scholarly journals Short-Term Impact of COVID-19 on Indian Stock Market

2021 ◽  
Vol 14 (11) ◽  
pp. 558
Author(s):  
Yashraj Varma ◽  
Renuka Venkataramani ◽  
Parthajit Kayal ◽  
Moinak Maiti
Keyword(s):  
Market Model ◽  
Short Term ◽  
Major Index ◽  
Business Operations ◽  
Study Methodology ◽  
Indian Stock Market ◽  
Adjusted Model ◽  
First Time ◽  
Model Market ◽  
Event Study Methodology

The onset of the COVID-19 pandemic and lockdown announcements by governments have created uncertainty in business operations globally. For the first time, a health shock has impacted the stock markets forcefully. India, one of the major emerging markets, has witnessed a massive fall of around 40% in its major stock indices’ value. Therefore, we examined the short-term impact of the pandemic on the Indian stock market’s major index (NIFTY50) and its constituent sectors. For our analysis, we used three different models (constant return model, market model, and market-adjusted model) of event study methodology. Our results are heterogeneous and largely depend on the sectors. All the sectors were impacted temporarily, yet the financial sector faced the worst. Sectors like pharma, consumer goods, and IT had positive or limited impacts. We discuss the potential explanations for the same. These results may be useful for investors in safeguarding equity portfolios from unforeseen shocks and making better investment decisions to avoid large, unexpected losses.

scholarly journals COVID-19 Impact on Nifty Banks: An Event Study Methodology

2020 ◽  
Vol 22 (1) ◽  
pp. 83-108
Author(s):  
Sabat Kumar Digal ◽  
Yashmin Khatun ◽  
Braja Sundar Seet
Keyword(s):  
Developing Economies ◽  
Abnormal Returns ◽  
Investor Confidence ◽  
First Case ◽  
Catalytic Role ◽  
Study Methodology ◽  
Adjusted Model ◽  
Model Market ◽  
Event Study Methodology

The financial sector, because of its catalytic role in the economy, has always been in the eye of the storm in economic difficulties. Due to the pandemic, the stock market had lost about 27 percent by April 2020 and bank nifty has had a lion’s share in pushing the index down to this level. Uncertainty arose as the containment of the disease and the availability of vaccines remain uncertain; this contributed to the plunge in investor confidence. Because of the central role of banks in the development initiatives of the governments, COVID-19 has become a significant threat to the sustainability of the banks globally, especially in developing economies. However, we believe every downfall brings in new opportunities for the investors. Therefore, the present study attempted to study both the gloom and boon and observed that there were short-term abnormal returns to the investors of nifty banks in two different periods - the detection of the first case of COVID-19 in India and the lockdown periods in India. The impacts of both the events are calculated by applying Market and Risk Adjusted model, Market Adjusted Return model and Mean Adjusted Return model. The paper concludes that the impacts were insignificant during the first period and was quite significant in the subsequent period. Nifty banks have earned negative abnormal returns during the pre-lockdown period and positive abnormal returns during post lockdown period which indicates that the markets reacted positively as India implemented the first lockdown.

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

scholarly journals South–South Cooperation in South and East Asia: An Event Study of the China–Pakistan Economic Corridor

2019 ◽  
Vol 21 (1) ◽  
pp. 54-67
Author(s):  
Wing Him Yeung ◽  
Yilisha Pang ◽  
Asad Aman
Keyword(s):  
Stock Market ◽  
East Asia ◽  
Event Study ◽  
Stock Exchange ◽  
Global South ◽  
Short Term ◽  
Empirical Results ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

South–South cooperation has been on the rise in recent years. One of the latest examples is the China–Pakistan Economic Corridor (CPEC) proposed by the Chinese and Pakistani governments in 2013. Using event study methodology, this article examines the impact of events and announcements associated with CPEC on the Pakistan Stock Exchange in Pakistan and the Shanghai Stock Exchange in China. The first key finding of this article is that the initial announcement associated with CPEC had stronger and positive short-term impact on the Pakistan Stock Exchange in comparison with the impact of subsequent CPEC events on the stock market. The second key finding is that the short-term impact of the CPEC initial announcement was stronger on the Pakistan Stock Exchange than on the Shanghai Stock Exchange, possibly due to the substantial difference in the size of the two economies. The empirical results of this article have important implications for investors, corporations and regulators to the Global South.

