scholarly journals How Has the Indonesian Stock Market Performed During Covid-19 Outbreaks?

2021 ◽  
Vol 22 (3) ◽  
pp. 1420-1428
Author(s):  
Doddy Setiawan ◽  
Taufiq Arifin ◽  
Y Anni Aryani ◽  
Josephine Tan-Hwang Yau
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Term Effect ◽  
Short Term ◽  
Listed Firms ◽  
Finance Industry ◽  
Stock Market Reaction ◽  
Cumulative Abnormal Returns ◽  
First Case ◽  
Long Run

This paper analyzes the stock market reaction towards the Covid-19 pandemic by using a sample of Indonesian listed firms. In general, we document a significant negative cumulative abnormal returns when the Indonesian President announces the first case of Covid-19 in Indonesia. This effect remains ten days (weaker) after the announcement. However, we only find a short-term effect on the finance industry. While the explanation is still unclear, the investors may observe that the economic impact on the finance industry may arise in the long-run.

scholarly journals Do Higher-Rated or Enhancing ESG of Firms Enhance Their Long–Term Sustainability? Evidence from Market Returns in Korea

2020 ◽  
Vol 12 (7) ◽  
pp. 2664 ◽  
Author(s):  
Yeonwoo Do ◽  
Sunghwan Kim
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Stock Price ◽  
Abnormal Returns ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns ◽  
Listed Firms ◽  
The Third

In this study, we investigate the effects of the level and changes in environmental, social and corporate governance (ESG) rating, an index developed to represent a firm’s long-term sustainability, on the stock market returns of Korea Composite Stock Price Index (KOSPI) listed firms over the period 2011–2018. We find that the changes in ESG ratings have statistically significant short-term effects on their abnormal returns. However, their impacts on short-term abnormal returns decrease some days after the disclosure and become negative in the third year. The results imply that investors in the Korean stock market do not view corporate social responsibility activities as a means of supporting their long-term sustainability, judging from the firm value for a long period after their rating. Rather, based on the effects of the changes on coefficient signs over the period—positive in the year and the year after, no effects in the following year, and negative in the third year and later—we can infer that the short-term oriented market sentiments of investors might worsen their long-term stock performances, thus deteriorating their sustainability and growth opportunities.

scholarly journals Profitability of the Momentum Strategies in the Tunisian Stock Market

2016 ◽  
Vol 7 (1) ◽  
pp. 17 ◽  
Author(s):  
Ramzi Boussaidi ◽  
Chaima Hmida
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Strategies ◽  
Stock Performance ◽  
Listed Firms ◽  
Holding Period ◽  
The Past ◽  
Cumulative Abnormal Returns

This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

STOCK MARKET REACTION TO BREXIT ANNOUNCEMENTS: EVIDENCE FROM A NATURAL EXPERIMENT

2019 ◽  
Vol 19 (03) ◽  
pp. 1950018 ◽  
Author(s):  
JÚLIO LOBÃO ◽  
SÍLVIA SANTOS
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Markets ◽  
Natural Experiment ◽  
Abnormal Returns ◽  
Strong Form ◽  
Trading Activity ◽  
Stock Market Reaction ◽  
Cumulative Abnormal Returns ◽  
European Stock Markets

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.

scholarly journals An Analysis of the Long-Run Performance IPOs and Effects in the Kenyan Stock Market

2021 ◽  
Vol 90 ◽  
pp. 11-25
Author(s):  
Sarah Kinya Mburugu
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
Fair Value ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
Descriptive Survey ◽  
A Company

Listing of a company in the securities exchange has been observed to be followed by underpricing in the first day and long term period of underperformance in terms of pricing in the subsequent days. Consequently, there has been a considerable curiosity from stakeholders, investors and academics to comprehend the assessments of why companies go public and the issues surrounding the short and long-run performance of newly issued equities. Underpricing is necessary to induce uninformed investors to participate in IPO offering when faced with adverse selection from informed investors. This often leads to first day price not reflecting a fair value of the IPO. The objective of the study was to determine the long-run performance IPOs and effects in the Kenyan stock market for the period 2007-2014. A descriptive survey research design was employed in the study. The population of the study encompassed all the 64 listed companies at the NSE as at 2016. The study employed a non-probability purposive sampling technique. Data collected for this study was secondary data obtained from NSE website, NSE price lists and the Central Bank of Kenya website for the period 2007 to 2014. The data obtained was analyzed using Statistical Package for Social Science (SPSS). Mean Average Buy and Hold Returns (MABHR), Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) were used to calculate the performance of the stocks. T-statistic for CAR was computed to the test for its significance. T-test was conducted at 95% confidence level to find if MABHR and CAR were statistically significant after IPOs announcement.

