scholarly journals Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia

2019 ◽  
Vol 11 (2) ◽  
pp. 169
Author(s):  
Dylan Siong-Yain Chen ◽  
Venus Khim-Sen Liew
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Return ◽  
Cumulative Abnormal Return ◽  
Market Activity ◽  
Average Abnormal Return ◽  
Study Methodology ◽  
Event Study Methodology

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

scholarly journals Hotel Stock Price Performance During the Covid-19 Pandemic in Indonesia

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Regina Sandra Kusuma
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Secondary Data ◽  
Price Performance ◽  
Study Methodology ◽  
The Relationship ◽  
Event Study Methodology

This study aims to analyze the Indonesian hotel stock price performance during the pandemic of Covid-19 by testing the effect of Covid-19 pandemic on stock return and abnormal stock return. The data were collected from secondary data at www.finance.yahoo.com, Indonesian hotel companies stock period from 26 February 2020 to 2 March 2020 during the pandemic of Covid-19. Further, the data were analyzed by using Event Study Methodology to examine the effect of Covid-19 pandemic on Indonesian hotel stock return and abnormal return. The result of this study finds that there is stock reaction after the announcement of Covid-19 pandemic in Indonesia during 15 days after the announcement. Also in this research, can be found a relationship between the stock condition with the pandemic. This research can be used as a reference for investors for their investments by looking at the relationship between the Indonesian hotel companies stock and pandemic of Covid-19.

scholarly journals How does market react to corporate spin-offs in Australia?

2017 ◽  
Vol 24 (01) ◽  
pp. 54-74
Author(s):  
Truong Nguyen Xuan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Event Window ◽  
Average Abnormal Return ◽  
The Us ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

While numerous studies on spin-off have been done in the US and Europe, little efforts have been directed to research this area of cor-porate finance in Australia. This study investigates how market re-acts to corporate spin-offs in this country. We employ traditional event study methodology and find that market reacts strongly and positively to the announcements of spin-offs. Specifically, the cu-mulative average abnormal return over the 3-day event window is 3.58%. The cumulative average abnormal return for spin-offs by companies that increase their industrial focus is 4.12% and 3.33% for non-focused increasing spin-offs. Nevertheless, the difference between these two subgroups is statistically insignificant. Multivari-ate regressions provide evidence that high pre-leverage firms benefit more from spin-offs.

scholarly journals Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

2016 ◽  
Vol 8 (7) ◽  
pp. 322
Author(s):  
Wissem Daadaa
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Price Change ◽  
Study Methodology ◽  
Book To Market Ratio ◽  
The Impact ◽  
Event Study Methodology

This paper tests the market reaction and the stock price change around rating announcements in Tunisian stock exchange using the event study methodology. We examine the impact of the change rating announcement on stock return firms from 2006 to 2010. The results show that only the negative rating with downgrades note which is associated to negative abnormal return. The market does not seem to be interested upgrades rating on the Tunisian market. The negative reaction of the market can be explained by leverage change, Book to Market ratio and the level of the rating fall.

scholarly journals Measuring the effects of Bitcoin forks on selected cryptocurrencies using event study methodology

Industrija ◽  
2020 ◽  
Vol 48 (2) ◽  
pp. 21-36
Author(s):  
Nenad Tomić
Keyword(s):  
Quantitative Analysis ◽  
Event Study ◽  
Abnormal Return ◽  
Quantitative Research ◽  
Statistical Significance ◽  
Negative Effects ◽  
Current Topic ◽  
Study Methodology ◽  
A Current ◽  
Event Study Methodology

The objective of the study is to determine whether the Bitcoin forks have produced significant effects on the cryptocurrency market. The event study methodology is used in this paper in order to determine the statistical significance of the abnormal return of leading cryptocurrencies after three Bitcoin forks. The forks were viewed as three isolated events, with the estimations windows and the event windows constructed separately for each of them. There were statistically significant negative effects related to the creation of Bitcoin Gold and Bitcoin SV. Contrary to expectations, there was no statistically important effect throught out the most famous Bitcoin forking and emergence of Bitcoin Cash. Although cryptocurrencies are a current topic, the literature lacks quantitative research dealing with price changes. Without quantitative analysis, it is difficult to conclude whether the return change is a consequence of a statistically significant event The analysis would therefore provide the tool to determine the statistical significance of their impact on the market. A small number of observed cryptocurrencies is the main limitation of this research. Future researches could cover a wider scope of the market and include other famous cases of forking, for example, the Ethereum forks.

