scholarly journals The impact of COVID-19 on stock market returns: Case of Bourse Regionale des Valeurs Mobilieres

2021 ◽  
Vol 18 ◽  
pp. 207-214
Author(s):  
Franck Edouard Gnahe
Keyword(s):  
Stock Returns ◽  
Emerging Market ◽  
Least Square ◽  
Policy Implications ◽  
Stock Market Returns ◽  
Ordinary Least Square ◽  
Market Structures ◽  
Regional Market ◽  
Steady Growth ◽  
The Impact

Using the pooled ordinary least square approach, this paper investigates the effect of Covid-19 on the regional financial exchange namely, Bourse Regionale des Valeur Mobileres (BRVM). In this note, we propose the hypothesis that COVID-19 has affected the regional financial exchange rate resistance to the shocks. We find that the regional financial exchange reacted proactively to the pandemic in the time of March 04, 2020 to April 20, 2020 after the occurrence. Our analysis also suggest negative regional market reaction was strong during the early days of the pandemic. However, this impact is transitory with implementation of official government policies, the stock returns maintain steady growth. We conclude that pandemic has changed the resistance of the regional financial exchange to shock. Therefore, the policy implications is to consider these asymmetries when determining the monetary policy and effectiveness of financial system rules to promote competitive emerging market structures and trade liberalization in the regional exchange market and developing countries.

Islamic calendar and stock market behaviour in India

2018 ◽  
Vol 45 (11) ◽  
pp. 1550-1566
Author(s):  
Dharani Munusamy
Keyword(s):  
Stock Market ◽  
Least Square Method ◽  
Least Square ◽  
Stock Market Returns ◽  
Content Type ◽  
Ordinary Least Square ◽  
Average Return ◽  
Year Effect ◽  
The Common ◽  
The Impact

Purpose The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the Islamic calendar. Further, the study estimates the risk-adjusted returns to test the performance of the indices during the Ramadan and non-Ramadan days. Finally, the study investigates the impact of Ramadan on the returns and the volatility of the stock market indices in India. Design/methodology/approach Initially, the study applies the Ordinary Least Square method to test the day-of-the-week and the month-of-the-year effect of the common and Shariah indices. Next, the study employs the risk-adjusted measurement to examine the underperformance and over-performance of the indices for both the periods. Finally, the study estimates the GARCH (1,1) and GJR-GARCH (1,1) models to observe the impact of Ramadan on the returns and the volatility of the Shariah indices in India. Findings The study finds that an average return of the indices during the Ramadan days are higher than non-Ramadan days. Further, the average returns of the Shariah indices are significantly higher on Wednesday than other days of the week. In addition, the highest and significant mean returns and mean risk-adjusted returns of the indices during the Ramadan days are observed. Finally, the study finds an evidence of the Ramadan effect on the returns and volatility of the indices in India. Originality/value The study observes evidence that the Ramadan effect influences the Shariah indices, but not the common indices in the stock market of the non-Muslim countries. It indicates that the Ramadan creates the positive mood and emotions in the investors buying and selling activities. The study suggests that investors can buy the shares before Ramadan period and sell them during the Ramadan days to get an abnormal return in the emerging markets.

scholarly journals An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices

2017 ◽  
Vol 9 (6) ◽  
pp. 57 ◽  
Author(s):  
Nida Shah ◽  
Muhammad Nadeem Qureshi ◽  
Yasra Aslam
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Negative Impact ◽  
Least Square ◽  
Ordinary Least Square ◽  
Regression Methods ◽  
Significant Negative Impact ◽  
Equity Indices ◽  
The Impact ◽  
Global Stock

