scholarly journals Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study

2018 ◽  
Vol 6 (3) ◽  
pp. 64 ◽  
Author(s):  
Akram Alkhatib ◽  
Murad Harasheh
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Market Model ◽  
Exchange Traded Funds ◽  
The Us ◽  
Global Demand ◽  
Positive Abnormal Return ◽  
Event Date ◽  
Asset Classes

In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of exchange-traded funds (ETFs), this paper examines how different ETFs that are traded on London Financial center reacted to the Brexit event in 23 June 2016. The unexpected referendum result the day after is viewed as the next significant financial event since 2008. The paper employs an event study market model on daily and abnormal returns of the selected ETFs with respect to FTSE 250 around the event date. Contrary to what is expected, the world equities fund experienced significant positive abnormal return on the event day. Emerging markets again proved to be a preferred investment destination in times of financial turmoil; the emerging equities fund gained 3% while enjoying an 11.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The gold fund soared as much as 4% as investors seeks refuge from Brexit, and the oil fund retraced 1% amid concerns of slowing global demand.

scholarly journals PENGARUH PENGUMUMAN PERUBAHAN PERINGKAT OBLIGASI TERHADAP PERILAKU INVESTOR PADA PERUSAHAAN ASING DAN DOMESTIK

2018 ◽  
Author(s):  
Irdha Yusra
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Market Model ◽  
Bond Rating ◽  
Foreign Companies ◽  
Positive Abnormal Return ◽  
Event Date ◽  
Rating Changes ◽  
Different Response ◽  
Domestic Companies

The objective of this research is to examine differences behavior investors to bond rating changes in foreign and domestic companies. The event date is the time when PT Pefindo as a rating agency in Indonesia announce the changes of bond rating during 2002-2011. Event study method is used to analyze investor reaction to bond rating changes announcement. The samples are taken by purposive sampling method and the results are 89 observation, 51 upgrade and 7 downgrade for foreign companies, 15 upgrade and 16 downgrade for domestic companies. Market model used to calculate whether there is any abnormal return. Event windows are 21 days which 10 days before the rating announcement, the day of rating announcement, and 10 days after the rating announcement. The variables is average abnormal return. Generally, the were positive abnormal return at bond rating upgrade announcement and there were negative abnormal return at bond rating downgrade announcement. The result is Indonesian Capital Market, especially Indonesian Stock Exchange significantly react to bond rating upgrade and downgrade, for both categories of foreign and domestic companies. This results indicates that investors react positively to the announcement of the change of bond rating companies foreign and domestic. This research also find different response from investors, where the reaction of investors to changes of bond rating from domestic companies higher than to changes of bond rating from foreign companies

scholarly journals Reaksi Pasar Atas Momentum Hari Raya Idul Fitri Tahun 2019

2020 ◽  
Vol 30 (5) ◽  
pp. 1247
Author(s):  
Gede Rama Wirya Nanda ◽  
Made Gede Wirakusuma
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Analysis Technique ◽  
Event Date ◽  
Saturated Sample ◽  
The One

This study aims to determine the market reaction to the momentum of Idul Fitri in 2019. This research is an event study with an observation period of 14 days. The study was conducted at companies classified as the Jakarta Islamic Index (JII) in 2019. The population in this study was 30 companies. The sampling method used is the saturated sample method. Samples obtained were 30 companies. Market reaction to the momentum of Idul Fitri in 2019 is measured using abnormal returns and trading volume activity. The data analysis technique used is the one-sample t-test. The test results show that there is a market reaction during the Idul Fitri in 2019 which is indicated by a significant abnormal return and trading volume activity around the event date. This shows that Idul Fitri in 2019 caused a market reaction because of there was an information content of the event. Keywords: Event Study; Abnormal Return; Trading Volume Activity.

When and why firms issue sukuk?

