scholarly journals Force majeure events and stock market reactions in Ukraine

2019 ◽  
Vol 16 (1) ◽  
pp. 334-345 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun ◽  
Inna Makarenko
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Trading Strategies ◽  
Social Force ◽  
Stock Market Index ◽  
Market Reactions ◽  
Technological Disasters ◽  
Daily Data ◽  
Force Majeure ◽  
Student’S T

This paper examines reactions in the Ukrainian stock market to force majeure events, which are divided into four groups: economic force majeure, social force majeure, terrorist acts, natural and technological disasters. More specifically, using daily data for the main Ukrainian stock market index (namely PFTS) over the period from January 1, to December 31, 2018 this study investigates whether or not force majeure events create (temporary) inefficiencies and there exist profitable trading strategies based on exploiting them. For this purpose, cumulative abnormal returns and trading simulation approaches are used in addition to Student’s t-tests. The results suggest that the Ukrainian stock market absorbs new information rather fast. Negative returns in most cases are observed only on the day of the event. The only exception is technological disasters, the market needing up to ten days to react fully in this case. Despite the presence of a detectable pattern in price behavior after force majeure events (namely, a price decrease on the day of the event) no profitable trading strategies based on it are found as their outcomes do not differ from those generated by random trading.

scholarly journals Economic and Socio-political Force Majeure: a Study of the Ukrainian Stock Market Reaction

2019 ◽  
pp. 58-72
Author(s):  
Oleksiy L. Plastun ◽  
Inna O. Makarenko ◽  
Yuliya V. Yelnikova ◽  
Asiiat A. Sheliuk ◽  
Gunay Gasimova
Keyword(s):  
Stock Market ◽  
Market Reaction ◽  
Hypothesis Test ◽  
Test Method ◽  
Trading Strategies ◽  
Market Force ◽  
Political Force ◽  
Stock Market Reaction ◽  
Daily Data ◽  
Force Majeure

The paper analyzes the reactions on the Ukrainian stock market to force majeure events of an economic and socio-political nature. Unforeseen events are regards as force majeure events, which can not be taken into account in the value of assets in the stock market in advance. It has been established that, as a result, conditions for obtaining anomalous profit market participants may be created, until information on force majeure will be absorbed by the stock market. In this context, force majeure is seen as an anomaly of the hypothesis of effective markets. Among the most significant economic events, a number of corporate bankruptcies and cyberattacks were taken into account, and among socio-political force majeures – revolutionary, military-political events and terrorist acts. On the basis of daily data for the main index of the stock market of Ukraine (PFTS) for the period from 01.01.1997 to 31.12.2018, a hypothesis was checked regarding whether or not the force majeure events create temporary market anomalies and whether there are profitable trading strategies based on their use. The methodological basis for testing was not only the traditional t-criterion of the Student (as a hypothesis test method) but also cumulative accumulated income methods as one of the methods of studying events and trading simulations. According to the results of the audit, the Ukrainian stock market reacts very quickly to economic and socio-political force majeures and absorbs information about them. Negative profitability of the PFTS index was observed only on the day of the occurrence of a force majeure event. Despite the existence of the revealed model of the stock market reaction to force majeure events (namely, price reduction on the day of the event), it is not possible to build profitable trading strategies based on this model, since the results of simulation of these strategies do not differ from those generated random trade. Key words: stock market, force majeure event, event study.

scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

scholarly journals Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (17) ◽  
pp. 2077
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Markets ◽  
Trading Strategies ◽  
Eastern European ◽  
Negative Effects ◽  
Market Reactions ◽  
Study Approach ◽  
Study Methodology ◽  
Stock Market Reactions

This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

Stock market reactions to layoff announcements – analysis of the renewable energy sector

