The Impact of Dividend Announcement on Stock Returns

This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.

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The Impact of Daily Return Limit and Segmented Clientele on Stock Returns in China

SSRN Electronic Journal ◽

10.2139/ssrn.1358875 ◽

2010 ◽

Author(s):

Haim Kedar-Levy ◽

Xiaoyan Yu ◽

Akiko Kamesaka ◽

Uri Ben-Zion

Keyword(s):

Stock Returns ◽

Daily Return ◽

The Impact

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The impact of the COVID-19 outbreak on Chinese-listed tourism stocks

Financial Innovation ◽

10.1186/s40854-021-00240-6 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Wenmin Wu ◽

Chien-Chiang Lee ◽

Wenwu Xing ◽

Shan-Ju Ho

Keyword(s):

Stock Returns ◽

Cultural Differences ◽

Stock Price ◽

Negative Impact ◽

Tourism Industry ◽

Regression Analyses ◽

Short Term ◽

Tourism Sector ◽

Event Study Method ◽

The Impact

AbstractThis research explored the effects of the coronavirus disease (COVID-19) outbreak on stock price movements of China’s tourism industry by using an event study method. The results showed that the crisis negatively impacted tourism sector stocks. Further quantile regression analyses supported the non-linear relationship between the government’s responses and stock returns. The results present that the resurgence of the virus in Beijing did bring about a short-term negative impact on the tourism industry. The empirical results can be used for future researchers to conduct a comparative study of cultural differences concerning government responses to the COVID-19.

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The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

Financial Innovation ◽

10.1186/s40854-020-00224-y ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Begüm Yurteri Kösedağlı ◽

Gül Huyugüzel Kışla ◽

A. Nazif Çatık

Keyword(s):

Stock Returns ◽

Positive Impact ◽

Structural Break ◽

Oil Prices ◽

Time Varying ◽

Asset Pricing Model ◽

Daily Data ◽

Structural Break Test ◽

The Impact ◽

Oil Gas

AbstractThis study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

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The performance of the Broad Based Black Economic Empowerment compliant listed property firms in South Africa

Journal of Property Investment and Finance ◽

10.1108/jpif-09-2014-0061 ◽

2016 ◽

Vol 34 (1) ◽

pp. 3-26 ◽

Cited By ~ 5

Author(s):

Omokolade Akinsomi ◽

Katlego Kola ◽

Thembelihle Ndlovu ◽

Millicent Motloung

Keyword(s):

Stock Returns ◽

Factor Model ◽

Stock Exchange ◽

Sharpe Ratio ◽

Economic Empowerment ◽

Content Type ◽

Black Economic ◽

Black Economic Empowerment ◽

The Government ◽

The Impact

Purpose – The purpose of this paper is to examine the impact of Broad-Based Black Economic Empowerment (BBBEE) on the risk and returns of listed and delisted property firms on the Johannesburg Stock Exchange (JSE). The study was investigated to understand the impact of Black Economic Empowerment (BEE) property sector charter and effect of government intervention on property listed markets. Design/methodology/approach – The study examines the performance trends of the listed and delisted property firms on the JSE from January 2006 to January 2012. The data were obtained from McGregor BFA database to compute the risk and return measures of the listed and delisted property firms. The study employs a capital asset pricing model (CAPM) to derive the alpha (outperformance) and beta (risk) to examine the trend amongst the BEE and non-BEE firms, Sharpe ratio was also employed as a measurement of performance. A comparative study is employed to analyse the risks and returns between listed property firms that are BEE compliant and BEE non-compliant. Findings – Results show that there exists differences in returns and risk between BEE-compliant firms and non-BEE-compliant firms. The study shows that BEE-compliant firms have higher returns than non-BEE firms and are less risky than non-BEE firms. By establishing this relationship, this possibly affects the investor’s decision to invest in BEE firms rather than non-BBBEE firms. This study can also assist the government in strategically adjusting the policy. Research limitations/implications – This study employs a CAPM which is a single-factor model. Further study could employ a multi-factor model. Practical implications – The results of this investigation, with the effects of BEE on returns, using annualized returns, the Sharpe ratio and alpha (outperformance), results show that BEE firms perform better than non-BEE firms. These results pose several implications for investors particularly when structuring their portfolios, further study would need to examine the role of BEE on stock returns in line with other factors that affect stock returns. The results in this study have several implications for government agencies, there may be the need to monitor the effect of the BEE policies on firm returns and re-calibrate policies accordingly. Originality/value – This study investigates the performance of listed property firms on the JSE which are BEE compliant. This is the first study to investigate listed property firms which are BEE compliant.