scholarly journals Dividend Announcement and Ex-Dividend Effects on Stock Return

2016 ◽  
Vol 8 (7) ◽  
pp. 207
Author(s):  
Dinh Bao Ngoc ◽  
Nguyen Chi Cuong
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Stock Return ◽  
Dividend Policy ◽  
Abnormal Returns ◽  
Listed Companies ◽  
Announcement Date ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

<p>We study the impact of dividend policy on the stock return by investigating reaction of the stock price on the dividend announcement date and the ex-dividend date.<strong> </strong>In order to achieve this goal, a sample comprising 1962 observations of dividend-related events from 432 listed companies in Vietnam during the period 2008 to 2015 is chosen to analyze and the event study methodology is used to estimate abnormal returns to the shares around the announcement date and the ex-dividend date. Our results clearly show that the effect of dividend announcement on the stock return is positive around the announcement date. In addition, the stock price moves up as long as the ex-dividend date approaches and then starts decreasing from this date onwards.</p>

The Penalization of Non-Communicating UN Global Compact’s Companies by Investors and Its Implications for This Initiative’s Effectiveness

2015 ◽  
Vol 57 (2) ◽  
pp. 255-291 ◽  
Author(s):  
Estefania Amer
Keyword(s):  
United Nations ◽  
Financial Markets ◽  
Abnormal Return ◽  
Cumulative Abnormal Return ◽  
United Nations Global Compact ◽  
External Monitoring ◽  
Study Methodology ◽  
A Company ◽  
Event Study Methodology ◽  
Do So

Companies that have joined the United Nations Global Compact (UNGC) are required to submit a Communication on Progress (COP), which is an environmental, social, and governance (ESG) report, to the UNGC every year. If they fail to do so, they are marked and listed as non-communicating on the UNGC website. Using the event study methodology, this study shows that a company that fails to report to the UNGC is penalized in the financial markets with an average cumulative abnormal return of −1.6% over a period of 5 trading days around the event. Although a major critique against the UNGC is that the initiative’s voluntary nature and its lack of external monitoring and sanction mechanisms render it ineffective in terms of the business participants’ implementation of the UNGC principles into their operations, this result suggests that investors may be able to pressure UNGC business participants to increase their compliance with the UNGC requirements and to “walk the talk.”

scholarly journals Impact of Merger and Acquisition Announcements on Stock Return, Volatility and Liquidity of Acquirers: Evidence from the Indian Banking Sector

2020 ◽  
Vol 19 (1) ◽  
Author(s):  
Pinky Mal ◽  
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Stock Return ◽  
Banking Sector ◽  
Abnormal Returns ◽  
Merger And Acquisition ◽  
Stock Volatility ◽  
Study Methodology ◽  
Acquisition Announcements ◽  
Event Study Methodology

This study attempts to examine the stock behaviour of acquirer banks during pre and post-merger and acquisition (M&A) announcement period in the Indian banking sector. Data of M&A events that took place in the Indian banking sector during 2000-2018 was collected from the prowessdx database. The sample consisted of 31 merger and 351 acquisition announcements during 2000-2018 in the Indian Banking sector. Stock prices of sample banks were extracted from the NSE for an event window of -10 to +10 days and the event study methodology was used for analysis. The results suggest that shareholders of Indian acquirer banks generate small and insignificant abnormal returns from M&A deals. Return variability was also noticed from the curvy jumps in the average abnormal spread of returns during the announcement period. Whereas, the average abnormal change in liquidity witnessed a sharp hike on day 0 i.e. the date of deal announcement and it remained negative throughout the post-deal period. KEYWORDS: Mergers and Acquisitions, Stock Return, Stock Volatility, Stock Liquidity, Event Study Methodology.