2017 ◽  
Vol 11 (2) ◽  
pp. 311-328 ◽  
Author(s):  
Stephan Kunert ◽  
Dirk Schiereck ◽  
Christopher Welkoborsky
Keyword(s):  
Renewable Energy ◽  
Stock Market ◽  
Capital Market ◽  
Abnormal Returns ◽  
Shareholder Wealth ◽  
Energy Sector ◽  
Market Reactions ◽  
Content Type ◽  
The Public ◽  
Stock Market Reactions

Purpose This study aims to analyze stock market reactions to layoff announcements in the renewable energy sector. The global renewable energy sector and most of the producers of wind and solar energy equipment are struggling. While changes in the regulation and in the promotion of energy production from renewable sources reduced the attractiveness of these technologies, many involved companies had to downsized their workforce to increase performance. The public often perceives these announcements as a way of increasing shareholder wealth at the cost of the employees. Support for this claim is often given in the form of isolated case study considerations. However, the case may be different for the renewable energy sector as changes in the overall institutional environment have sustainably deteriorated the prospects of this industry. Design/methodology/approach This study analyses stock market reactions of 65 layoff announcements made by companies in the renewable energy industry in the years from 2005 to 2014. The reactions are measured by cumulative abnormal returns, which are obtained by using the event study methodology. Findings It shows a significantly negative market reaction to the announcement of a layoff plan on the event day. The findings are generally in line with our expectations and underline the negative perspectives of the sector from a capital market point of view and the declining importance of the sector with respect to employment numbers. Originality/value The results of this study are important for investors when estimating the capital market reactions to layoff announcements and when they form their own expectations regarding possible future layoff announcements. For the public, the results are of interest as the prejudice, that layoff plans are used to increase shareholder wealth, can be dismantled. The opposite is shown.

scholarly journals Stock Market Reactions to the Comprehensive and Progressive Agreement for Trans-Pacific Partnership’s Approval: Evidence from Vietnam

2021 ◽  
Vol 36 (3) ◽  
pp. 462-490
Author(s):  
Son Tung Ha ◽  
Thi Hong Hanh Pham ◽  
Thi Nguyet Anh Nguyen
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Reactions ◽  
Listed Firms ◽  
Stock Market Performance ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Event Study Methodology

We examine the stock market performance of Vietnam’s listed firms in response to the country’s approval of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP). Employing an event study methodology, we first calculate the abnormal returns of all listed Vietnamese firms around the CPTPP’s approval date. Then, we attempt to link these abnormal returns to firms’ characteristics. We find evidence that the announcement of the CPTPP’s approval is associated with positive abnormal returns for Vietnam’s listed firms. We also find considerable heterogeneity in the magnitude and pace of the impacts of the CPTPP’s approval on market returns across Vietnam’s two stock exchanges. However, we fail to reject the null hypothesis that the market did not react to the CPTPP’s approval at the sectoral level.

scholarly journals Stock Market Reactions to Financing and Payment Decisions for European Mergers and Acquisitions

2020 ◽  
Vol 4 (2) ◽  
pp. 41-89
Author(s):  
Wolfgang Bessler ◽  
David Kruizenga ◽  
Wim Westerman
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Valuation Effects ◽  
Payment Methods ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
Acquisition Announcements ◽  
Stock Market Reactions

Aim: We analyze stock market reactions to merger and acquisition announcements for firms in Europe and contribute to the literature by providing empirical evidence how the decisions with respect to alternative financing sources (equity or debt) and the methods of payment (cash or stock) affect the magnitude of the valuation effects.   Research design: An event study methodology is applied to 717 M&A transactions. We analyze the size of the cumulative abnormal returns using the financing sources and payment methods and other variables as the relevant determinants.   Findings: The cumulative abnormal results suggest that target shareholders and bidder shareholders in private deals benefit from mergers and acquisitions. The effect found is centered around the announcement date, making our findings consistent with market efficiency. Debt financed deals outperform equity financed deals and cash paid M&A outperform stock paid M&As, due to information asymmetry, signaling and agency effects.   Originality: This study adds to our understanding of the relevance of the financing sources and the payment methods for mergers and acquisitions in Europe.   Implications: This study may help practitioners to better assess the valuation effects of alternative financing sources and payment methods when acquiring other firms.     JEL: G32, G34

scholarly journals The overreaction hypothesis: the case of Ukrainian stock market