scholarly journals Investors’ Reactions to Extreme Events in the Hungarian Stock Market

2021 ◽  
Vol 20 (3) ◽  
pp. 5-30
Author(s):  
Klaudia Rádóczy ◽  
Ákos Tóth-Pajor
Keyword(s):  
Stock Market ◽  
Extreme Events ◽  
Stock Exchange ◽  
Research Question ◽  
Abnormal Returns ◽  
Excess Return ◽  
Short Term ◽  
Contrarian Strategy ◽  
Market Portfolio ◽  
Cumulative Abnormal Returns

This paper examines investors’ reactions to extreme events in the Hungarian stock market. We seek to answer the research question whether following extreme events any overreaction of investors can be observed on the Budapest Stock Exchange. With a view to answering the research question, we identify extreme events based on extreme returns on the market portfolio and then – using an event study – we examine abnormal returns on winner and loser equities. After examining investors’ reactions, we inspect the performance of the contrarian strategy in the created event windows. The main result of our research is the presentation that – based on the analysis of the differences between the average cumulative abnormal returns after extreme events – investor overreactions can be observed in the Hungarian stock market. The loser portfolios relating to extreme events significantly outperform winner portfolios connected to the event. The excess return of the contrarian strategy cannot be attributed to differences in the market risk of winner and loser portfolios. The excess return of the strategy can be shown only under tighter extreme value thresholds. The clustering of the event windows with short-term reversal, high market volatility and extreme events is beneficial to the performance of the contrarian strategy. In addition, our research also shows that the purchase of loser portfolios or the development of a contrarian strategy after extreme events may generate profit for investors, since after extreme events the loser portfolios usually beat the market on a horizon of 21 days.

scholarly journals Honesty Pledges for the Behaviorally-based Regulation of Dishonesty

2020 ◽  
Author(s):  
Eyal Peer ◽  
Yuval Feldman
Keyword(s):  
Term Effect ◽  
Risk Averse ◽  
Behavioral Regulation ◽  
Short Term ◽  
Behavioral Ethics ◽  
The Public ◽  
Ethical Decisions ◽  
Long Run ◽  
Self Reports ◽  
Very High

A common dilemma in regulation is determining how much trust authorities can place in people’s self-reports, especially in regulatory contexts where the incentive to cheat is very high. In such contexts, regulators, who are typically risk averse, do not readily confer trust, resulting worldwide in excessive requirements when applying for permits, licenses, and the like. Studies in behavioral ethics have suggested that asking people to ex-ante pledge to behave ethically can reduce their level of dishonesty and noncompliance. However, pledges might also backfire by allowing more people to cheat with no real sanctions. Additionally, pledges’ effects have only been studied in one-shot decision making, and they may only have a short-term effect that could decay in the long run, leading to an overall erosion of trust. We explored the interaction of pledges with sanctions and the decay of their effects on people’s honesty by manipulating whether pledges were accompanied by sanctions (fines) and testing their impact on sequential, repeated ethical decisions. We found that pledges considerably and consistently reduced dishonesty, and this effect was not crowded out by the presence of fines. Furthermore, pledges seem to exert an effect on most people, including those who are relatively less inclined to follow rules and norms. We conclude that pledges could be an effective tool for the behavioral regulation of dishonesty, reduce the regulatory burden, and build a more trusting relationship between government and the public, even in areas where incentives and opportunities to cheat are high.

Long-Run IPO Performance Analysis of German and Spanish Family-Owned Businesses

2005 ◽  
Vol 18 (3) ◽  
pp. 179-202 ◽  
Author(s):  
Peter Jaskiewicz ◽  
Víctor M. González ◽  
Susana Menéndez ◽  
Dirk Schiereck
Keyword(s):  
Stock Market ◽  
Initial Public Offerings ◽  
Family Involvement ◽  
Positive Impact ◽  
Market Performance ◽  
Abnormal Returns ◽  
Negative Influence ◽  
Ipo Performance ◽  
Long Run ◽  
Stock Market Performance

This article examines the long-run stock market performance of German and Spanish initial public offerings (IPOs) between 1990 and 2000. We distinguish between family-and nonfamily-owned business IPOs by using the power subscale of the F-PEC. Buy-and-hold-abnormal returns (BHAR) are calculated in order to determine abnormal returns. Our results show that three years after going public, investors, on average, realized an abnormal return of − 32.8% for German and − 36.7% for Spanish IPOs. In both countries, nonfamily business IPOs perform insignificantly better. Regression analyses show that for the whole sample there is a positive company size effect. In family-owned businesses, strong family involvement has a positive impact on the long-run stock market performance, whereas the age of the firm has a negative influence.

