Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern European (SEE) stock markets to the Brexit vote on 23 June 2016. Using daily data for the time span from January 2010 until July 2016 and the event study methodology (ESM), the return and volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned event. This is important for international investors and gives information on the reaction of mentioned markets to big political and economic events in order to tailor international portfolios in a way to hedge from risk.

Download Full-text

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Mathematics ◽

10.3390/math9172077 ◽

2021 ◽

Vol 9 (17) ◽

pp. 2077

Author(s):

Tihana Škrinjarić

Keyword(s):

Stock Market ◽

Event Study ◽

Stock Markets ◽

Trading Strategies ◽

Eastern European ◽

Negative Effects ◽

Market Reactions ◽

Study Approach ◽

Study Methodology ◽

Stock Market Reactions

This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

Download Full-text

International Trade and UK De-Industrialisation

National Institute Economic Review ◽

10.1177/002795011724200110 ◽

2017 ◽

Vol 242 ◽

pp. R3-R13 ◽

Cited By ~ 3

Author(s):

Francesca Foliano ◽

Rebecca Riley

Keyword(s):

International Trade ◽

Import Competition ◽

Eastern European ◽

The European Union ◽

Advanced Economies ◽

Manufacturing Sectors ◽

Trade Regimes ◽

Important Player ◽

The Uk ◽

European Economies

The past 25 years have been characterised by a surge in international trade as economies have become increasingly inter-linked. In many advanced economies this surge has been associated with increased import competition from low-wage economies. This paper explores the effects of such competition on manufacturing jobs in the UK. We consider two developments that influenced the nature of international trade: the ascendency of China as an important player in global markets and the accession to the European Union of a number of Eastern European economies in 2004. Both of these changes were associated with a shift in trade regimes and led to a sharp rise in import competition in particular UK manufacturing sectors. We find that these changes are likely to have hastened the decline of UK manufacturing.

Download Full-text

COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

Journal of Risk and Financial Management ◽

10.3390/jrfm14080389 ◽

2021 ◽

Vol 14 (8) ◽

pp. 389

Author(s):

Adil Saleem ◽

Judit Bárczi ◽

Judit Sági

Keyword(s):

Stock Index ◽

Market Model ◽

Market Reactions ◽

Health Crisis ◽

Stock Indices ◽

Thomson Reuters ◽

Short Run ◽

Study Methodology ◽

Stock Market Reactions ◽

Stock Indexes

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Download Full-text

The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries

Economic Annals ◽

10.2298/eka2027067s ◽

2020 ◽

Vol 65 (227) ◽

pp. 67-94

Author(s):

Oleg Salmanov ◽

Natalia Babina ◽

Marina Samoshkina ◽

Irina Drachena ◽

Irina Salmanova

Keyword(s):

Stock Markets ◽

Statistical Significance ◽

Developed Countries ◽

Investment Strategies ◽

Russian Market ◽

The Us ◽

The Usa ◽

International Portfolios ◽

Russian Stock Market ◽

The Uk

The aim of this article is to identify patterns of profitability volatility and to establish the degree of dynamic conditional correlation between the stock markets of developed countries and those of Russia. This issue is important for investment strategies and the international diversification of investments. We use the BEKK-GARCH, CCC-GARCH, and DCCGARCH models and show that the correlation between the Russian stock market and the markets of the USA, UK, Germany, and France has decreased significantly in recent years. We find that while the correlation between the Russian market and the mature European markets is bidirectional, the relationship between the US market and the Russian market is unidirectional. An assessment of the transfer of volatility from all of the mature markets to the Russian market establishes its statistical significance and shows that feedback from the Russian market to the UK and German markets is insignificant. Diversification of international portfolios in the Russian market is recommended.

Download Full-text

Stock Market Reactions to the Comprehensive and Progressive Agreement for Trans-Pacific Partnership’s Approval: Evidence from Vietnam

Journal of Economic Integration ◽

10.11130/jei.2021.36.3.462 ◽

2021 ◽

Vol 36 (3) ◽

pp. 462-490

Author(s):

Son Tung Ha ◽

Thi Hong Hanh Pham ◽

Thi Nguyet Anh Nguyen

Keyword(s):

Stock Market ◽

Abnormal Returns ◽

Stock Exchanges ◽

Market Returns ◽

Market Reactions ◽

Listed Firms ◽

Stock Market Performance ◽

Study Methodology ◽

Stock Market Reactions ◽

Event Study Methodology

We examine the stock market performance of Vietnam’s listed firms in response to the country’s approval of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP). Employing an event study methodology, we first calculate the abnormal returns of all listed Vietnamese firms around the CPTPP’s approval date. Then, we attempt to link these abnormal returns to firms’ characteristics. We find evidence that the announcement of the CPTPP’s approval is associated with positive abnormal returns for Vietnam’s listed firms. We also find considerable heterogeneity in the magnitude and pace of the impacts of the CPTPP’s approval on market returns across Vietnam’s two stock exchanges. However, we fail to reject the null hypothesis that the market did not react to the CPTPP’s approval at the sectoral level.