2018 ◽  
Vol 44 (6) ◽  
pp. 774-786 ◽  
Author(s):  
Hasib Ahmed ◽  
M. Kabir Hassan ◽  
Blake Rayfield
Keyword(s):  
Event Study ◽  
Risk Sharing ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Reaction Model ◽  
Market Model ◽  
Content Type ◽  
Book To Market Ratio ◽  
Financial Characteristics ◽  
Investor Reaction

Purpose The purpose of this paper is to analyze whether investors perceive the issuance of sukuk differently than they do in case of conventional bonds, by using event study with superior data. Then, it analyzes whether financial characteristics of issuers can explain the abnormal return and likelihood of sukuk issuance. Finally, the paper proposes a testable model explaining the investor reaction. Design/methodology/approach This paper uses market model event study to assess investor reaction to the issuance of sukuk. Then, linear and logistic regressions are used to test whether financial characteristics of issuers can explain the abnormal return and likelihood of sukuk issuance. To investigate the differences between sukuk issuers and bond issuers, this paper tests the difference in means of issuer characteristics. Finally, the sample is subdivided into good and bad firm prospects according to dividend/earnings ratio and book-to-market ratio. The subdivisions are used to test the proposed model explaining the investor reaction. Findings The study finds that a large variety of firms issues sukuk. The event study reports significant negative abnormal returns around the announcement date of sukuk issuance. The study also reveals that the earning prospect of issuer firms affect the investor reaction. Firms with lower earning prospect receive a negative reaction from the investors. Also, smaller, or financially unhealthy firms are more likely to issue sukuk. Smaller and riskier firms issue sukuk, because participation in the market is less constrained. In other words, the risk-sharing nature of sukuk might imply that the firm is not confident about the future prospect. However, if the firm has good earnings prospects, investors react to the issuance of sukuk negatively. Research limitations/implications Reliability and availability of data is a hurdle to test the investor reaction model. As more data become available, the models implications can be further tested. Originality/value This paper uses the most complete set of data to study sukuk, making it the most selection bias-free and complete study. Moreover, the proposed investor reaction model will enrich the theory.

scholarly journals PERBEDAAN ABNORMAL RETURN SEBELUM DAN SESUDAH FRIDAY EFFECT DI BURSA EFEK INDONESIA (EVENT STUDY PERUSAHAAN SEKTOR KONSUMSI DI JAKARTA ISLAMIC INDEX TAHUN 2018

2020 ◽  
Vol 7 (6) ◽  
pp. 1018
Author(s):  
Dewi Astuti ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Hypothesis Testing ◽  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Paired Samples ◽  
Before And After ◽  
Event Date ◽  
Observation Period

Friday effect is a form of a market anomaly (deviation) that is contrary to the efficiency market, marked by high stock returns on Friday. The Friday effect phenomenon is an event or strategy which, if predictable, will be used by investors to get more profit (abnormal profit). This study aims to look at the effect of the Friday effect on abnormal returns in the consumption sector companies in the Jakarta Islamic Index (JII) in 2018, which is shown by whether there are differences in abnormal returns before and after Friday. The approach used in this study is a quantitative approach and testing the hypotheses that have been set. The method used is event study, with an observation period of 9 days, namely t - 4 (4 days before Friday), t = 0 (on Friday / event date) and, t + 4 (4 days after Friday). Hypothesis testing uses paired samples t-tests. The results of this study are based on these statistical tests with a significant level (α) = 0.05 producing a probability value of 0.784. This means that there is no difference in abnormal returns before and after Friday trading.Keywords: Friday Effect, Abnormal return, event study, Efficient Market, Jakarta Islamic Index (JII)

scholarly journals Reação do Mercado à Alteração na Composição da Carteira de Índices da Bolsa de Valores Brasileiros

2006 ◽  
Vol 4 (2) ◽  
pp. 141
Author(s):  
Jairo Laser Procianoy ◽  
Rodrigo S. Verdi
Keyword(s):  
Abnormal Return ◽  
Abnormal Returns ◽  
Trade Volume ◽  
Short Term ◽  
The Us ◽  
Positive Abnormal Return

