scholarly journals Politically Connected Firms and Their Stock Return Volatility during High-Visibility Events: Evidence from Malaysia

2021 ◽  
Vol 22 (3) ◽  
pp. 1449-1468
Author(s):  
Wai-Yan Wong ◽  
Chee-Wooi Hooy
Keyword(s):  
Stock Return ◽  
General Election ◽  
Return Volatility ◽  
Political Connection ◽  
Government Budget ◽  
Stock Volatility ◽  
Listed Firms ◽  
Stock Return Volatility ◽  
The Government ◽  
The Relationship

This study investigates the relationship between political connection and firm stock volatility. We examine whether stock return volatility of politically connected firms differ from non-connected firms during four events. These four events are general election, change of leadership, announcement of government budget, and announcement of policies by the government. This paper uses a volatility event study technique to calculate the abnormal stock return volatility during the four events. We use the data of public-listed firms in Malaysia from 2002 to 2013. The result shows that political connection is associated with higher stock volatility in certain events. They appear to be the most volatile in the event of general election and least volatile during budget announcement. Besides budget announcement, the other three events showed a stronger volatility as they are considered as more of a surprise announcement rather than scheduled announcement. The paper adds to a limited body of literature investigating the relationship between political connection and market behavior in Malaysia and hopes to show that political connection can impact the stock return volatility of firms during high-visibility events in Malaysia.

scholarly journals The relationship between corporate forward-looking disclosure and stock return volatility

2018 ◽  
Vol 16 (3) ◽  
pp. 130-149
Author(s):  
Gehan A. Mousa ◽  
Elsayed A. H. Elamir
Keyword(s):  
Regression Analysis ◽  
Stock Return ◽  
Negative Association ◽  
Return Volatility ◽  
Disclosure Quality ◽  
Listed Firms ◽  
Stock Return Volatility ◽  
The Relationship ◽  
Selection Of ◽  
Forward Looking

The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to 2017. The study also investigates the relationship between these attributes and stock return volatility. Regression analysis has been employed with five different models to examine the relationship between the four attributes of corporate forward-looking disclosure and stock return volatility. The main finding of this study agrees with the results of Bravo et al. (2009) who found that the selection of a specific disclosure index could influence crucially the results of the analysis. In addition, stock return volatility has a statistically significant negative association with the three attributes of forward-looking disclosure, namely disclosure quantity, disclosure coverage and disclosure quality. In contrast, it has a non-significant association with the fourth attribute of forward-looking disclosure, disclosure concentration. This study provides a novel contribution to disclosure quality studies by being the first study to examine forward-looking disclosure quality attributes in the Kingdom of Bahrain.

scholarly journals The Primary Origin of the Financial Crisis

2021 ◽  
Author(s):  
Aloui Mouna ◽  
Jarboui Anis
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Simultaneous Equation ◽  
Independent Directors ◽  
Return Volatility ◽  
Outside Directors ◽  
Stock Return Volatility ◽  
Negative Effect ◽  
Primary Origin ◽  
The Relationship

This paper examines the relationship between the stock return volatility, outside directors, independent directors, and variable control using simultaneous-equation panel data models for a panel of 89 France-listed companies on the SBF 120 over the period of 2006–2012. Our results showed that the outside directors (FD) and audit size increase the stock return volatility. Furthermore, the results indicate that the independent directors and ROA have a negative effect on the stock return volatility; this result indicates that these variables contribute to decrease and stabilize the stock return volatility. This study employs a variety of econometric models, including feedback, to test the robustness of our empirical results. Also, we examine the relationship between the corporate governance and the stock returns volatility, exchange rate, and treasury bill using GARCH-BEKK model for a panel of 99 French firms over the period of 2006–2013.

scholarly journals Foreign Ownership, Return Volatility, Trading Volume, and Risk of Stocks in Indonesia

2018 ◽  
Author(s):  
Ahmad Maulin Naufa ◽  
I Wayan Nuka Lantara
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Indonesian Government ◽  
The Relationship

