Financial Reporting ◽  
Content Type ◽  
Knowledge Based ◽  
Robust Testing ◽  
Knowledge Based Economy ◽  
The Relationship

Purpose This paper aims to assess the relationship between a knowledge-based economy and fraudulent financial reporting. Design/methodology/approach The study is descriptive-correlation based on published information from enlisted firms on the Tehran Stock Exchange during 2013–2019 with a sample of 178 firms (1,246 observations). The method used for hypothesis testing is linear regression using the panel data. Findings The results show that a knowledge-based economy is associated negatively and significantly with financial reporting. Moreover, robust testing has also examined the hypotheses (including fixed effects, OLS and t + 1) that confirmed the study’s preliminary results. Originality/value As the study was carried out in the emergent financial markets, like Iran, to figure out the relationship between knowledge-based economy and financial reporting, it can provide helpful information for the practitioners in this field.

The effect of auditor narcissism on audit market competition

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hojat Mohammadi ◽  
Mahdi Salehi ◽  
Meysam Arabzadeh ◽  
Hassan Ghodrati
Keyword(s):  
Financial Markets ◽  
Significant Relationship ◽  
Design Methodology ◽  
Audit Quality ◽  
Stock Exchange ◽  
Market Competition ◽  
Competitive Pressure ◽  
Content Type ◽  
Listed Firms ◽  
Audit Market

Purpose This paper aims to assess auditor narcissism’s effect on audit market competition (auditor concentration, clients’ concentration and competitive pressure). Design/methodology/approach This paper’s method is descriptive-correlational based on published information from listed firms on the Tehran Stock Exchange from 2012 to 2018 using a sample of 188 firms (1,310 observations). The method used for hypothesis testing is linear regression using panel data. Findings The results show a negative and significant relationship between auditor narcissism and audit market competition and its indices, including auditor concentration, clients’ concentration and competitive pressure. Moreover, a positive and significant relationship was observed between audit quality and audit market competition and its indices, including auditor concentration, client concentration and competitive pressure. Originality/value To analyzes competition indices in the audit market (auditor concentration, clients’ concentration and competitive pressure). The variable is assessed once more using the exploratory factor analysis of the so-called three variables single variable, named audit market competition. So the central question of the study is investigated within a broader sense. Moreover, as the present study is carried out in the emergent financial markets with extremely competitive audit markets to figure out the effect of auditors’ intrinsic characteristics on such markets’ competitiveness, it can provide useful information in this field.

Gender matters: market perception of future performance

2020 ◽  
Vol 46 (10) ◽  
pp. 1247-1262
Author(s):  
Kylie A. Braegelmann ◽  
Nacasius U. Ujah
Keyword(s):  
Financial Markets ◽  
Gender Bias ◽  
Firm Size ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Capital Allocation ◽  
Event Window ◽  
Content Type ◽  
Window Approach ◽  
Over Time

PurposeThis paper aims to revisit the extant evidence on gender bias in the market. Specifically, it revisits reaction to CEO announcements. Also, it explores whether the development of the bias over time and by firm size aligns with existing theory.Design/methodology/approachThe paper examines cumulative abnormal returns around CEO announcements from 1992 through 2016 using a modified event study methodology. This evidence shown examines market reactions over time and by firm size.FindingsFinancial markets react more favorably to male CEO announcements, with a cumulative abnormal return of 49 basis points above the reaction to their female counterparts. Moreover, the paper finds that market reaction varies over time, which may be because of the increasing proportion of female CEOs, and by firm size, which may be due to the differences in new information available to investors.Research limitations/implicationsLimitations include sample size due to the paucity of female CEO announcements. This paper does not examine the effect of industry, detailed CEO characteristics or announcement content on market reaction. In addition, using an extended event window may increase the likelihood of capturing confounding events, such as mergers or earnings announcements, which limits the interpretability of the results.Practical implicationsGender bias in financial markets creates another institutional barrier for the advancement of female professionals, as well as implies inefficient capital allocation in markets.Originality/valueThe literature in this field is still inconclusive. Furthermore, bias development over time and the effect of information on bias remain unexplored. This study aims to fill that gap; furthermore, it introduces an extended event-window approach.

A Qatar solution is unlikely at the Gulf summit

2017 ◽  
Keyword(s):  
Saudi Arabia ◽  
Financial Markets ◽  
United Arab Emirates ◽  
Stock Exchange ◽  
Content Type ◽  
Face To Face ◽  
Self Sufficiency

Significance As the primary mediator in the dispute between Qatar and three of its GCC neighbours, Kuwait is seeking the first face-to-face meeting of the countries’ leaders since Saudi Arabia, the United Arab Emirates (UAE) and Bahrain launched their boycott of Qatar in June. Since then, both sides’ positions have become more entrenched. Impacts Whatever happens with the boycott, Qatar will focus on developing greater self-sufficiency and security through direct imports. A breakthrough deal would likely boost Gulf financial markets, particularly Qatar’s stock exchange, which is at a six-year low. The outcome of the summit will influence wider regional geopolitics, including Gulf rivalry with Iran in Yemen, Iraq and Lebanon.