EFFECT OF BONUS ISSUE ON STOCK PRICES OF COMPANIES QUOTED AT THE NAIROBI SECURITIES EXCHANGE

2017 ◽  
Vol 2 (1) ◽  
pp. 1
Author(s):  
Patrick Maina Gachuhi ◽  
Cyrus Iraya
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Market Model ◽  
Expected Returns ◽  
Policy Makers ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

Purpose: The purpose of this study was to determine the effect of bonus issue on stock prices of companies quoted at the Nairobi securities exchangeMethodology: The study adopted an event study methodology since the study was concerned with the establishment of the information content of bonus issue announcement on share performance at the NSE. The population of this study was 61 companies listed in the NSE. A sample size of 10 listed companies was focused on as there were only 10 companies which had issued bonuses between 2009 and 2012. The study used secondary data to gather information. The collected secondary data was coded and entered into Statistical Package for Social Sciences (SPSS, Version 20) for analysisResults: The study findings revealed that there was a drastic incline from year 2009 to year 2010 followed by a slight decrease in abnormal returns in the following years, Abnormal returns present the difference between the actual returns and the expected returns over a certain period of time. Study findings from the market model indicated that the market return is a good predictor of stock returns.  ANOVA results indicated that abnormal returns after bonus issue were significantly higher than abnormal returns before bonus issue. ANOVA results also indicated that actual stock returns were significantly higher after bonus issue than before the bonus issuePolicy recommendation: The study recommends the NSE to establish and enhance policies for investing so as to attract and encourage large institutional and foreign investors to participate at the NSE. The study also recommends that policy makers and regulators at the NSE are encouraged to encourage more research on the NSE form of efficiency; this will provide a forum for investors to get the information on the form of efficiency of the market and boost their confidence when investing at the NSE

Market Reaction To Changes In Dividend Payments Policy In Jordan

2012 ◽  
Vol 28 (6) ◽  
pp. 1193
Author(s):  
Wasim K. Al-Shattarat ◽  
Jamal A. Al-Khasawneh ◽  
Husni K. Al-Shattarat
Keyword(s):  
Market Reaction ◽  
Value Relevance ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Expected Returns ◽  
Dividend Payments ◽  
Adjusted Model ◽  
Model Market ◽  
Non Parametric

The purpose of this paper is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2001 to 2006. The sample consists of 215 observations. The Event Study Methodology (ESM) is employed to examine the market reaction to dividend change announcements. The nave model is used to classify the sample under four sub samples; Dividend Increase, Dividend Decrease, Dividend No Change and No Dividend No Change. The market model, mean adjusted model, market adjusted model, market model adjusted with Scholes and Williams and market model adjusted with Fowler and Rorke models are used to generate the expected returns. Also, the t-test, ZD test and Corrados non-parametric test are used to examine the significance of the mean and cumulative abnormal returns. Overall, the results show that the market reacts positively to dividend increase, dividend decrease and dividend no change announcements. In addition, the results indicate that there is no significant market reaction to dividend no change sample with zero distributions. This result indicated that there is little value-relevance to dividend change announcements. The interpretation of the positive market reaction is related to dividend release announcements rather than dividend changes. Therefore, there is some support to the signalling hypothesis to dividend release. Furthermore, applying thin trading models and non-parametric tests leads to the same conclusion.

Did the Sarbanes-Oxley Act result in a strategic shift in M&A motives?

2018 ◽  
Vol 44 (2) ◽  
pp. 142-159 ◽  
Author(s):  
Harjeet S. Bhabra ◽  
Ashrafee T. Hossain
Keyword(s):  
Design Methodology ◽  
Capital Investments ◽  
Short Term ◽  
Content Type ◽  
Related Literature ◽  
Value Maximization ◽  
Sarbanes Oxley ◽  
Study Methodology ◽  
Term Performance ◽  
Event Study Methodology

Purpose The purpose of this paper is to examine whether or not the seminal legislation called the Sarbanes-Oxley Act (SOX) influenced a strategic shift in the merger and acquisition (M&A) market. Design/methodology/approach The sample consists of 4,839 completed deals undertaken by US acquirers from the Securities Data Corporation’s US M&As database from January 1, 1996 to December 31, 2009. The authors used the standard event study methodology for short-term performance analysis and the Berkovitch and Narayanan (1993) method to identify merger motives. Findings By following the same acquirers who participated during both pre- and post-SOX periods, the authors find that these acquirers generate 1-1.5 percent more returns for their stockholders around M&A announcement dates and that the motivation has shifted to value maximization (synergy), a notable strategic shift. Research limitations/implications All acquirers and targets are public. Originality/value This paper adds to SOX-related literature as well as to M&A literature. By analyzing M&A deals, often the largest capital investments for acquirers, this paper shows that, despite criticism of SOX, this legislation fundamentally contributed to a strategic shift in the M&A market.

scholarly journals Information signaling and ownership transition – value effects of share issue privatizations

