scholarly journals Is the Event Study Methodology Useful for Merger Analysis? A Comparison of Stock Market and Accounting Data

2007 ◽  
Author(s):  
Tomaso Duso ◽  
Klaus Peter Gugler ◽  
B. Burcin Yurtoglu
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Accounting Data ◽  
Merger Analysis ◽  
Study Methodology ◽  
Event Study Methodology

scholarly journals South–South Cooperation in South and East Asia: An Event Study of the China–Pakistan Economic Corridor

2019 ◽  
Vol 21 (1) ◽  
pp. 54-67
Author(s):  
Wing Him Yeung ◽  
Yilisha Pang ◽  
Asad Aman
Keyword(s):  
Stock Market ◽  
East Asia ◽  
Event Study ◽  
Stock Exchange ◽  
Global South ◽  
Short Term ◽  
Empirical Results ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

South–South cooperation has been on the rise in recent years. One of the latest examples is the China–Pakistan Economic Corridor (CPEC) proposed by the Chinese and Pakistani governments in 2013. Using event study methodology, this article examines the impact of events and announcements associated with CPEC on the Pakistan Stock Exchange in Pakistan and the Shanghai Stock Exchange in China. The first key finding of this article is that the initial announcement associated with CPEC had stronger and positive short-term impact on the Pakistan Stock Exchange in comparison with the impact of subsequent CPEC events on the stock market. The second key finding is that the short-term impact of the CPEC initial announcement was stronger on the Pakistan Stock Exchange than on the Shanghai Stock Exchange, possibly due to the substantial difference in the size of the two economies. The empirical results of this article have important implications for investors, corporations and regulators to the Global South.

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.

The Korean National Pension Service

Asian Survey ◽  
2020 ◽  
Vol 60 (6) ◽  
pp. 1116-1141
Author(s):  
Hoyong Jung
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Government Intervention ◽  
Pension Funds ◽  
Institutional Reforms ◽  
Shareholder Engagement ◽  
Stock Value ◽  
Study Methodology ◽  
Event Study Methodology

In July 2018, the Korean National Pension Service (KNPS), one of the world’s largest pension funds, introduced a stewardship code, and in February 2019 it first exercised active shareholder engagement in an investee. Using an event study methodology, we examine whether this institutional investor’s active shareholder engagement affected the stock market. We find that the stock value of the KNPS’s investees was reduced after the active shareholder engagement. The effect was larger in the case of small-cap stocks, companies in which the KNPS has a 5–10% share, and firms with a lower environmental, social, and governance grade. This implies that market concerns about government intervention are valid, and institutional reforms are necessary, including specific guidelines to balance shareholder and management rights.

Stock market reactions to voluntary integrated reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuzuka Nakajima ◽  
Yushi Inaba
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Integrated Reporting ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Voluntary Adoption ◽  
Event Study Methodology

Purpose This study aims to examine the impact of voluntary adoption of integrated reporting on the stock prices of firms in Japan. Design/methodology/approach The event study methodology was used to analyze the stock market reactions to voluntary integrated report (IR) publication. Abnormal returns were estimated for 1,602 observations of 490 firms publishing IRs in Japan using the market model. The t-test, the Boehmer et al., 1991 test and the generalized sign test examined the significance of the cumulative average abnormal returns (CAARs). Findings The study reveals that the stock market reacts positively to voluntary IR publication by firms, especially in 2019 and 2015. Additionally, it reveals a tendency for higher CAARs around IR publication dates than around corporate social responsibility report publication dates, especially in 2016 and 2015. Research limitations/implications The limitations of this study include the possibility of self-selection bias and omitted variable bias. Practical implications This study suggests that firms can earn higher abnormal returns in the stock market through environmental, social and governance (ESG) disclosure in IRs, corroborating the recently rising investor interest in voluntary integrated reporting in Japan. Originality/value This study contributes to the literature on the value relevance of voluntary adoption of integrated reporting by providing evidence of firms achieving significantly positive abnormal returns around voluntary IR publication dates. There is no published analysis on this topic using multitudes of sample firms using the event study methodology.

scholarly journals Governmental Announcements and Indian Stock Market: Evidence from Indian Manufacturing Sector

2021 ◽  
Vol 13 (2) ◽  
pp. 135-146
Author(s):  
MAHESH DAHAL ◽  
◽  
JOY DAS ◽  
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Negative Impact ◽  
Manufacturing Sector ◽  
Security Prices ◽  
Study Methodology ◽  
The Government ◽  
Indian Manufacturing Sector ◽  
Indian Stock Market ◽  
Event Study Methodology

The Indian Manufacturing sector lags behind in contributing to economic devel- opment, as compared to its peer nations and therefore, to boost the sectorís contribution to the economy and to transform the economy into a cashless economy, the government of India had announced three major steps, Make in India, Demonetization and GST. In the present study using event study methodology, the immediate impact of the announcements on the stock of the companies from the Indian Manufacturing sector is examined and found that the announcement of the Make in India positively ináuenced the security returns. In contrast, negative impact on the security prices is witnessed on the announcement of Demonetization, whereas the GST implementation has no impact.

scholarly journals Information Effect of Trump’s Declaration of Jerusalem as the Capital of Israel on the Nigerian Stock Market.

2019 ◽  
Vol 4 (5) ◽  
Author(s):  
Alex Emmy Osuala ◽  
G. U. Nwansi ◽  
C. C. Opara ◽  
H. O. Ikhite
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Event Study ◽  
Abnormal Returns ◽  
Information Effect ◽  
Key Players ◽  
Study Methodology ◽  
The Government ◽  
Event Study Methodology

The study examined the information effect of Trump’s declaration of Jerusalem as the capital of Israel on the Nigerian stock market. The required data spanning 1st January to 31st December, 2017 were analyzed using Event study methodology. The result of the analysis showed that the news of Trump’s declaration of Jerusalem as the capital of Israel caused statistically significant negative abnormal returns in the Nigerian stock market. The study recommends that the Government and the Nigerian stock market key players should keenly monitor emerging events around the globe, as these often have implication for emerging markets through contagion.

scholarly journals THE IMPACT OF UNANTICIPATED POLITICAL EVENTS ON STOCKS MARKET RETURNS: EMPIRICAL EVIDENCES FROM SAUDI ARABIA

2019 ◽  
Vol 4 (2) ◽  
pp. 659
Author(s):  
Mohamed Zakaria Fodol ◽  
Hassanuddeen Bin Abdul Aziz
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Market Returns ◽  
Political Event ◽  
Stock Market Returns ◽  
Political Events ◽  
Study Methodology ◽  
Event Study Methodology

Abstract:This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodologyAbstract: This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodology.

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