scholarly journals Impact of Political Uncertainty on Pakistan Stock Exchange: An Event Study Approach

2020 ◽  
Vol 11 (2) ◽  
pp. 194
Author(s):  
Fiaz Ahmad SULEHRI ◽  
Amjad ALI
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Stock Market Index ◽  
Study Approach ◽  
Market Index ◽  
Political Events ◽  
14Th Amendment ◽  
The Impact

Pakistan is struggling against many problems; out of which political instability and terrorism are crucial problems. These issues hindered the economic growth of the country as well as the confidence of investors. This study has investigated the impact of political events on Pakistan Stock Exchange. This paper uses a standard event study methodology. Data relating to the stock market index has been collected from the website of Pakistan Stock Exchange and relating to political events has been collected from the newspapers of Business Recorder and DAWN. A total of 18 political events was considered in the study out of which 08 events were coded as positive and other 10 were deemed negative. The first day abnormal return, a five-day cumulative abnormal return and ten-day cumulative return was calculated for all of the events. This study found evidence that political events affected the stock market in Pakistan, but their impact is different considering the economic and political implications of these events. Certain events had the strongest impact on the stock market like Nuclear tests for effective defense, the Supreme Court had revoked the Presidential order and Nawaz Sharif had been reinstated, General elections held in the country and the 14th amendment because 14th amendment was related to the elimination of corruption in political parties. Overall, this study laid the foundation to make further explorations into the phenomenon of uncertainty caused by political events in relevance to the stock market in Pakistan.

scholarly journals Reaksi Pasar Terhadap Peristiwa Politik Terkait Jokowi di Bursa Efek Indonesia

2015 ◽  
Vol 2 (3) ◽  
pp. 325-343
Author(s):  
Anis Sundiyah ◽  
I Made Sudana
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Presidential Candidate ◽  
Analysis Model ◽  
Stock Market Reaction ◽  
Political Events ◽  
Average Abnormal Return

This research examines stock market reaction to the political events related of Jokowi in the Indonesia Stock Exchange. Variables used in this research are average abnormal return (AAR) and cumulative average abnormal return (CAAR) which measured using a statistical test one sample t-test. In this research, there are 230 sampel in the announcement Jokowi as a presidential candidate, 316 sampelin the announcement of results of presidential election quick count and 339 sampel in the announcement of work cabinet. Analysis model in this research is event study during the test period of 11 days exchange trading. Consistency of the stock market reaction was compared descriptively based on the analysis of AAR and CAAR. Testresults of AAR and CAAR showed that stock market consistently reacted positively to the announcement Jokowi as a presidential candidate and the announcement of the work cabinet and inconsistent with the announcement of the results of quick count because stock market reacted negatively. keywords: event study, political events of Jokowi, AAR, CAAR, consistency reaction.

scholarly journals Quantitative relationship between corruption and development of the Tunisian stock market

2018 ◽  
Vol 7 (2) ◽  
pp. 39-47
Author(s):  
Ibtissem Missaoui ◽  
Mohsen Brahmi ◽  
Jaleleddine BenRajeb
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Quantitative Relationship ◽  
Stock Market Index ◽  
Private Companies ◽  
Stock Market Development ◽  
Market Index ◽  
The Government ◽  
The Impact ◽  
Positive Effect

The aim of this article is to seek especially the impact of corruption on the bond and stock market development. For the methodology/approach, the authors analyze a sample of 20 listed Tunisian firms from the Stock Exchange and Financial market, covering the period from 2006 to 2016 by using pooling cross section techniques. The results find a significant positive effect of the level of corruption on the stock market index and the logarithm of capitalization. This is consistent with the view that corruption accelerates the economic growth by speeding up transactions and allowing private companies to overcome the inefficiencies imposed by the government. Furthermore, the results find a negative association is not significant with the dependent variable of traded value as a percentage of the number of listed companies.

scholarly journals Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

2021 ◽  
Author(s):  
Shahid Raza ◽  
Baiqing Sun ◽  
Pwint Kay Khine
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
News Daily ◽  
Stock Market Index ◽  
Daily Newspaper ◽  
Monthly Basis ◽  
Market Index ◽  
The Impact

This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

scholarly journals Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange

2019 ◽  
Vol 5 (1) ◽  
pp. 43-54
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Market Index ◽  
Market Index ◽  
Study Methodology ◽  
Composition Changes ◽  
Event Study Methodology

AbstractThis paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

scholarly journals TESTE EMPÍRICO DA EFICIÊNCIA DO MERCADO BRASILEIRO NA OCORRÊNCIA DE EVENTOS FAVORÁVEIS E DESFAVORÁVEIS

2008 ◽  
Vol 12 (4) ◽  
pp. 44
Author(s):  
Glauber de Castro Barbosa ◽  
Otávio Ribeiro de Medeiros
Keyword(s):  
New York ◽  
Stock Market ◽  
Market Efficiency ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Uncertain Information ◽  
Stock Market Index ◽  
Market Index ◽  
Information Hypothesis