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Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities

Sustainability ◽

10.3390/su13042037 ◽

2021 ◽

Vol 13 (4) ◽

pp. 2037 ◽

Cited By ~ 1

Author(s):

Dirk Brounen ◽

Gianluca Marcato ◽

Hans Op ’t Veld

Keyword(s):

Real Estate ◽

Best Practices ◽

Stock Returns ◽

The Real Estate ◽

Public Property ◽

European Public ◽

Property Companies ◽

Real Estate Securities ◽

The Impact ◽

European Markets

By analyzing the adoption of the European Public Real Estate Association’s (EPRA) Sustainability Best Practices Recommendations (sBPR), we examine and discuss the application of transparent environmental, social and governance (ESG) ratings and their interaction with public real estate performance across European markets. Due to increasing concerns about the environment and the impact of investment on society at large, public property companies have made significant progress in improving transparency and enhancing the protection of shareholder value by sharing and reporting ESG best practices. We explore and review the EPRA sBPR database, which is highly useful for investors who are already screening listed real estate companies. Hence, in this project, we carefully study the diffusion process of this new ESG metric as a tool to enhance informational transparency regarding public real estate investment management and assess the effects of this transparency and ESG performance for the real estate stock returns. We find evidence of a sustainability premium that investors are willing to pay to access companies with better sustainable ratings.

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Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

Vision The Journal of Business Perspective ◽

10.1177/09722629211022523 ◽

2021 ◽

pp. 097226292110225

Author(s):

Rakesh Kumar Verma ◽

Rohit Bansal

Keyword(s):

Stock Returns ◽

Financial Institutions ◽

Stock Price ◽

Stock Exchange ◽

Abnormal Returns ◽

Developed Countries ◽

Low Carbon ◽

Bond Issue ◽

The Government ◽

The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

Australian Journal of Management ◽

10.1177/03128962211010243 ◽

2021 ◽

pp. 031289622110102

Author(s):

Mousumi Bhattacharya ◽

Sharad Nath Bhattacharya ◽

Sumit Kumar Jha

Keyword(s):

Stock Market ◽

Stock Returns ◽

High Frequency ◽

Jel Classification ◽

Exogenous Shock ◽

Intraday Data ◽

Day Of The Week ◽

Holiday Effects ◽

Indian Stock Market ◽

The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

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RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

The Singapore Economic Review ◽

10.1142/s0217590821500387 ◽

2021 ◽

pp. 1-24

Author(s):

SANJEEV KUMAR ◽

JASPREET KAUR ◽

MOSAB I. TABASH ◽

DANG K. TRAN ◽

RAJ S DHANKAR

Keyword(s):

South Africa ◽

Financial Crisis ◽

Stock Market ◽

Stock Returns ◽

Stock Markets ◽

2008 Financial Crisis ◽

First Case ◽

Egarch Model ◽

The 2008 Financial Crisis ◽

The Impact

This study attempts to examine the response of stock markets amid the COVID-19 pandemic on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis by employing the GARCH and EGARCH model. First, average and variance of stock returns are tested for differences before and after the pandemic, t-test and F-test were applied. Further, OLS regression was applied to study the impact of COVID-19 on the standard deviation of returns using daily data of total cases, total deaths, and returns of the indices from the date on which the first case was reported till June 2020. Second, GARCH and EGARCH models are employed to compare the impact of COVID-19 and the 2008 financial crisis on the stock market volatility by using the data of respective stock indices for the period 2005–2020. The results suggest that the increasing number of COVID-19 cases and reported death cases hurt stock markets of the five countries except for South Africa in the latter case. The findings of the GARCH and EGARCH model indicate that for India and Russia, the financial crisis of 2008 has caused more stock volatility whereas stock markets of China, Brazil, and South Africa have been more volatile during the COVID-19 pandemic. The study has practical implications for investors, portfolio managers, institutional investors, regulatory institutions, and policymakers as it provides an understanding of stock market behavior in response to a major global crisis and helps them in taking decisions considering the risk of these events.

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Epidemics and Chinese firms' stock returns: is COVID-19 different?

China Finance Review International ◽

10.1108/cfri-03-2021-0053 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Quang Thi Thieu Nguyen ◽

Dao Le Trang Anh ◽

Christopher Gan

Keyword(s):

Stock Returns ◽

Negative Impact ◽

Stock Exchange ◽

Market Performance ◽

Disease Outbreaks ◽

Stock Exchanges ◽

Content Type ◽

Event Study Method ◽

Economic Shock ◽

The Impact

PurposeThis study investigates the Chinese stocks' returns during different epidemic periods to assess their effects on firms' market performance.Design/methodology/approachThe study employs an event study method on more than 3,000 firms listed on Shanghai and Shenzhen stock exchanges during periods of SARS, H5N1, H7N9 and COVID-19FindingsEpidemics' effect on firms' stock returns is persistent up to 10 days after the event dates. Although the impact varies with types and development of the disease, most firms experience a negative impact of the epidemics. Among the epidemics, COVID-19 has the greatest impact, especially when it grows into a pandemic. The epidemics' impact is uneven across industries. In addition, B-shares and stocks listed on Shanghai Stock Exchange are more negatively influenced by the epidemic than A-shares and those listed on Shenzhen Stock Exchange.Research limitations/implicationsThe results of the study contribute to the limited literature on the effects of disease outbreaks as an economic shock on firm market performance. Given the possibility of other epidemics in the future, the study provides guidance for investors in designing an appropriate investing strategy to cope with the epidemic shocks to the market.Originality/valueThe research is novel in the way it compares and assesses the economic impact of different epidemics on firms and considers their impact at different development stages.

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