Stock market reaction to cash dividends: evidence from the Nigerian stock market

2019 ◽  
Vol 45 (3) ◽  
pp. 366-380
Author(s):  
Friday Kennedy Ozo ◽  
Thankom Gopinath Arun
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Content Type ◽  
Price Reaction ◽  
Stock Market Reaction ◽  
Dividend Announcements ◽  
Stock Price Reaction

PurposeVery little is known about the effect of dividend announcements on stock prices in Nigeria, despite the country’s unique institutional environment. The purpose of this paper is, therefore, to provide empirical evidence on this issue by investigating the stock price reaction to cash dividends by companies listed on the Nigerian Stock Exchange.Design/methodology/approachStandard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the cash dividend announcement date. Abnormal returns are also calculated employing the market-adjusted return model as a robustness check and to test the sensitivity of the results toβestimation. The authors also examine the interaction between cash dividends and earnings by estimating a regression model where announcement abnormal returns are a function of both dividend changes and earnings changes relative to stock price.FindingsThe study find support for the signaling hypothesis: dividend increases are associated with positive stock price reaction, while dividend decreases are associated with negative stock price reaction. Companies that do not change their dividends experience insignificant positive abnormal returns. The results also suggest that both dividends and earnings are informative, but dividends contain information beyond that contained in earnings.Research limitations/implicationsThe sample for the study includes only cash dividend announcements occurring without other corporate events (such as interim dividends, stock splits, stock dividends, and mergers and acquisitions) during the event study period. The small firm-year observations may limit the validity of generalizations from these conclusions.Practical implicationsThe findings are useful to researchers, practitioners and investors interested in companies listed on the Nigerian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Nigerian stock market.Originality/valueThis paper adds to the very limited research on the stock market reaction to cash dividend announcements in Nigeria; it is the first of its kind employing a unique cash dividends data.

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES

2020 ◽  
Vol 15 (01) ◽  
pp. 2050002
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Conditional Volatility ◽  
Short Term ◽  
Price Increases ◽  
Cumulative Abnormal Returns ◽  
Price Reversal

The study explores the correlation between the immediate and the longer-term stock returns following large daily price moves. Following the previous literature, which documents a tendency for price reversals after initial large price moves, I suggest that if a large stock price move is immediately followed by a short-term price drift, then it may indicate that the company-specific shock is more completely incorporated in the stock price, significantly increasing the probability of subsequent longer-term price reversal. Analyzing a vast sample of large stock price moves, I document that negative (positive) longer-term stock price reversals after large price increases (decreases) are significantly more pronounced if the latter are immediately followed by relatively high (low) short-term cumulative abnormal returns, that is, by short-term price drifts. The effect remains significant after accounting for additional company-specific (size, market model beta, historical, or conditional volatility) and event-specific (stock’s return and trading volume on the event day) factors.

scholarly journals Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

2017 ◽  
Vol 20 (2) ◽  
pp. 11-20
Author(s):  
Julijana Angelovska
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Directional Pattern ◽  
Short Term ◽  
Dynamic Relationship ◽  
Common Trend ◽  
Significant Relationships ◽  
Long Run ◽  
Causality Tests ◽  
Economic Ties

Abstract The aim of this study is the empirical investigation of the long-run relations and the short-term dynamics between two Balkan stock markets: Macedonian and Croatian. The presence of long run common trend between the Macedonian and Croatian stock market indices is identified by applying Johansen’s cointegration maximum eigenvalue and trace tests, while potential causal relations are examined by employing Granger’s causality tests. Data sample spans from January 3rd, 2005 to March 31st, 2017. The stock market indices were found to be co-integrated with significant relationships. A bi-directional pattern of causality is documented between the Macedonian and Croatian returns. This pattern is remarkably stable and suggests significant economic ties between the investors in Macedonian and Croatian stock markets. The findings are important for the investors meaning that they cannot gain diversification benefits of investing in the Croatian or Macedonian stock market.

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