The study has the purpose of analyzing the behavior of the Brazilian stock market in order to verify the existence of market efficiency immediately after the occurrence of favorable and unfavorable events (shocks). To achieve this purpose, an event study is performed in which the return on the Brazilian stock market index (Ibovespa) is regressed against the return on the Dow Jones stock market index, which represents the New York Stock Exchange, adopted as a proxy for the world stock market index. Regression residuals appearing as outliers above +2.5% or below –2.5% were adopted to determine positive and negative events, respectively. Cumulative Abnormal Returns were computed and tested for a period of 10 days after the events. The empirical results led to the conclusion that market efficiency is not observed both after positive and negative shocks, but an overreaction behavior is observed instead. Key words: economic shocks. Market efficiency. Overreaction. Uncertain information hypothesis. Underreaction. Event study.

scholarly journals Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100

Economies ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 8 ◽  
Author(s):  
Caner Demir
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Capital Inflows ◽  
Foreign Direct Investments ◽  
Domestic Currency ◽  
Stock Market Index ◽  
Macroeconomic Factors ◽  
Market Index ◽  
The Impact

The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, the largest economic crises arise from the stock market instabilities and thus, the stock markets are the focus of interest of the economy. Economists, investors, and policymakers try to predict the tendency of share prices, which substantially depend on foreign and domestic macroeconomic factors. Within this purpose, this study tries to investigate the impact of some selected macroeconomic factors on BIST-100 index over the 2003Q1–2017Q4 period. The findings obtained from the quarterly data via the ARDL Bounds Test suggest that economic growth, the relative value of the domestic currency, portfolio investments and foreign direct investments raise the stock market index while interest rate and crude oil prices negatively affect it. The results briefly reveal that the Istanbul Stock Exchange Market needs stronger domestic currency, higher international capital inflows, and lower energy and investment costs.

scholarly journals DPP: Deep predictor for price movement from candlestick charts

PLoS ONE ◽  
2021 ◽  
Vol 16 (6) ◽  
pp. e0252404
Author(s):  
Chih-Chieh Hung ◽  
Ying-Ju Chen
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extensive Study ◽  
Stock Index ◽  
Stock Market Index ◽  
Price Movement ◽  
Market Prices ◽  
Taiwan Stock Exchange ◽  
Market Index ◽  
Political Events

Forecasting the stock market prices is complicated and challenging since the price movement is affected by many factors such as releasing market news about earnings and profits, international and domestic economic situation, political events, monetary policy, major abrupt affairs, etc. In this work, a novel framework: deep predictor for price movement (DPP) using candlestick charts in the stock historical data is proposed. This framework comprises three steps: 1. decomposing a given candlestick chart into sub-charts; 2. using CNN-autoencoder to acquire the best representation of sub-charts; 3. applying RNN to predict the price movements from a collection of sub-chart representations. An extensive study is operated to assess the performance of the DPP based models using the trading data of Taiwan Stock Exchange Capitalization Weighted Stock Index and a stock market index, Nikkei 225, for the Tokyo Stock Exchange. Three baseline models based on IEM, Prophet, and LSTM approaches are compared with the DPP based models.

scholarly journals IMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA

2019 ◽  
Vol 9 (1) ◽  
pp. 73-81
Author(s):  
Edin Djedović ◽  
◽  
Irfan Djedović ◽  
Keyword(s):  
Stock Market ◽  
Bosnia And Herzegovina ◽  
Negative Impact ◽  
Stock Exchange ◽  
Impulse Response Functions ◽  
Stock Market Index ◽  
Market Index ◽  
Significant Negative Impact ◽  
The Impact ◽  
Auto Regression

This study analyzes the impact of conventional index (SASX-30) on Islamic index (SASE-BBI) in Bosnia and Herzegovina. In the study are used daily index observations spanning in a period from October 2016 until May 2018. The data is obtained from the Sarajevo Stock Exchange database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant negative impact of conventional index volatility (SASX-30) on Islamic index volatility (SASX-BBI) in Bosnia and Herzegovina.

scholarly journals Investors’ Reactions to CSR News in Family Versus Nonfamily Firms: A Study on Signal (In)credibility

2021 ◽  
pp. 104225872110104
Author(s):  
Naciye Sekerci ◽  
Jamil Jaballah ◽  
Marc van Essen ◽  
Nadine Kammerlander
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Family Firms ◽  
Signaling Theory ◽  
Family Firm ◽  
Stock Market Index ◽  
Important Condition ◽  
Post Hoc Analysis ◽  
Market Index ◽  
Post Hoc

We study family firm status as an important condition in signaling theory; specifically, we propose that the market reacts more positively to positive, and more negatively to negative, CSR news (i.e., signals) from family firms than to similar news from nonfamily firms. Moreover, we propose that during recessions, the direction of these relationships reverses. Based on an event study of 1247 positive and negative changes in the CSR ratings for all firms listed on the French SFB120 stock market index (2003-2013), we find support for our hypotheses. Moreover, a post hoc analysis reveals that the relationships are contingent on whether a family CEO leads the firm.

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