2013 ◽  
Vol 11 (1) ◽  
pp. 406-422 ◽  
Author(s):  
Ronald Henry Mynhardt ◽  
Alexey Plastun
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Original Method ◽  
Short Term ◽  
Daily Fluctuation ◽  
Price Movement ◽  
Significant Evidence ◽  
Contrarian Strategies ◽  
Daily Data ◽  
Overreaction Hypothesis

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.

scholarly journals Reaksi Pasar Modal di Asia Tenggara Terhadap Pandemi Covid-19

2021 ◽  
Vol 23 (1) ◽  
pp. 162-172
Author(s):  
Sari Octavera ◽  
Febri Rahadi
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Composite Index ◽  
Least Square ◽  
Stock Market Index ◽  
Market Reactions ◽  
Ordinary Least Square ◽  
Market Index ◽  
Panel Data Regression ◽  
Result Show

Covid 19 is global case in almost around the world. Early April 2020, Covid 19 cases reached 1 million in a number of countries and increased significantly. This pandemic caused a major impact on economic activity, and more than 100 countries carried out a full or partial lockdown which resulted in economic disruption in many sectors including the stock market. This study investigation impact that occurs on the stock market, especially in Southeast Asia (Malaysia, Indonesia, Thailand and Singapore). Change in the composite index from the capital market are used as a proxy to measure market reactions using the OLS panel data regression model. The natural log of GDP is used as a control variabel for differences between the four capital markets. In addition, to control for the effect of different transaction days, a dummy variable is included in the regression model. The result show that changes in the number of covid 19 infections have been shown to significantly affect index changes. The market response in this regard has moved in a negative direction. Meanwhile, the measurement of the effect to the death  to covid 19 is not proven to significantly affect change in the composite stock market index. ABSTRAK Covid 19 menjadi kasus global dengan penyebaran yang sangat cepat hampir diseluruh belahan dunia. Awal April 2020 kasus Covid 19 menyentuh angka 1 juta penderita yang tersebar di sejumlah negara dan terus meningkat secara signifikan. Pandemi ini berpengaruh besar terhadap aktifitas perekonomian hampir di seluruh dunia. Puncaknya, akhir Maret 2020 lebih dari 100 negara melakukan Lockdown baik secara penuh maupun sebagian yang memberikan dampak terbatasnya aktifitas ekonomi di berbagai sektor seperti transportasi, pariwisata, perbankan, asuransi termasuk pasar modal. Penelitian ini berupaya melihat dampak yang terjadi di pasar modal khususnya di empat negara di Asia Tenggara (Malaysia, Indonesia, Thailand dan Singapura). Perubahan Indeks gabungan dari pasar modal dipergunakan sebagai proksi untuk mengukur reaksi pasar dengan menggunakan pendekatan model regresi data panel Ordinary Least Square (OLS). Untuk mengendalikan dampak yang mungkin muncul dari perbedaan yang mendasar dari keempat pasar modal tersebut, dipergunakan log natural PDB sebagai variabel kontrol. Selain itu, untuk mengontrol efek perbedaaan hari transaksi dimasukkan pula variabel dummy didalam model regresi. Hasil menunjukkan perubahan angka terinfeksi COVID-19 terbukti secara signifikan mempengaruhi perubahan indeks. Respon pasar terkait hal tersebut bergerak kearah negatif. Sementara pengukuran terhadap pengaruh angka maninggal dunia akibat COVID-19 tidak terbukti secara signifikan mempengaruhi perubahan indeks pasar saham gabungan

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.

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