Does intellectual capital have any influence on stock price crash risk?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Agung Nur Probohudono ◽  
Adelia Dyaning Pratiwi ◽  
Mahameru Rosy Rochmatullah
Keyword(s):  
Intellectual Capital ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Price Volatility ◽  
Crash Risk ◽  
Company Performance ◽  
Content Type ◽  
The Impact

PurposeThis paper explores the influence between intellectual capital (IC) and the risk of stock price crashes by using company performance as an intervening variable.Design/methodology/approachThis study empirically analyzes the impact of the efficiency of IC on stock price crash risk using a sample size of 152 companies listed on the Indonesia Stock Exchange (IDX) during 2018. To test the research hypotheses, regression analysis and path analysis were applied. In addition, the researchers added exploration to several studies to strengthen the results of this study.FindingsThis study’s findings indicate that investors' optimistic (pessimistic) sentiment regarding stock price volatility has obscured aspects of the financial performance of listed companies. This finding implies that investor sentiment has dominated influence on stock price crash risk so that the aspects of IC are obscured.Originality/valueThis research provides new information that IC disclosure in the stock market needs to include knowledge of the volatility of stock prices in order to reveal stock price crash risk.

scholarly journals Watch Your Neighbor: A Volatility Spillover in ASEAN-5 Stock Exchange

2019 ◽  
Vol 10 (1) ◽  
pp. 59-65
Author(s):  
Sumani Sumani ◽  
Siti Saadah
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Return ◽  
Stock Exchange ◽  
Selection Process ◽  
Asset Price ◽  
Price Volatility ◽  
The Philippines ◽  
Volatility Spillover ◽  
Asean Countries

In the process of financial markets integration, this research was conducted to investigate the phenomenon of the transmission of stock return volatility among stock market in five ASEAN countries. Those were Indonesia, Singapore, Malaysia, Philippines, and Thailand. The research was important because when the interdependence of financial markets had increased, changes in asset prices in the market were not only influenced by the shock in the market but also by its response to asset price volatility that occurred in other countries. Information about the volatility spillover between markets was important for investors to the portfolio selection process. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) method was used on a daily time series stock return data obtained by accessing www.bloomberg.com. The result indicates that the shock in Singapore, Malaysia, Thailand, and the Philippines stock market will be transmitted to the Indonesia Stock Market with an asymmetric pattern. It has increased intensity after the implementation of the ASEAN Economic Community in December 2015.

scholarly journals The Effect Of Price Limits Changes On Return Volatility: Evidence From The Stock Exchange Of Thailand

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Sirapat Polwitoon
Keyword(s):  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Price Limit ◽  
Return Behavior ◽  
Stock Exchange Of Thailand ◽  
Return Variance ◽  
The Impact

This paper investigates the effect of price limits changes on stock return behavior on the Stock Exchange of Thailand (SET). We compare the short run behavior of stock return under different regimes of price limits. The comparison is based on structural volatility, as measured by ratio of open-to-open return variance and close-to-close return variance. We also examine the covariance components of the 24-hour return and 12-hour return to detect the relation between limit width and the pattern of overreaction. We analyze the impact of trading volume and market value on structural volatility and overreaction as well. We find that return behavior at the SET is found to be rather consistent with those of other exchanges that employed price limit namely, Tokyo Stock Exchange and Taiwan Stock Exchange. In particular, the changes of price limit at the SET magnify the pattern of return behavior that exists before and after the changes resulting in increases in structural price volatility and overreaction during the narrow limit regime.

scholarly journals Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India

2015 ◽  
Vol 41 (1) ◽  
pp. 67-79 ◽  
Author(s):  
Silvio John Camilleri
Keyword(s):  
Stock Exchange ◽  
Price Volatility ◽  
Stock Market Volatility ◽  
Content Type ◽  
Trading Systems ◽  
Novel Approach ◽  
Return Distributions ◽  
Realised Volatility ◽  
Unusual Occurrence ◽  
Opening And Closing

Purpose – The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach the authors model intra-day volatility for the trading days preceding and succeeding the auction suspension. The authors also scrutinise return distributions to look for volatility changes during different parts of the day. Findings – When interpreted collectively, the empirical results suggest that the auction suspension was followed by reduced volatility particularly in the middle of the trading day and at the closing. Practical implications – Given that auctions are often incorporated in trading systems with the aim of curtailing volatility, the main conclusion, that the auction suspension was followed by lower volatility, has important practical inferences. Auctions cannot be automatically relied on to reduce volatility. The intricacies of the auction protocol and their interaction with ancillary market microstructure features may impact on auction efficacy. Originality/value – The paper adopts a novel approach towards assessing the effectiveness of auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since these periods do not materially differ in other subsidiary aspects. This is a noteworthy factor, since the empirical contexts considered in prior studies, often feature several simultaneous changes.

scholarly journals Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa

2014 ◽  
Vol 6 (10) ◽  
pp. 829-839
Author(s):  
Justice Matarutse
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
Stock Exchange ◽  
Price Volatility ◽  
Exchange Traded Funds ◽  
Absolute Size ◽  
Johannesburg Stock Exchange ◽  
Before And After ◽  
Underlying Stocks ◽  
New Evidence

Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in emerging markets. The study measures price volatility in ETFs and their underlying stocks before and after ETF inception so as to provide new evidence of the volatility implications of ETFs for financial markets. The analysis focuses on the Johannesburg Stock Exchange (JSE) SatrixTop40 ETF and its components using an EGARCH (1, 1) model. The analysis focuses on leverage effects, absolute size of volatility innovations and volatility persistence, and concludes that these volatility characteristics have changed and/or increased after the Satrix Top40 ETF introduction on the JSE.

Sign in / Sign up

Export Citation Format

Share Document