This study investigates the price and volume behavior of stock added and excluded to the IBOVESPA, IBrX50, and IBrX100 indexes during the years 1994 to 2002 and FGV100 index during the years 2000 to 2002. In contrast to findings in the US, we find no evidence of abnormal returns around the announcement of changes in the IBOVESPA. We find short-term positive abnormal return to stocks added to the IBOVESPA and IBrX50. There is evidence of negative cumulative returns for stocks excluded from the indexes. We also find positive abnormal trade volume on the date before the stocks were added to the IBOVESPA index.

scholarly journals Dividend Signalling Hypothesis In Emerging Markets: More Empirical Evidence

2013 ◽  
Vol 29 (2) ◽  
pp. 461 ◽  
Author(s):  
Wasim K. Al-Shattarat ◽  
Muhannad A. Atmeh ◽  
Basiem K. Al-Shattarat
Keyword(s):  
Abnormal Return ◽  
Value Relevance ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Expected Returns ◽  
Cumulative Abnormal Returns ◽  
Positive Abnormal Return ◽  
Study Methodology ◽  
Is Value

The main objective of this study is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2005 to 2010. The sample consists of 183 observations and 132 observations for dividend release sample and no-dividend release sample, respectively. Event Study Methodology (ESM) is applied to examine the market reaction to dividend release announcements. The market model is used to generate the expected returns. Also, the t-test is used to examine the significance of the mean and cumulative abnormal returns. Results from the dividend release sample shows that there is a significant positive abnormal return on the announcement days. Also, it shows that there is an overreaction straight after the announcement day, then a correcting attempt in the post event and then it goes back to normal, which is consistent with the signalling hypothesis. For the no-dividend release sample, the results show no significant abnormal return on and around the announcement days which is again consistent with the signalling hypothesis. Our results are consistent with Al-Shattarat et al. (2012) suggestions that there could be value relevance for dividends rather than dividends change. Our findings show that there is value relevance for dividends and thus supporting the signalling hypothesis.

The Effects of Share Repurchase Announcements on Returns in the Malaysia Stock Market

2018 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Tze San Ong ◽  
Pei San Ng
Keyword(s):  
Stock Market ◽  
Abnormal Return ◽  
Small Firms ◽  
Abnormal Returns ◽  
Share Repurchase ◽  
Before And After ◽  
Positive Abnormal Return ◽  
Repurchase Announcements ◽  
Signaling Hypothesis ◽  
Firm Characteristic

This paper examines the market response surrounding the share repurchase announcements of Malaysia Listed Companies from years 2012 to 2016. One sample T-test was carried out to identify the abnormal return in the range before and after 20 days from share repurchase announcements. The result shows a significant positive abnormal return in the day of repurchase announcements and continuously until day 1 after the announcements. Multiple regression analysis was performed in order to identify the firm characteristic of share repurchase. The finding is supported with information asymmetric, which shows that stock market reacts more favorably through the repurchase announcements by small firms than large firms. This study is consistent with the signaling hypothesis that shows share repurchase announcement can be an effective tool in stabilizing the stock market in Malaysia. The finding of this study acts as a useful tool for managers and investors to improve their decisions on share repurchase announcements in Malaysia. Company’s managers can conduct share repurchase announcements that are able to make the stock market react positively in order to generate positive abnormal returns.

Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence

2021 ◽  
pp. 0258042X2199101
Author(s):  
Prabhdeep Kaur ◽  
Jaspal Singh
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Price Impact ◽  
Exchange Traded Funds ◽  
Study Analysis ◽  
Jel Codes ◽  
Securities Transaction Tax ◽  
Underlying Stocks ◽  
Transaction Tax ◽  
The Impact

The advent of exchange traded funds (ETFs) has rendered index trading much affordable compared to their futures counterparts. The present study attempts to examine the impact of ETF listing on the price of the constituent securities of the index that it aims to track. The sample comprises of all the equity ETFs listed in India from 1 January 2002 to 31 March 2019. Event study analysis has been used to examine whether listing of ETFs bore any price impact on the constituent stocks of ETFs. To account for robustness, both parametric and non-parametric tests have been employed. The estimates obtained from event study analysis revealed that the constituent stocks generated insignificant returns for the period extending from January 2002 to March 2009 and April 2009 to March 2013 but positive and significant cumulative average abnormal returns (CAARs) post ETF listing for the period ranging from April 2013 to March 2019, thus providing evidence in support of positive price impact. The permission granted to pension funds, insurers and Employees’ Provident Fund Organisation (EPFO) to invest their funds in ETFs as well as reduction in Securities Transaction Tax (STT) account for the observed price differential. An analysis of the factors accounting for the variation in valuation effects ascertained that the stocks that were traded thinly prior to ETF listing and those forming part of ETFs with larger asset base experienced positive price impact following ETF listing. JEL Codes: G11, G14

scholarly journals Impact of Smoking Ban Fatwa on Indonesian Tobacco’s Company

2013 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Gatot Soepriyanto ◽  
Paulina Santoso
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Tobacco Consumption ◽  
Share Price ◽  
Market Model ◽  
Smoking Ban ◽  
Muslim Population ◽  
Stock Market Return ◽  
Study Methodology ◽  
Event Study Methodology

The objective of this study is to assess the share price reactions to smoking ban fatwa on Indonesia tobacco’s company. We expect that the smoking ban fatwa in the world’s largest Muslim population will hit the tobaccos industry revenues, lower tobacco’s company profit and eventually affect the share price of those firms. We use event study methodology and standard market model to calculate abnormal returns of the tobacco’s firms related to the news of smoking ban fatwa. Our study failed to find a statistically significant effect of smoking ban fatwa on tobacco’s firm stock market return. It suggests that the investors do not see the fatwa as a factor that may control the tobacco consumption in Indonesia – thus it may not affect the tobacco’s firm revenues and profit in the future

Reaksi Investor Pasca Pengumuman Unsuspensi (Studi Pada Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2017)

2019 ◽  
Vol 16 (4) ◽  
pp. 265-273
Author(s):  
Meita Rahmawati ◽  
Iwan Efriandy
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Market Model ◽  
Adjusted Model

Tujuan: Penelitian ini adalah menguji secara empiris reaksi investor pasca pengumuman unsuspensi saham dengan melihat abnormal return sebelum pengumuman suspensi dan setelah pengumuman unsuspensi.Metode: Penelitian ini merupakan studi peristiwa (event study), dengan menggunakan periode estimasi selama 100 hari dan periode jendela selama 6 hari yaitu 3 hari sebelum pengumuman suspensi, dan 3 hari pasca pengumuman unsuspensi. Hasil: Uji statistik menunjukkan bahwa pengumuman unsuspensi saham dengan melihat semua penyebab suspensi dan berdasarkan penyebab kenaikan harga saham yang signifikan, berpengaruh terhadap reaksi investor, yang ditunjukkan dari adanya perbedaan nilai rata-rata abnormal return saham yang signifikan secara statistik antara sebelum dan setelah pengumuman. Sedangkan untuk pengumuman unsuspensi saham akibat adanya informasi penundaan kewajiban emiten, tidak berpengaruh terhadap reaksi investor. Peneliti menggunakan model sesuaian rerata (mean-adjusted model), untuk mengestimasi return normal/return ekspektasian, penelitian selanjutnya dapat mempertimbangkan hal-hal berikut: menggunakan model pasar (market model), dan model sesuaian pasar (marked adjusted model), untuk mengestimasi return ekspektasian, memperbesar sampel dan memperpendek periode pengamatan.Kata Kunci: Studi Peristiwa, Unsuspensi, Reaksi Investor, Abnormal return

Sign in / Sign up

Export Citation Format

Share Document