2008 ◽  
Vol 6 (1) ◽  
pp. 44-57
Author(s):  
Martin Ahnefeld ◽  
Mark Mietzner ◽  
Tobias Roediger ◽  
Dirk Schiereck
Keyword(s):  
Negative Impact ◽  
Profit Maximization ◽  
Market Model ◽  
Agency Conflicts ◽  
Information Signaling ◽  
Announcement Returns ◽  
Study Methodology ◽  
Secondary Shares ◽  
Offering Size ◽  
Event Study Methodology

Privatizations are commonly associated with an increase in efficiency due to a stronger focus on profit maximization and less agency conflicts because the management does not have to serve political objectives anymore. This paper discusses whether SIPs generate positive announcement returns because of increased efficiency after the ownership transition. We apply a market model event-study methodology based on a sample of 134 SIPs in the 1979-2003 period. We identify significantly negative CAARs between -0.125% and -1.766% and find that firm and offering size, the proportion of secondary shares issued within the SIP as well as the market environment have a negative impact on announcement returns. In contrast, the negative CAARs are less distinctive for enterprises that had prior SIPs

Pyro terrorism in Greece? Greek forest fires August 2007 and the impact on Greek banks stocks

2018 ◽  
Vol 21 (2) ◽  
pp. 163-170 ◽  
Author(s):  
Spyridon Repousis
Keyword(s):  
Event Study ◽  
Forest Fires ◽  
Banking System ◽  
Market Model ◽  
Terrorist Attacks ◽  
Content Type ◽  
Study Methodology ◽  
Greek Banks ◽  
The Impact ◽  
Event Study Methodology

Purpose The purpose of this paper is to examine Greek forest fires in August 2007 and statements about terrorism (pyro-terrorism) and the impact on Greek banks stocks. Design/methodology/approach Event study methodology and market model is used in this paper and data of all Greek bank stocks prices listed in Athens Stock Exchange are analysed, before and after 17 August 2007, which is when forest fires took place in Greece. Findings Total number of burned acres during a seven-year period, 2000-2006, was 2,530,883, and during only August 2007, burned acres accounted to 2,059,615. The former Minister for Public Order, Vyron Polydoras, stated the fires may be a result of terrorist attacks, as many of the fires started simultaneously and in places where an arsonist could not be seen. The Minister also stated that the country is facing an asymmetric threat, a military term used for terrorist attacks. The findings of event study methodology and market model show that CAARs were slightly negative but not statistically significant and during event date, and average abnormal return (AAR) was slightly positive at 0.0273 per cent. The event caused no influence on the stock market. Practical implications Results are important for banking system, compliance and regulatory authorities, justice system and politicians. Originality/value The impact of Greek forest fires in August 2007 on Greek banks stocks has not been examined so far.

scholarly journals Economic Consequences of Section Transfers in Japan: Change in Investor Base

2021 ◽  
pp. 1-28
Author(s):  
Rodrigue Majoie Abo
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Base Change ◽  
Price Impact ◽  
Economic Consequences ◽  
Final Sample ◽  
Study Methodology ◽  
First Time ◽  
Event Study Methodology

Transfer of stocks to a more regulated section within the same stock exchange is a quasi-natural experiment that enhances the investor base of companies. The purpose of this paper is to examine for the first time this investor base change and its price-impact. Considering the Japanese Exchange Group merger in 2012 and its structural amendments, the author uses a final sample of 181 firms between 2014-2019. An event study methodology is used to examine the abnormal returns and trading activity in relation to the investor base change proxy. The study also uses robust MM regression analysis to investigate whether the expected price-impact has is temporary or permanent. The results demonstrate that companies that had the largest positive shift in investor base also experienced the largest positive abnormal returns (+ 3.74%) and volume gains. Crucially, the author found no evidence of reversal of this price-impact, inconsistent with the price-pressure hypothesis. Instead, the increase in stock prices caused by section transfer to a more regulated section seems to be permanent. Keywords: Section transfers, More regulated section, TSE1, TSE2, Investor Base Change, Permanent price-impact.

scholarly journals Examining The Market Reactions To Regulatory Accounting Events

2011 ◽  
Vol 9 (3) ◽  
pp. 36
Author(s):  
Amin Haddad ◽  
Ike Mathur ◽  
Nanda Rangan ◽  
Suresh Tadisina
Keyword(s):  
Event Study ◽  
Accounting Standards ◽  
Market Model ◽  
Proper Treatment ◽  
Estimation Model ◽  
Market Reactions ◽  
Setting Process ◽  
Study Methodology ◽  
Policy Setting ◽  
Event Study Methodology

Evaluation of market reaction to regulatory accounting events such as the accounting standards policy setting process has commonly utilized event study methodology. However, this methodology quite often has resulted in inconsistent and conflicting findings due to partial anticipation of the events being examined and due to nonstationarity of the parameters in the estimation model. A multi-regime market model based methodology that allows for the proper treatment of these problems is proposed and is illustrated with an application in the policy setting process for SFAS No. 8.

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