scholarly journals The Stock Investment Strategy at Company Acquisition

2014 ◽  
Vol 2 (3) ◽  
pp. 24-32
Author(s):  
Yu Wei Lan ◽  
Dan Lin ◽  
Lu Lin
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Mean Reversion ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Event Studies ◽  
Security Market ◽  
Efficient Market ◽  
Market Values

Recent studies in Accounting, Industrial Organizations and Finance often incorporate efficient market hypothesis in event studies. Event studies can be used to examine how changes in company environment affect corporate finance. However, using short-term stock prices to examine mean reversion may face a problem. Specifically, there is no evidence that changes in market values are unbiased estimates of changes in fundamentals. This study adopts program trading to test the mean reversion of an acquisition event (SPIL and ASE Group) between 2015 and 2016 in Taiwan. The results show that investors can use RSI spread and stock price deviation to make abnormal returns. In other words, investors can make profits based on technical analyses. Therefore, the evidence suggests that between 2015 and 2016, the security market in Taiwan did not fully meet the condition of a semi-strong form efficient market.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

scholarly journals An Empirical Analysis of the Efficient Market Hypothesis in China’s Stock Market

2021 ◽  
Vol 4 (3) ◽  
pp. 1-5
Author(s):  
Jiaxuan Xu
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Empirical Research ◽  
Empirical Analysis ◽  
Stock Prices ◽  
Efficient Market Hypothesis ◽  
Security Market ◽  
Stock Trading ◽  
Efficient Market ◽  
Basic Framework

The efficient market hypothesis is one of the most important theories in finance. According to this hypothesis, in a stock market with sound laws, good functions, high transparencies, and extensive competitions, all valuable information is timely, accurately, and fully reflected in the trend of stock prices including the current and future values of enterprises. Unless there are market manipulations, it would be impossible for investors to gain more above the average profits in the market by analyzing former prices. Since the efficient market hypothesis has been introduced, it has become an interest in the empirical research of the security market. It is one of the most controversial investment theories and there are many evidences supporting and also opposing this hypothesis. Nevertheless, this hypothesis still holds an important status in the basic framework of mainstream theories in modern financial markets. By analyzing simulated investment transactions in regard to stock trading of three different enterprises, this paper verified that the efficient market hypothesis is partially valid.

TESTING FOR THE EFFICIENT MARKET HYPOTHESIS IN STOCK PRICES: INTERNATIONAL EVIDENCE FROM NONLINEAR HETEROGENEOUS PANELS

2013 ◽  
Vol 18 (4) ◽  
pp. 943-958 ◽  
Author(s):  
Chien-Chiang Lee ◽  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Stock Price ◽  
Unit Root Test ◽  
Efficient Market Hypothesis ◽  
Global Scale ◽  
Order Zero ◽  
Efficient Market ◽  
Modeling And Forecasting ◽  
International Data

Using international data, this paper explores whether the efficient market hypothesis for real stock prices is supported for different panels. The stationarity of a real stock price has important implications for modeling and forecasting financial activities. On a global scale, we implement the recently developed nonlinear heterogeneous panel unit root test, which allows us to account for possible nonlinearity and cross-section dependence and to identify how many and which countries of the panel contain a unit root. The primary conclusion is that the stationarity of real stock prices varies between regions and levels of economic development. Overall, our empirical results illustrate that real stock prices in these countries are a mixture of stationary (integrated of order zero) and nonstationary (integrated of order one) processes.

THE EFFICIENT MARKET HYPOTHESIS REVISITED: EVIDENCE FROM THE FIVE SMALL OPEN ASEAN STOCK MARKETS

2012 ◽  
Vol 57 (03) ◽  
pp. 1250021 ◽  
Author(s):  
QAISER MUNIR ◽  
KOK SOOK CHING ◽  
FUMITAKA FUROUKA ◽  
KASIM MANSUR
Keyword(s):  
Stock Returns ◽  
Unit Root ◽  
Stock Prices ◽  
Stock Price ◽  
Efficient Market Hypothesis ◽  
Linear Series ◽  
Efficient Market ◽  
Threshold Autoregressive ◽  
Non Linear ◽  
Unit Root Process

The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This paper investigates the stock prices behavior of five ASEAN (Association of Southeast Asian Nations) countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand, for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing nonlinearity and non-stationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are a non-linear series and are characterized by a unit root process, consistent with the EMH. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore follow a non-linear series, however, stock price indices are stationary processes that are inconsistent with the EMH.

scholarly journals Stock price volatility during the COVID-19 pandemic: The GARCH model

2021 ◽  
Vol 18 (4) ◽  
pp. 12-20
Author(s):  
Endri Endri ◽  
Widya Aipama ◽  
A. Razak ◽  
Laynita Sari ◽  
Renil Septiano
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Practical Implication ◽  
Abnormal Returns ◽  
Garch Model ◽  
Price Volatility ◽  
Efficient Market Hypothesis ◽  
Empirical Literature ◽  
Stock Price Volatility ◽  
The Garch Model

