scholarly journals January anomalies on CEE stock markets

2021 ◽  
Vol 18 (4) ◽  
pp. 120-130
Author(s):  
Peter Árendáš ◽  
Božena Chovancová ◽  
Jana Kotlebova ◽  
Martin Koren
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Price Volatility ◽  
The Other ◽  
January Effect ◽  
Market Theory ◽  
Calendar Anomalies ◽  
Vega 1

Numerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns. This paper investigates the presence of two of them, namely the January effect and the January barometer, on the stock markets of 12 Central and Eastern European (CEE) countries. The paper examines the statistical significance of differences in returns recorded over the month of January and returns recorded over the other months (the January effect), as well as the statistical significance of differences between returns recorded during the remainder of year after a positive January return and after a negative January return (the January barometer). The results show, among other things, that the statistically significant January effect affects the Estonian, Lithuanian, Czech, Romanian, and Latvian stock markets. On the Romanian and Lithuanian stock markets, statistically significantly higher January returns are accompanied by statistically significantly higher January price volatility. On the other hand, we can speak of a statistically significant January barometer only in the case of the Latvian, Lithuanian, and Ukrainian stock markets. The presence of these anomalies is contrary to the Efficient market theory. It can be assumed that proper investment strategies based on these calendar anomalies should be able to generate abnormal returns. AcknowledgmentThis paper is an outcome of the science projects VEGA (1/0613/18) and VEGA (1/0221/21).

Studying the Effect of Changing the Managing Director on the Abnormal Returns of Shares of Companies Listed on the Iraqi Stock Exchange

2021 ◽  
Vol 39 (11) ◽  
Author(s):  
Hussein Hasan ◽  
Hudaa Nadhim Khalbas ◽  
Farqad Mohammed Bakr AL Saadi
Keyword(s):  
Stock Returns ◽  
Significant Relationship ◽  
Stock Prices ◽  
Market Reaction ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Abnormal Returns ◽  
The Other ◽  
Other Hand ◽  
Abnormal Stock Returns

The aim of this research is to study the market reaction to the change of the managing director and how this change affects the abnormal returns of the shares. The research is based on the information published by the companies listed on the Iraq Stock Exchange, and 35 companies were selected for the period from 2015 to 2019. The results of the hypothesis test for this study show that there is a negative and significant relationship between the change of the managing director and abnormal stock returns. On the other hand, investors undervalue stock prices when changing CEOs. As a result, the stock returns are less than expected.

Testing Market Reaction On Stock Market Delisting In Russia

2021 ◽  
Vol 15 (3) ◽  
pp. 14-27
Author(s):  
Елена Моисеевна Рогова ◽  
Maria Belousova
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Global Market ◽  
Public Companies ◽  
Market Participants ◽  
Study Methodology ◽  
Available Information ◽  
The Impact

This paper expands the available information on the effects of delisting in Russia, and represents a rare empirical analysis of the impact of external events on securities prices in this major global market. We seek to evaluate how stock prices of competing companies fluctuate around the dates of stock market delisting announcements and completion. We analyse stock prices as correlated with company delisting events from 2004 to 2019 on 552 companies on the Russian MOEX Exchange. The event study methodology is used to evaluate the abnormal returns of rival companies close to relevant delisting dates. These data were checked for statistical significance using the standardised Patell residual test. The results indicate a significant competitive effect on stock prices both on the dates of delisting announcement and on completion, with more significant returns close to announcement dates. These effects were found to influence the prospects not just of individual groups of companies, but of all market participants. We may conclude from our results that delisting is not an event limited in effect to only one company, but impacts the industry as a whole, temporarily changing its value. As such, it will interest both shareholders and managers of public companies, and any participants of industries in which delisting occurs.

Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs

2001 ◽  
Vol 04 (02) ◽  
pp. 235-264 ◽  
Author(s):  
Abul M. M. Masih ◽  
Rumi Masih
Keyword(s):  
Hong Kong ◽  
Stock Prices ◽  
Stock Markets ◽  
The Other ◽  
Substantial Contribution ◽  
Exogenous Shocks ◽  
Leading Role ◽  
Equilibrium Relationship ◽  
Short Run

This article examines the patterns of dynamic linkages among national stock prices of Australia and four Asian NIC stock markets namely, Taiwan, South Korea, Singapore and Hong Kong. By employing recently developed time-series techniques results seem to consistently suggest the relatively leading role of the Hong Kong market in driving fluctuations in the Australian and other NIC stock markets. In other words, given the generality of the techniques employed, Hong Kong showed up consistently as the initial receptor of exogenous shocks to the (long-term) equilibrium relationship whereas the Australian and the other NIC markets, particularly the Singaporean and Taiwanese markets had to bear most of the brunt of the burden of short-run adjustment to re-establish the long term equilibrium. Furthermore, given the dominance of the Hong Kong market in the region, the study also brings to light the substantial contribution of the Australian market in explaining the fluctuations to the other three markets, particularly Singapore and Taiwan. Finally, in comparison to all other NIC markets, Taiwan and Singapore appear as the most endogenous, with the former providing significant evidence of its short-term vulnerability to shocks from the more established market such as Australia.

scholarly journals Market or Morality - Follow an Unethical Action for the Management?