This study examines the relationship between foreign ownership and return volatility, trading volume, and risk of stocks at the Indonesia Stock Exchange (IDX). Panel data of selected companies listed on the LQ45 index of the IDX was employed for the period between 2011 and 2017. Foreign ownership was found to positively affect stock return volatility, trading volume, and risk. Hence, more substantial foreign ownership of stocks meant more drawbacks to Indonesian stocks. Therefore, there is a need for the Indonesian government to limit and regulate foreign shareholders in Indonesia.  

scholarly journals The risk management role of nonexecutive directors: from capital expenditure perspective

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tho Anh To ◽  
Yoshihisa Suzuki ◽  
Hong Thu Thi Ho ◽  
Siem Thi Tran ◽  
Tuan Quoc Tran
Keyword(s):  
Stock Return ◽  
Capital Expenditure ◽  
Generalized Method Of Moments ◽  
Moderating Effect ◽  
Return Volatility ◽  
Firm Risk ◽  
Content Type ◽  
Listed Firms ◽  
Stock Return Volatility

PurposeThis study investigates the impact of board independence on firm risk of Vietnamese listed firms and the moderating effect of capital expenditure on this relationship.Design/methodology/approachThis paper applies fixed effects and dynamic generalized method of moments (GMM) models to examine hypothesized associations between the proportion of nonexecutive directors and stock return volatility, as well as the moderating effect of capital expenditure. The robustness tests are implemented by applying alternative measures of overinvestment and firm risk.FindingsThe results show that the presence of nonexecutive directors on board increases firm risk. However, the combination of nonexecutive ratio and capital expenditure ratio has a significant negative impact on firm risk. The result is also confirmed by the difference between the monitoring role of nonexecutive directors in overinvesting and underinvesting firms.Research limitations/implicationsThe results imply that Vietnamese listed firms take stock return volatility into consideration before nominating and appointing nonexecutive directors into their board, especially in overinvesting firms. From another perspective, the shift toward having a majority of nonexecutive directors on boards can play a significant role in pursuing a stable or risky business strategy.Originality/valueThis paper investigates the influences of nonexecutive directors on firm risk in the context of Vietnam.

scholarly journals Political Connection and Firm’s Performance Among Malaysian Firms

2020 ◽  
Vol 11 (3) ◽  
pp. 146
Author(s):  
Nurul Azlin Azmi ◽  
Nor Balkish Zakaria ◽  
Fazrul Hanim Abd Sata ◽  
Zuraidah Mohd Sanusi
Keyword(s):  
Important Implication ◽  
General Election ◽  
Political Connections ◽  
Board Independence ◽  
Political Connection ◽  
Return On Equity ◽  
Listed Firms ◽  
Negative Effect ◽  
The Government ◽  
Positive Effect

The purpose of this study is to examine the influence of political connections on firms’ performance by controlling the effect of board attributes and firms’ characteristics. Specifically, it is argued that politically connected firms enjoy a lot of benefits from the government and said to provide greater chances for the firms to increase their wealth. By using 156 public listed firms between the study period of 2012 to 2017, this study maps out political connection based on the 13th Malaysian general election. The results reveal that the appearance of political connections on board gives significant and negative effect on Tobin Q, while significant and positive effect on Return on Asset (ROA) and Return on Equity (ROE). Board independence is also significant to firms’ performance. This result implies that political connection is a favour for a better firm’s performance and not to firm’s value. The findings have an important implication to investors as it suggests that firms with political connection on board perform better.

scholarly journals Informed Trading around Stock Split Announcements: Evidence from the Option Market

2017 ◽  
Vol 52 (2) ◽  
pp. 705-735 ◽  
Author(s):  
Philip Gharghori ◽  
Edwin D. Maberly ◽  
Annette Nguyen
Keyword(s):  
Stock Prices ◽  
Stock Return ◽  
Implied Volatility ◽  
Abnormal Returns ◽  
Informed Trading ◽  
Return Volatility ◽  
Stock Volatility ◽  
Stock Return Volatility ◽  
Weak Evidence ◽  
Abnormal Increase

Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders’ perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence, though, of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.

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