scholarly journals Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India

2014 ◽  
Vol 4 (1) ◽  
pp. 33-42 ◽  
Author(s):  
Menggen Chen
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Transmission Mechanism ◽  
External Shocks ◽  
Price Shocks ◽  
International Financial Crisis ◽  
International Stock Markets ◽  
Shock Transmission ◽  
The Impact ◽  
Domestic Stock

Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2012 ◽  
pp. 137-156
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Stock Indices ◽  
Stock Price Index ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2010 ◽  
Vol 1 (2) ◽  
pp. 93-112 ◽  
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Price Changes ◽  
Stock Indices ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

The stock market’s reaction to accounting information: the cases of Chile and Peru

2016 ◽  
Vol 6 (3) ◽  
pp. 254-268 ◽  
Author(s):  
Mauricio Melgarejo ◽  
Eduardo Montiel ◽  
Luis Sanz
Keyword(s):  
Latin American ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Small Firms ◽  
Accounting Information ◽  
Abnormal Returns ◽  
Earnings Announcement ◽  
Content Type ◽  
The Impact

Purpose – The purpose of this paper is to analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru. Design/methodology/approach – This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings – The authors find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. The authors also find that these two effects are driven by small firms. Originality/value – This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

scholarly journals The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries

2020 ◽  
pp. 097215092095727
Author(s):  
Bhanwar Singh ◽  
Rosy Dhall ◽  
Sahil Narang ◽  
Savita Rawat
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Event Study ◽  
Stock Markets ◽  
Stock Price ◽  
Negative Impact ◽  
Panel Data Analysis ◽  
Abnormal Returns ◽  
Developed Countries ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the stock markets of G-20 countries. We use an event study methodology to measure abnormal returns (ARs) and panel data regression to explain the causes of ARs. Our sample consists of indices in G-20 countries. The observed window comprises 58 days post the COVID-19 outbreak news release in the international media, and the estimation window consists of 150 days before the event date. We find statistically significant negative ARs in the four sub-event windows during the 58 days. Negative ARs are significant for developing as well as developed countries. The findings of this study reveal that cumulative average abnormal return (CAAR) from day 0 to day 43, ranging from –0.70 per cent to –42.69 per cent, is a consequence of increased panic in the stock markets resulting from an increased number of COVID-19 positive cases in the G-20 countries. From day 43 to day 57, CAAR ranging from –42.69 per cent to –29.77 per cent indicates the recovery of stock markets after a major stock price correction due to COVID-19. Additionally, the results of panel data analysis confirm the recovery of stock markets from the negative impact of COVID-19.

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