2021 ◽  
Vol 92 ◽  
pp. 06007
Author(s):  
Lars Engstfeld ◽  
Martin Užík ◽  
Sebastian Block
Keyword(s):  
Stock Prices ◽  
Time Window ◽  
Statistical Significance ◽  
Value Added ◽  
The Other ◽  
Share Prices ◽  
Corporate Scandals ◽  
Immoral Behavior ◽  
Responsible Behavior ◽  
Good Reputation

Research background: With countless standards and rankings for moral behavior of large companies on one side and corporate scandals of immoral actions on the other, the question arises whether it is important at all for stock corporations to keep a clean slate or whether their value might not even be affected by emerging scandals. Purpose of the article: This paper analyzes whether and how the stock market reacts to newly published news about immoral behavior by stock corporations. It shows the reactions of stock prices to morality scandals for 39 different companies that have all been exposed for immoral behavior. Methods: After establishing a standard time window around the event day of the emerging news, the stock reaction is analyzed by estimating the selected companies’ share prices based on their past and then comparing the estimated values to the actual values on and after the event day. Findings & Value added: While the overall finding is that stock prices do not react to their companies’ scandals with statistical significance, it is shown that the stock prices of smaller companies are affected more than those of the bigger example companies. It can therefore still be recommended for companies to build a good reputation by showing responsible behavior.

scholarly journals Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach

2019 ◽  
Vol 58 (1) ◽  
pp. 83-104 ◽  
Author(s):  
Abdul Rashid ◽  
Saba Kausar
Keyword(s):  
High Risk ◽  
Stock Returns ◽  
Stochastic Dominance ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Systematic Risk ◽  
January Effect ◽  
Firm Level ◽  
High Beta

In this paper, we first examine the presence of monthly calendar anomaly in Pakistan Stock Exchange (PSX) using aggregate and firm-level monthly stock returns. Secondly, we classify the sample firms into low-beta, medium-beta, and high-beta firms to examine the monthly anomaly of stock returns for firms having different level of systematic risk. By considering the stochastic dominance approach (SDA), we employ the simulation based method of Barrett and Donald (2003) to identify the dominant month over the period from January 2000 to December 2017. We find significant evidence of the existence of the January effect in both firm and market stock returns. We also find that the January effect exists more prominently in both low-risk and high-risk firms categorised based on their systematic risk. On the other end of the continuum, for moderately risky firms, there is strong evidence of the presence of the December effect. One of possible explanations of the January effect is the yearend bonus received in the month of January. Such bonuses are generally used to purchase stocks, causing the bullish trend of stock prices in January. However, the evidence of the January anomaly in both low-beta and high-beta portfolios returns is puzzling, suggesting that investors may invest in both low- and high-risk stocks when enthusiastically investing in stock market. The findings of the paper suggest that investors may get abnormal returns by forecasting stock return patterns and designing their investment strategies by taking into account the January and December effects and the level of systematic risk associated with the firms. JEL Classification: G02, G12, G14 Keywords: Behavioural Finance, Stochastic Dominance Approach, Monthly Anomaly, January Effect, December Effect, TOY Anomaly, Abnormal Returns, KS Type Test, PSX

scholarly journals The Relationship Between of Cash Flows (Financing, Investment and Operating) and Stock Prices, Size of the Firms

2020 ◽  
Vol 11 (5) ◽  
pp. 424
Author(s):  
Tamer Bahjat Sabri ◽  
Khalid Mohammad Hasan Sweis ◽  
Issam Naim Mahammad Ayyash ◽  
Yasmeen Faheem Asaad Qalalwi ◽  
Israa Sami Abbas Abdullah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Null Hypothesis ◽  
Stock Exchange ◽  
Statistical Significance ◽  
Nonparametric Test ◽  
Cash Flows ◽  
The Other ◽  
Significant Difference ◽  
The Relationship

