scholarly journals Evaluating Post Merger Pakistan Stock Exchanges’ Market Efficiency

2021 ◽  
Vol 3 (2) ◽  
pp. 127-137
Author(s):  
MUHAMMAD AMIN KHAN ◽  
IHTESHAM KHAN ◽  
DR. ADNAN AHMAD
Keyword(s):  
Financial Markets ◽  
Market Efficiency ◽  
Portfolio Management ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Market Information ◽  
Investment Environment ◽  
Great Opportunity ◽  
Markets And Institutions

The development and the formation of financial markets and institutions is indeed very instrumental for causing the robust economic growth. Although, as a fact the security prices are readily fluctuated by the market information known as market efficiency, making it a riskier investment. Subsequently, the investors accept the undiversifiable risk (Systematic risk) and cancel out the diversifiable risk (Unsystematic risk) through active diversified Portfolio Management, such a portfolio of securities, selected through market information reflects market efficiency. Thus, this study investigates the post- merger market efficiency for the Pakistan stock exchange as the three stock exchanges of the country has recently merged into Pakistan stock exchange. The analysis is based on event methodology, covering the pre-post-merger accumulated daily abnormal returns for a duration of 90 days (three months). Thus, the study proofs with respect to the accumulated daily abnormal returns, that the merger has increased the market efficiency. Consequently, the study supports the extant literature on merger and related market efficiency and provides another empirical evidence with respect to a developing country such as Pakistan. Rationally, the recent increase in the market efficiency will assure the supply of correct market information; consequently, boosting confidence of all investors and the regulators have a great opportunity to pursue continuous improvement in the present regulatory polices to promote healthy investment environment and increase the national revenue as well.

An Empirical Research of Impact of the Merger of Pan-European and Oslo Stock Exchanges on the Efficiency of Tobacco Securities Market

2021 ◽  
Vol 7 (4) ◽  
pp. 568-587
Author(s):  
Dongpeng Xu ◽  
Deqin Lin ◽  
Dan Zhang
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Secondary Market ◽  
Securities Market ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Theory ◽  
Efficient Market Theory ◽  
The Impact

Objectives: Europe is one of the important markets for traditional tobacco. We analyzed the impact of exchange consolidation on securities market efficiency, so as to enable tobacco enterprises to improve the financing efficiency of the stock market and carry out transformation and upgrading. Methods: In this work. We’re based on efficient market theory, the merger of Pan-European Stock Exchange and Oslo Stock Exchange, Norway in June 2019 is analyzed through empirical analysis. The logarithmic returns of 25 listed companies in the Oslo Stock Exchange OBX-25 index were analyzed using OLSN Chow and KPSS tests. Results: It is found that of 72% of securities, the explanatory power of market returns for securities returns is increased, which shows significant improvement in market efficiency. The merger of stock exchanges can indeed improve the market efficiency. In addition, through the KPSS test, it is found that the merger of stock exchanges can improve the market efficiency. As time goes by, however, the validity decreases. Conclusion: The improvement of the efficiency of the securities market will be conducive to the financing efficiency of listed tobacco companies in the secondary market, promote the transformation of enterprises, and contribute to the tobacco control and the health of the population in Europe.

scholarly journals ANALYSIS OF THE INFLUENCE OF CORPORATE SOCIAL RESPONSIBILITY ON CORPORATE PERFORMANCE (Empirical Study on Manufacture Companies Listed on Stock Exchanges in Indonesia Periode 2010 - 2012 )

2014 ◽  
Vol 1 (1) ◽  
pp. 78
Author(s):  
Wiyan Patria ◽  
Rossje V Suryaputri
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Financial Performance ◽  
Corporate Performance ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Return On Equity ◽  
Unexpected Earnings ◽  
Corporate Social

<span class="fontstyle0">The purpose of this study is to determine the influence of corporate social responsibility on corporate performance. Samples were taken as much as 252 which consists of 84 companies listed on the Indonesia Stock Exchange in 2010- 2012. The variables used in this study are (ROE (return on equity), CSR (corporate social responsibility), CAR (Cumulative abnormal returns. DER (debt to equity ratio), SG (Sales growth), Beta, EU (Unexpected earnings ) as control variables.The results Showed that CSR does not have a significant influence on Return On Equity (ROE) as a measurement of financial performance and the company's cumulative abnormal return (CAR) as a performance measurement of the company's market. In the future studies are advised to conduct research with other variables in addition to Corporate Social Responsibility (CSR) which may affect the company's financial performance and corporate markets</span><span class="fontstyle2">.</span>

scholarly journals The Australian stock market development: Prospects and challenges

2013 ◽  
Vol 3 (2) ◽  
pp. 39-48
Author(s):  
Sheilla Nyasha ◽  
Nicholas M. Odhiambo
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Asia Pacific ◽  
Stock Exchanges ◽  
Stock Market Development ◽  
The Global Financial Crisis ◽  
Market Capitalisation ◽  
Development Prospects

This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of listed companies, the market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Australia has developed remarkably over the years, and was spared by the global financial crisis of the late 2000s, it still faces some challenges. These include the increased economic uncertainty overseas, the downtrend in global financial markets, and the restrained consumer confidence in Australia.