scholarly journals Apakah pengumuman resmi kasus pertama Covid-19 oleh Presiden Joko Widodo memiliki kandungan informasi? Event study pada saham-saham LQ-45

2021 ◽  
Vol 2 (1) ◽  
pp. 27-39
Author(s):  
William Wendy Ary
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Abnormal Return ◽  
Virus Transmission ◽  
Significant Decline ◽  
Negative Sign ◽  
Cumulative Abnormal Return ◽  
First Case ◽  
Transmission Case ◽  
Average Abnormal Return

This study analyzes the phenomenon of the first case of Covid-19 transmission in Indonesia and its impact on the capital market in Indonesia. This study aims to test whether there is a negative PCAD pattern after the first announcement of the covid-19 virus transmission case on the Indonesian capital market and to prove that the Indonesian capital market experienced a significant decline in returns after the first announcement period of the covid-19 virus transmission. Stocks that are included as LQ45 stocks are being utilized and event study is the method to analyze the market response during the window period (t-10, t+10) and uses the independent sample t-test to compare the average abnormal return. mean (AAR) and mean cumulative abnormal return (CAAR). The results of this study indicate that the market takes a wait & see strategy, PCAD shows the form of a negative sign after the event and there is a difference between AAR and CAAR 10-days before and 10-days after the event. Overall, this research shows that the market has responded negatively to information related to the Covid-19 virus.

scholarly journals Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices

2021 ◽  
Vol 25 (1) ◽  
pp. 69-78
Author(s):  
Klara Petra Theodora Targanski ◽  
Werner R. Murhadi
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Hypothesis Test ◽  
Responsible Investment ◽  
Study Methodology ◽  
Sustainable And Responsible Investment ◽  
Event Study Methodology

The purpose of this research is to examine the effect of SRI index on abnormal return of added to and deleted stocks of two countries, Indonesia (SRI-KEHATI) and Malaysia (FTSE4GBM). The effect was examined using CAAR of the stock around index announcement. This research was conducted using event study methodology. The samples used in this research are all the stocks that were added to and deleted from SRI-KEHATI index on 2009-2018 announcements and FTSE4GBM index on 2014-2018 announcements. The result of hypothesis test shows that SRI index announcement has negative significant effect to the added stocks to SRI-KEHATI’s CAAR before announcement, after announcement and cumulative periods, to added stocks to FTSE4GBM’s before announcement and cumulative periods, and to deleted stocks from FTSE4GBM’s after announcement and cumulative periods. SRI index announcements has positive significant effect to the deleted stocks from SRI-KEHATI’s CAAR before announcement. Information on SRI index announcements has effects to the decisions made by investors. Indonesian investors reacted negatively toward added stocks but not choosing deleted stock either after announcements. Malaysian investors reacted negatively toward both added and deleted stocks, added stocks are perceived better even if positive CAAR are insignificant after announcements.

scholarly journals THE INTRA-INDUSTRY SPILLOVERS OF INDONESIAN RIGHT OFFERINGS

2019 ◽  
Vol 9 (1) ◽  
pp. 190
Author(s):  
Abdur Rafik ◽  
Embun Arafah
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Abnormal Returns ◽  
Sampling Technique ◽  
Cumulative Abnormal Return ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
The Right ◽  
Event Study Methodology

This study aims to examine the spillover effect of right offerings to the industry on the Indonesian Stock Exchange in the period 2009-2016. This study is designed using event study methodology. In total, there are 96 issuing companies (issuers) and 1205 non-issuing companies (non-issuers) used as the sample which was obtained using a purposive sampling technique. The test for information content on the right issues was conducted using standard t-test on the average cumulative abnormal return of issuers and non-issuers in the period t-10 to t+10 around the issuance. The research found positive abnormal returns for issuers in t0 to t+4 but did not confirm the spillover effect to non-issuers over the observed (window) periods. The average cumulative abnormal returns are randomly distributed during the window period. These results confirm the absence of intraindustry effect of right issues on the non-issuers’ performance

Sign in / Sign up

Export Citation Format

Share Document