This study sought to test the relationship between cash flows from operating activities, investment activities and financial activities and on one hand and stock returns and the volume of assets on the companies listed in Palestine Stock Exchange on the other hand. The study incorporated 24 companies in 2018 and the required data were obtained through the financial statements. To test the hypotheses of the study, the Mann-Whitny U Test was used, a nonparametric test. Also the Kolmogorov-Smirnov was done. The findings demonstrated that the value of the Whitny U Test was (-3.291) Z with a statistical significance at 1%. Based on this, the null hypothesis was rejected and the alternative one, stating that there is a statistically significant difference between the operating flows of companies with low assets and those companies with high assets, was accepted. However, the other null hypothesis was accepted. The study recommended that companies and investors should take into consideration cash flows when taking an investment decision in Palestine Stock Exchange.

Stock Market Seasonality in an Emerging Market

2004 ◽  
Vol 29 (3) ◽  
pp. 35-42 ◽  
Author(s):  
S N Sarma
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Market Returns ◽  
Reform Era ◽  
Stock Market Returns ◽  
Active Strategy ◽  
Calendar Anomalies ◽  
Indian Stock Market ◽  
Daily Returns

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric tests on the stock returns data, that turn of the year, month, week, and holidays have consistently generated abnormal equity returns in both the developed and emerging markets unrelated to the attendant risks. Studies on the Indian stock markets' calendar anomalies, especially in the post-reform era, are very few. In an attempt to fill this gap, this study explores the Indian stock market's efficiency in the 'weak form' in the context of calendar anomalies, especially in respect of the weekend effect. Daily returns generated by the SENSEX, NATEX, and BSE200 during January 1st 1996 to August 10th 2002 comprising a total of 1,667 observations for each of the indices are considered for testing the seasonality. While most of the studies have considered the returns of one of the major indices based on the closing values, this study examines the multiple indices for possible seasonality. An analysis of returns' pattern of multiple indices is helpful in identifying the presence or otherwise of the stock market seasonality associated with various portfolios and for testing the efficacy of investment game based on the observed patterns of the returns. This study employed the daily mean index value for generating the daily returns to relax the implied assumption of the earlier studies — by considering the closing values of the indices — that trading is done at the closing values. A non-parametric test — Kruskall-Wallis test using 'H' statistic — is employed for testing the seasonality in the Indian stock market returns. The null hypothesis tested is that there are no differences in the mean daily returns across the weekdays. The major findings of the study are as follows: The Indian stock markets do manifest seasonality in their returns' pattern. The Monday-Tuesday, Monday-Friday, and Wednesday-Friday sets have positive deviations for all the indices. The Monday-Friday set for all the indices has the highest positive deviation thereby indicating the presence of opportunity to make consistent abnormal returns through a trading strategy of buying on Mondays and selling on Fridays. The above-mentioned active strategy is found to be beneficial in case of SENSEX The above-mentioned active strategy is found to be beneficial in case of SENSEX alone during the study period while for the others — NATEX and BSE200 — a passive ‘buy and hold’ strategy is more effective. The study concludes that the observed patterns are useful in timing the deals thereby exploring the opportunity of exploiting the observed regularities in the Indian stock market returns.

scholarly journals The Turn of the Month Effect on CEE Stock Markets

2019 ◽  
Vol 7 (4) ◽  
pp. 57
Author(s):  
Peter Arendas ◽  
Jana Kotlebova
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Price Volatility ◽  
Eastern European ◽  
Short Time Period ◽  
Market Returns ◽  
Stock Market Returns ◽  
Time Period ◽  
Calendar Anomalies ◽  
Short Time

The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility.

scholarly journals ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (5) ◽  
pp. 2642
Author(s):  
Komang Intan Permatasari ◽  
I Ketut Mustanda
Keyword(s):  
Data Collection ◽  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Stock Index ◽  
January Effect ◽  
Average Abnormal Return ◽  
Day Of The Week

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia. Keywords: calendar effect anomaly, abnormal return

The stock market’s reaction to accounting information: the cases of Chile and Peru

2016 ◽  
Vol 6 (3) ◽  
pp. 254-268 ◽  
Author(s):  
Mauricio Melgarejo ◽  
Eduardo Montiel ◽  
Luis Sanz
Keyword(s):  
Latin American ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Small Firms ◽  
Accounting Information ◽  
Abnormal Returns ◽  
Earnings Announcement ◽  
Content Type ◽  
The Impact

Purpose – The purpose of this paper is to analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru. Design/methodology/approach – This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings – The authors find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. The authors also find that these two effects are driven by small firms. Originality/value – This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

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