The performance of Bursa Malaysia and its causality effect with South Korea, Taiwan and Japan stock exchanges : 2000 – 2004

2006 ◽  
Vol 3 (2) ◽  
pp. 41
Author(s):  
Omar Samat ◽  
Zuraidah Ismail ◽  
Jaslin Md Dahlan
Keyword(s):  
South Korea ◽  
Portfolio Management ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
International Investors ◽  
Year 2000

This study examines the effect of returns from South Korea, Taiwan and Japan Stock Exchanges on the Bursa Malaysia in the year 2000 to 2004. The return from an individual stock exchange is no longer exclusive but with effect of globalization, it is also influenced by activities happening in other countries. The sources ofco-movements between stock markets are of great importance both for international investors and academics. A better knowledge of the underlying factors may improve portfolio management and help to assess the degree offinancial integration and efficiency.

An Inquiry into the Persistence of Holiday Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

2021 ◽  
pp. 231971452110168
Author(s):  
Meher Shiva Tadepalli ◽  
Ravi Kumar Jain ◽  
Bhimaraya Metri
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Indian Market ◽  
Pricing Models ◽  
Market Anomalies ◽  
Holiday Effect ◽  
Stock Market Efficiency

Asset pricing is a key area of literature in analysing and evaluating the stock market efficiency. Though various pricing models made efforts to explain the behaviour of the stocks, the existence of seasonal anomalies in the stock markets creates an opportunity for the investors to generate abnormal returns. The present article emphasizes one of such market anomalies namely, the holiday effect using indices belonging to Indian stock exchanges. Thorough research is performed by including all the prime market-capital and sectoral indices of the National Stock Exchange and the Bombay Stock Exchange. The ARIMAX methodology is adopted to observe the anomaly by considering exogenous variables representing the trading days before the exchange-mandated holidays. Further, the strength of the anomaly is analysed with the incorporation of various stock market reforms and observed to be significantly persistent among most of the Indian market indices (including both the sectoral and the market-capital based indices).

scholarly journals TESTE EMPÍRICO DA EFICIÊNCIA DO MERCADO BRASILEIRO NA OCORRÊNCIA DE EVENTOS FAVORÁVEIS E DESFAVORÁVEIS

2008 ◽  
Vol 12 (4) ◽  
pp. 44
Author(s):  
Glauber de Castro Barbosa ◽  
Otávio Ribeiro de Medeiros
Keyword(s):  
New York ◽  
Stock Market ◽  
Market Efficiency ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Uncertain Information ◽  
Stock Market Index ◽  
Market Index ◽  
Information Hypothesis

The study has the purpose of analyzing the behavior of the Brazilian stock market in order to verify the existence of market efficiency immediately after the occurrence of favorable and unfavorable events (shocks). To achieve this purpose, an event study is performed in which the return on the Brazilian stock market index (Ibovespa) is regressed against the return on the Dow Jones stock market index, which represents the New York Stock Exchange, adopted as a proxy for the world stock market index. Regression residuals appearing as outliers above +2.5% or below –2.5% were adopted to determine positive and negative events, respectively. Cumulative Abnormal Returns were computed and tested for a period of 10 days after the events. The empirical results led to the conclusion that market efficiency is not observed both after positive and negative shocks, but an overreaction behavior is observed instead. Key words: economic shocks. Market efficiency. Overreaction. Uncertain information hypothesis. Underreaction. Event study.

scholarly journals NewConnect as an alternative trading system

Equilibrium ◽  
2010 ◽  
Vol 5 (2) ◽  
pp. 103-115 ◽  
Author(s):  
Magdalena Schweda
Keyword(s):  
Lower Cost ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Trading System ◽  
Alternative Source ◽  
Great Opportunity ◽  
Short Period ◽  
Warsaw Stock Exchange ◽  
Market Operation ◽  
A Company