This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to COVID-19 using an event study approach and the GARCH model. The research sample is the closing price of the Composite Stock Price Index (JCI) and companies that are members of LQ-45 in the 40-day period before the COVID-19 incident, 1 day during the COVID-19 incident (March 2, 2020) and 10 days after, January 6, 2020 – March 16, 2020. Empirical findings prove that abnormal returns react negatively to COVID-19, JCI volatility fluctuates widely during the COVID-19 event, and the GARCH(1,2) model can be used to assess volatility and predict stock abnormal returns in IDX in market conditions infected with COVID-19. The practical implication of the study’s findings for investors is that the COVID-19 event caused stock price volatility, which affects abnormal returns. Therefore, to face the conditions of uncertainty and increased volatility in the future, several lines of risk management are needed in managing a stock portfolio. In addition, it also opens up opportunities for speculators to profit in an inefficient market environment. This study is based on the empirical literature currently being developed to investigate the phenomenon of stock price volatility behavior during COVID-19 on the IDX. The GARCH model used proves that during the COVID-19 pandemic, stock price volatility increases and leads to a decrease in abnormal returns. The empirical findings also validate the efficient market hypothesis theory related to the study of events and the theory of financial behavior related to uncertainty.

scholarly journals PROFITABILITAS STRATEGI KONTRATRIAN DI BURSA EFEK INDONESIA

2021 ◽  
Vol 10 (2) ◽  
pp. 146-159
Author(s):  
Burhanudin Burhanudin ◽  
I Gede Mandra ◽  
Laila Wardani
Keyword(s):  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Research Topic ◽  
Efficient Market ◽  
Contrarian Strategy ◽  
Contrarian Strategies ◽  
Price Reversal

The efficient market hypothesis implies that no investor can get an abnormal return. This hypothesis has become a research topic that many researchers refer to. However, this hypothesis is strongly refuted after the discovery of several anomalies that are inconsistent with the efficient market hypothesis. One of them was found by De Bondt and Thaler (1985), that stock prices have a certain tendency, namely that stocks that perform well in one period will become stocks that perform poorly in the next period. Vice versa. This phenomenon is called overreaction or overreaction. These findings motivated further researchers to apply contrarian strategies to gain an advantage when there was an overreaction. This research is a study that is intended to obtain evidence of the ability of contrarian strategies in obtaining abnormal returns. This study aims to analyze the occurrence of overreaction on stocks on the Indonesia Stock Exchange and to analyze the advantages of implementing a contrarian strategy for investors. This research was conducted at companies listed on the Indonesia Stock Exchange. The companies selected were 100 companies with the most active transactions during 2019. From the results of data analysis, it can be concluded that there was a price reversal for the shares listed on the Indonesia Stock Exchange. This result is quite strong because it has been tested for up to 4 weeks. Despite the price reversal, the contrarian strategy was not able to generate significant returns for investors.Keywords :contrarian strategy, abnormal return, overreaction  

scholarly journals Effect of Brand Value on Firm Performance

2018 ◽  
Vol 7 (2) ◽  
pp. 40-48
Author(s):  
Fatih Konak ◽  
Yasemin Demir
Keyword(s):  
Firm Performance ◽  
Behavioral Finance ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Market Mechanism ◽  
Brand Value ◽  
Timely Manner ◽  
Efficient Market ◽  
Share Prices

The Efficient Market Hypothesis, developed by Fama, is a market in which prices reflect the current information and where abnormal returns are not possible. In case the securities value reflects the information fully, the existence of the efficient market is mentioned. Within the framework of market mechanism, if these concepts are not sufficient, behavioral finance has emerged focusing on the effect on stock prices. A brand is a symbol, a name or a combination of a merchandise for distinguishing it from the like.Owning a brand is more than a logo or symbol.The brand covers the entire business and affects the perception of customers. Brand value is the value of the brand's name, symbol and reputation.. Thus, the arrangements within the company that can be useful within the company could be done in a timely manner. Creating a brand and brand value has been a powerful competitive tool for businesses.Brand Finance, covers Turkey's most valuable 100 brands. To measure the strength and value of these brands, it annually determines the value of the world's largest brands and publishes its ranking. In this research, the effects of the increase, decrease and constant brand power on the share prices of companies listed in the BIST 100 index in the list of Brand Finance Turkey 100 in the years 2012-2017 were analyzed. According to the findings, it is seen that the changes in brand ranking have an effect on market performance of firms.  

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.

scholarly journals Stock Market Reaction to COVID-19: Evidence in Customer Goods Sector with the Implication for Open Innovation

2020 ◽  
Vol 6 (4) ◽  
pp. 99
Author(s):  
Zaky Machmuddah ◽  
St. Dwiarso Utomo ◽  
Entot Suhartono ◽  
Shujahat Ali ◽  
Wajahat Ali Ghulam
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Practical Implication ◽  
Efficient Market Hypothesis ◽  
Future Research ◽  
Observation Data ◽  
Economic Sectors ◽  
Significant Difference ◽  
Before And After ◽  
Long Term Impact

The coronavirus pandemic has spread all over the world, affecting both the health and economic sectors. The aim of this research was to observe stock prices of customer goods before and after the COVID-19 pandemic using event study and the comparison test. The sample included data of daily closing stock prices and volume of stock trade during the three months before (−90 days) and after (+90 days) the occurrence of the COVID-19 pandemic ongoing, totaling 2670 observation data both before and after the COVID-19 pandemic, for a total of 5340. The research findings indicate a significant difference between the daily closing stock price and volume of stock trade before and after the COVID-19 pandemic. The current research has both theoretical and practical implications: the findings strengthen the efficient market hypothesis, which states that the more complete the provided information, the more efficient the market. The practical implication is that investors should be careful when choosing to invest. Investors should choose customer goods sector companies that provide products that are much needed by customers, for example, pharmacy, food, beverages, etc. Future research is needed to investigate the long-term impact of the pandemic on the economy.

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.

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