Download Full-text

Stock Market Reactions to Financing and Payment Decisions for European Mergers and Acquisitions

The Central European Review of Economics and Management ◽

10.29015/cerem.868 ◽

2020 ◽

Vol 4 (2) ◽

pp. 41-89

Author(s):

Wolfgang Bessler ◽

David Kruizenga ◽

Wim Westerman

Keyword(s):

Stock Market ◽

Mergers And Acquisitions ◽

Abnormal Returns ◽

Market Reactions ◽

Valuation Effects ◽

Payment Methods ◽

Cumulative Abnormal Returns ◽

Study Methodology ◽

Acquisition Announcements ◽

Stock Market Reactions

Aim: We analyze stock market reactions to merger and acquisition announcements for firms in Europe and contribute to the literature by providing empirical evidence how the decisions with respect to alternative financing sources (equity or debt) and the methods of payment (cash or stock) affect the magnitude of the valuation effects. Research design: An event study methodology is applied to 717 M&A transactions. We analyze the size of the cumulative abnormal returns using the financing sources and payment methods and other variables as the relevant determinants. Findings: The cumulative abnormal results suggest that target shareholders and bidder shareholders in private deals benefit from mergers and acquisitions. The effect found is centered around the announcement date, making our findings consistent with market efficiency. Debt financed deals outperform equity financed deals and cash paid M&A outperform stock paid M&As, due to information asymmetry, signaling and agency effects. Originality: This study adds to our understanding of the relevance of the financing sources and the payment methods for mergers and acquisitions in Europe. Implications: This study may help practitioners to better assess the valuation effects of alternative financing sources and payment methods when acquiring other firms. JEL: G32, G34

Download Full-text

Inclusion or Exclusion: UK Education Policy and Roma Pupils

Social and Economic Vulnerability of Roma People ◽

10.1007/978-3-030-52588-0_1 ◽

2021 ◽

pp. 3-17

Author(s):

Carol Rogers

Keyword(s):

Education Policy ◽

Good Practice ◽

Eastern European ◽

The European Union ◽

Inclusive Practice ◽

Life Chances ◽

The United Kingdom ◽

Key Factor ◽

The Uk ◽

Disadvantaged Families

AbstractEducation is widely recognised as a key factor in improving social mobility and improving life chances. Therefore, this is fundamental to UK education policy which aims to improve outcomes for all children, particularly those from disadvantaged backgrounds. As a result of expansion of the European Union over the past decade, there has been an increase in the number of Central and Eastern European Roma families settling the United Kingdom. Together with indigenous Gypsies and Travellers, Roma families remain some of the most marginalised and disadvantaged families in the UK, with Gypsy and Roma children having the poorest educational outcomes of all pupil groups. An inclusive educational philosophy underpins the UK educational system, however, there is a tension between current austerity measures and outcome driven education policy and the principles of inclusive practice. Whilst there are examples of good practice and inclusive educational experiences for Roma children, some barriers and exclusions are also evident.

Download Full-text

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

Financial Innovation ◽

10.1186/s40854-021-00227-3 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Manel Youssef ◽

Khaled Mokni ◽

Ahdi Noomen Ajmi

Keyword(s):

Economic Policy ◽

Stock Markets ◽

Investment Banks ◽

Individual Investors ◽

Policy Uncertainty ◽

Economic Policy Uncertainty ◽

Daily Data ◽

The Us ◽

Portfolio Managers ◽

The Uk

AbstractThis study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR) model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results showed that stock markets were highly connected during the entire period, but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020. Moreover, we found that the European stock markets (except Italy) transmitted more spillovers to all other stock markets than they received, primarily during the COVID-19 outbreak. Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns. Also, findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset, indicating that information spillovers from a given market may signal either good or bad news for other markets, depending on the prevailing economic situation. These results have important implications for individual investors, portfolio managers, policymakers, investment banks, and central banks.

Download Full-text

Stock Market Reactions and Formula One Performance

Journal of Sport Management ◽

10.1123/jsm.25.4.305 ◽

2011 ◽

Vol 25 (4) ◽

pp. 305-313 ◽

Cited By ~ 2

Author(s):

Klaus Schredelseker ◽

Fedja Fidahic

Keyword(s):

Stock Market ◽

Global Financial Crisis ◽

Abnormal Returns ◽

Market Reactions ◽

Formula One ◽

Study Methodology ◽

The One ◽

The Global Financial Crisis ◽

Stock Market Reactions ◽

Event Study Methodology

Due to the global financial crisis, the investments of car manufacturers are going to be revised as never before; especially this is the case for any kind of commitment in sport sponsoring. In Formula One on the one hand costs are exploding, on the other hand money becomes shortened. That is why it becomes interesting to know to what extent a manufacturer’s involvement in this sport is worth it. We use an event study methodology analyzing the stock market response after race performances from 2005 to 2007. Our main results: McLaren- Mercedes and Fiat-Ferrari generate positive abnormal returns after wins for DaimlerChrysler and Fiat, and significantly weaker abnormal returns after losses. Conversely, returns for Renault change in an opposite way.

Download Full-text

Economic Migration of Eastern Europeans in the UK after the UK Referendum Held in 2016

SHS Web of Conferences ◽

10.1051/shsconf/20207405011 ◽

2020 ◽

Vol 74 ◽

pp. 05011

Author(s):

Magdalena Kotýnková

Keyword(s):

European Union ◽

Labour Market ◽

Economic Status ◽

Real Data ◽

Theoretical Concept ◽

Eastern European ◽

The European Union ◽

Modern Slavery ◽

Economic Migration ◽

The Uk

The economic status of Eastern European migrants has become a major issue in the UK, as it was one of the main arguments for leaving the European Union in the 2016 Referendum. The negative view on migrants from Eastern Europe in the UK relies on the fact that these migrants are a major burden for the British social and healthcare system. At the same time, however, the issue of modern slavery is discussed, based on the fact that Eastern Europeans in the UK are willing to work under undignified working conditions. The aim of the paper is to analyse and evaluate the economic status of Eastern Europeans on the UK labour market. The paper is based on the theoretical concept of the dual labour market, which is used in the analysis of real data. The dataset used was prepared by the UK Office for National Statistics (GB): As the conclusion, the expected changes in migration of the Eastern Europeans after the UK’s leaving the European Union, currently scheduled for 31 November 2020, are given.

Download Full-text