The present paper is focused on NewConnect that is a new market organized and operated by the Warsaw Stock Exchange next to the main regulated market. On 30 August 2009 this new trading platform celebrated the second anniversary of its functioning. Because of short period of its operation, NewConnect still remains unknown and mysterious for both: potential issuers and investors as well as for many individuals interested in stock exchanges and capital markets. This common ignorance of NC Market operation is an essential obstacle to its development whereas NewConnect has the chance to become the significant part of Polish capital market. It is intended for young dynamic Polish and foreign entities as an alternative source of capital required for financing of small and very innovative companies and investments It gives them a chance to raise capital at a lower cost. On the other hand, investors gain great opportunity to become shareholders in a company with the prospects of success. The aim of this paper is to present basic information about NC Market, its rules, participants as well as to provide some statistics of NewConnect functioning from its beginning in August 2007 until the end of August 2009.

“Mimickers” Of Corporate Insiders And Testing For Market Efficiency: The Case Of Greece 

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Anna Merikas ◽  
Andreas Merikas ◽  
George S. Vozikis
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Strong Form ◽  
Corporate Insiders ◽  
Of Greece

Most prior research shows that corporate insiders can systematically earn abnormal returns by trading their own securities, but the majority of studies suggest that outsiders cannot earn abnormal returns by “mimicking” the trades of insiders after the latter report their trades. Our study is the first to investigate the case of “mimicking” in the Greek stock exchange, and the findings indicate that indeed, outsiders cannot earn significant abnormal returns by mimicking insiders’ trades, a result that is consistent with the concept of a semi-strong form of market efficiency.

scholarly journals Examining the Existence of Long-run Initial Public Offering (IPO) Underperformance at Three Different Stock Exchange Markets in Japan

2016 ◽  
Vol 7 (2) ◽  
pp. 190
Author(s):  
Yoshiki Shimizu ◽  
Hideki Takei
Keyword(s):  
Market Efficiency ◽  
Initial Public Offering ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Efficient Market Hypothesis ◽  
Japanese Market ◽  
Long Run ◽  
The One ◽  
Public Offering

This study conducted the examination of the long-run performance of IPO stocks in the Japanese market by measuring the monthly AAR/CAAR of sample IPO stocks. The study did this, so as to investigate whether IPO stocks in the Japanese market outperform in the long-run, as prior research on this phenomenon in the US market (Ritter, 1991; McDonald and Fisher, 1972) had found. The finding is that on the one hand, at TOPIX and TSE-2ND, stocks IPO firms that went public during 2004 to 2011 did not underperform the market in the long-run, as the monthly CAAR of sample IPO stocks on month 36 was not statistically significant. On the other hand, the finding also reveals that at MOTHERS, IPO firms underperformed the market throughout the period between months 2 and 36, and the monthly CAAR of IPO stocks at this market was –30.08 percent on month 36. The implication of this finding for the Efficient Market Hypothesis is that market efficiency held well at TOPIX and TSE-2ND; where during the sampling period abnormal returns could not be achieved and thus the long-run IPO underperformance was unlikely to occur. On the contrary, the departure from market efficiency was observed at MOTHERS: In the long-run, IPO stocks kept experiencing negative abnormal returns, and the existence of the long-run IPO underperformance was found to be significant.  Long-run IPO underperformance did not exist, with only one exception: It is only at MOTHERS that the long-run IPO underperformance was observed, whereas at TOPIX and TSE-2ND the phenomenon was not observed. 

An Inquiry into the Persistence of Turn-of-the-Month Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

2021 ◽  
pp. 227853372199471
Author(s):  
Meher Shiva Tadepalli ◽  
Ravi Kumar Jain ◽  
and Bhimaraya A. Metri
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
Academic Research ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Specific Class ◽  
Seasonal Behavior ◽  
Global Stock Markets

Asset pricing in capital markets is a strikingly vibrant area of academic research and is considered as an indicator to evaluate the efficiency of stock markets. Though the explanation for the seasonal behavior of capital markets was attempted by various market models, several anomalies were observed historically. Calendar anomalies that belong to the specific class of seasonal anomalies provided abnormal returns in the global stock markets at regular intervals within and across various calendar years. This article documents the study on one such anomaly—namely, the turn-of-the-month effect in the context of Indian stock indices. In this pursuit, exhaustive research has been carried out considering all the broad-market and sectoral indices of two major stock exchanges, namely, National Stock Exchange and the Bombay Stock Exchange. The study used the ARIMAX methodology with dummy exogenous variables (to represent the turn-of-the-month days) and presented comprehensive findings and learnings. Besides, this article attempts to analyze the changes in the strength and significance of the anomaly in progression with various stock market reforms in both the broad-market and sectoral indices to provide new insights into the efficiency of Indian stock market exchanges.

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