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

Oil price uncertainty and equity returns

2016 ◽  
Vol 8 (1) ◽  
pp. 64-79 ◽  
Author(s):  
Aktham Maghyereh ◽  
Basel Awartani
Keyword(s):  
Stock Returns ◽  
Oil Production ◽  
Equity Returns ◽  
Oil Price ◽  
Policy Implications ◽  
Price Uncertainty ◽  
Mena Region ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose This paper aims to examine the impact of oil price uncertainty on the stock market returns of ten oil importing and exporting countries in the Middle East and North Africa (MENA) region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports. Design/methodology/approach This paper intuitively applies the generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean vector autoregression (VAR) model using weekly data over the period January 2001-February 2014. Findings The findings indicate that oil uncertainty matters in the determination of real stock returns. There is a negative and significant relationship between oil price uncertainty and real stock returns in all countries in the sample. The influence of oil price risk is more serious in those economies that depend heavily on oil revenues to grow. Practical implications The findings have important implications. For instance, managers should be aware of the linkages between oil price uncertainty and equity returns when they use oil to hedge and diversify equities, particularly in economies where oil is important for economic growth. The policymakers in oil importing countries should encourage companies to improve efficiency in the usage of energy and to resort to alternative sources to avoid fluctuations in earnings and equity prices. In the countries that heavily depend on oil efforts should focus on diversifying the domestic economy away from oil to protect against oil price fluctuations. Originality/value To the best of our knowledge, this is the first attempt to study the influence of oil price uncertainty in the MENA region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports. The empirical findings of the paper have valuable policy implications for investors, market participants and policymakers.

scholarly journals Pan(dem)ic Reactions in Turkish Stock Market: Evidence from share repurchases

2020 ◽  
Author(s):  
Burak Pirgaip
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Emerging Market ◽  
Policy Implications ◽  
Global Markets ◽  
Share Repurchases ◽  
Share Repurchase ◽  
Short Term ◽  
Financial Uncertainty ◽  
The Impact

Abstract Share repurchases have been widely used in global markets for years for various purposes such as to pay out cash, to stabilize stock prices, and so on. However, their use has recently been challenged due to the economic and financial uncertainty imposed by the COVID-19 outbreak. Not only governments have put bans or restrictions on the repurchasing transactions but also some major companies themselves have suspended their buyback programmes to preserve cash. On the other hand, repurchase activity has manifested itself in Turkish capital markets somewhat unexpectedly under uncertain market conditions. This study is one of the first attempts to explore the impact of share repurchase transactions on stock returns in an emerging market severely hit by COVID-19. Event study analyses reveal that market reaction to repurchase activity in the aftermath of the pandemic declaration of March 11, 2020 was significantly positive. Moreover, short-term stock performance of repurchasing firms was far greater than that of their non-repurchasing peers. These results have important policy implications in terms of corporate payout decisions which have recently been challenged by the new coronavirus.

scholarly journals The Impact of COVID-19 on Stock Market Returns in Vietnam

2021 ◽  
Vol 14 (9) ◽  
pp. 441
Author(s):  
Dao Van Hung ◽  
Nguyen Thi Minh Hue ◽  
Vu Thuy Duong
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Random Effect Model ◽  
Financial Sector ◽  
Listed Companies ◽  
Government Control ◽  
Stock Market Returns ◽  
The Impact

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market—a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed companies on both HOSE (the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2 January 2020 to 13 December 2020. The study shows that the number of daily COVID-19 confirmed cases in Vietnam has a negative impact on stock returns of listed companies in the market. The impacts were more severe for the pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors, with the financial sector being the most affected. With significant government control and influence over the bank-dominated financial system, the financial sector was expected to absorb some of the negative shocks hitting the real sector. Such expectations were reflected in the stock market movement during the pandemic.

Consequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatment

2021 ◽  
pp. 2150013
Author(s):  
Panayiotis Theodossiou ◽  
Alexandra Theodossiou
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Estimation Method ◽  
Least Square ◽  
Event Studies ◽  
Past Event ◽  
Ordinary Least Square ◽  
The Impact ◽  
Impact Events

Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier-resistant estimation method. Analytical results depicting the impact of outliers on the ordinary least square (OLS) estimated models and cumulative abnormal return (CAR) statistics are derived and validated using Monte Carlo simulations. The implications of outliers for past event studies are investigated using samples drawn randomly from the universe of stocks in the CRSP database. The OLS-CAR statistics fail to forecast about 37% of the negative-impact and 43% of the positive-impact events. These results raise serious concerns about the validity of conclusions of past event studies, especially those that rejected the hypothesis of significant-impact events.

Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

2017 ◽  
Vol 4 (1) ◽  
pp. 58-70
Author(s):  
Nur Widiastuti
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Fixed Effects ◽  
Empirical Studies ◽  
Negative Relationship ◽  
Least Square ◽  
Fixed Effects Model ◽  
State Data ◽  
Ordinary Least Square ◽  
The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

The Impact of Competitive Quasi-Market on Service Delivery in Benue State University, Makurdi Nigeria

GIS Business ◽  
2019 ◽  
Vol 14 (4) ◽  
pp. 85-98
Author(s):  
Idoko Peter
Keyword(s):  
Service Delivery ◽  
A Priori ◽  
Least Square ◽  
Secondary Source ◽  
State University ◽  
Ordinary Least Square ◽  
Negative Effect ◽  
The Impact ◽  
The Relationship

This research the impact of competitive quasi market on service delivery in Benue State University, Makurdi Nigeria. Both primary and secondary source of data and information were used for the study and questionnaire was used to extract information from the purposively selected respondents. The population for this study is one hundred and seventy three (173) administrative staff of Benue State University selected at random. The statistical tools employed was the classical ordinary least square (OLS) and the probability value of the estimates was used to tests hypotheses of the study. The result of the study indicates that a positive relationship exist between Competitive quasi marketing in Benue State University, Makurdi Nigeria (CQM) and Transparency in the service delivery (TRSP) and the relationship is statistically significant (p<0.05). Competitive quasi marketing (CQM) has a negative effect on Observe Competence in Benue State University, Makurdi Nigeria (OBCP) and the relationship is not statistically significant (p>0.05). Competitive quasi marketing (CQM) has a positive effect on Innovation in Benue State University, Makurdi Nigeria (INVO) and the relationship is statistically significant (p<0.05) and in line with a priori expectation. This means that a unit increases in Competitive quasi marketing (CQM) will result to a corresponding increase in innovation in Benue State University, Makurdi Nigeria (INVO) by a margin of 22.5%. It was concluded that government monopoly in the provision of certain types of services has greatly affected the quality of service experience in the institution. It was recommended among others that the stakeholders in the market has to be transparent so that the system will be productive to serve the society effectively

Does the second wave of COVID-19 undermine corporate immunity? International evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Huy Viet Hoang ◽  
Cuong Nguyen ◽  
Khanh Hoang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Fixed Effects ◽  
Management Strategies ◽  
The United States ◽  
Least Square ◽  
Content Type ◽  
The Impact ◽  
Second Wave ◽  
Practical Implications

PurposeThis study compares the impact of the COVID-19 pandemic on stock returns in the first two waves of infection across selected markets, given built-in corporate immunity before the global outbreak.Design/methodology/approachThe data are collected from listed firms in five markets that have experienced the second wave of COVID-19 contagion, namely the United States (US), Australia, China, Hong Kong and South Korea. The period of investigation in this study ranges from January 24 to August 28, 2020 to cover the first two COVID-19 waves in selected markets. The study estimates the research model by employing the ordinary least square method with fixed effects to control for the heterogeneity that may confound the empirical outcomes.FindingsThe analysis reveals that firms with larger size and more cash reserves before the COVID-19 outbreak have better stock performance under the first wave; however, these advantages impede stock resilience during the second wave. Corporate governance practices significantly influence stock returns only in the first wave as their effects fade when the second wave emerges. The results also suggest that in economies with greater power distance, although stock price depreciation was milder in the first wave, it is more intense when new cases again surge after the first wave was contained.Practical implicationsThis paper provides practical implications for corporate managers, policymakers and governments concerning crisis management strategies for COVID-19 and future pandemics.Originality/valueThis study is the first to evaluate built-in corporate immunity before the COVID-19 shock under successive contagious waves. Besides, this study accentuates the importance of cultural understanding in weathering the ongoing pandemic across different markets.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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