scholarly journals Capturing impact of dividend announcement on stock returns: an event analysis study of KSE

2013 ◽  
Vol 01 (01) ◽  
pp. 08-15
Author(s):  
Amir Iqbal ◽  
Rana Muhammad Shahzad ◽  
Muhammad Yasir Karim
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Financial Sector ◽  
Event Analysis ◽  
Event Window ◽  
Analysis Study ◽  
Abnormal Stock Returns ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact

This study examines the impact of dividend announcement on stock returns of 30 non-financial sector companies listed on Karachi Stock Exchange. Daily stock returns have been used, covering period from 2007 to 2008. The study has used event analysis study methodology; a fifteen days event window has been created to examine the effects of dividend announcement on KSE stock returns. The study finds that dividend announcement has no significant impact on sample companies abnormal stock returns.

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

scholarly journals COVID-19’s Impacts on the Kuwaiti Stock Market’s Performance

2021 ◽  
Vol 16 (5) ◽  
pp. 122
Author(s):  
Ahmad Al-Kandari ◽  
Kholoud Al-Roumi ◽  
Meshal K. AlRoomy
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Event Study ◽  
Consumer Goods ◽  
Abnormal Returns ◽  
Consumer Services ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact ◽  
Event Study Methodology

This study investigates the impact of COVID-19 pandemic on daily stock returns in Kuwait Stock Market (KSE) over the period from 28 March to 20 April 2020. By applying the event study methodology (ESM) approach, the results reveal that the pandemic has positively impacted stocks of banks, consumer goods and telecommunications sectors. However, oil & gas, real estate, financial, basic materials, industrials, consumer services, and insurance stocks have been negatively impacted by the pandemic. The COVID-19 pandemic's most negatively affected are services and financial stocks. The cumulative average abnormal returns (CAAR) of all sectors were affected negatively by the COVID-19 pandemic.

scholarly journals Impact of Corporate Social Responsibility Awards on Share Prices

2019 ◽  
Vol 5 (1) ◽  
pp. 141-154
Author(s):  
Zeeshan Mahmood ◽  
Javed Iqbal ◽  
Waris Ali ◽  
Muhammad Aamir
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Stock Exchange ◽  
Business Case ◽  
Share Price ◽  
Event Window ◽  
Share Prices ◽  
Study Methodology ◽  
Corporate Social ◽  
The Impact

This paper provides empirical evidence to evaluate the business case of corporate social responsibility. In contrast to former studies, we choose to examine the relationship between corporate social responsibility awards and share prices. We examined this relationship in the contextual setting of Pakistan, where several award schemes are operating to reward CSR performance. An event study methodology was adopted to investigate the impact of award announcement on the abnormal return of TOP 100 companies listed on the Pakistan Stock Exchange. A daily price for each company was collected during the estimation window of 120 days before the event window and an event window of 3 days [-1, 0, 1]. Our analysis shows that the overall announcement of CSR awards has an insignificant impact on share price.                                             

Does Credit Rating Revisions Affect the Price of Common Stock: A Study of Indian Capital Market

2021 ◽  
pp. 227853372110335
Author(s):  
Gaurav Dawar ◽  
Shivangi Bhatia ◽  
Jai Parkash Bindal
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Return ◽  
Credit Rating ◽  
Stock Exchange ◽  
Critical Factor ◽  
Event Window ◽  
Share Prices ◽  
Abnormal Stock Returns ◽  
Rating Changes

The current investigation aims to assess the effect of credit assessment changes on the share prices of Indian companies from 2009 to 2019. The data of top 100 companies listed on National Stock Exchange (NSE) across 10 industries stem from CMIE databases. The excess stock return is compared with the market in a 15-day window around credit rating changes. The event effect on share prices is more in the pre-event window compared to the post-event window. Positive abnormal stock returns around upgrades through downgrades are statistically significant compared to upgrades. Credit ratings are not significant across industries, and agency nationality is a critical factor for calculating the intensity of price reaction.

The Impact of International Terrorist Attacks on the Risk and Return of Malaysian Equity Portfolios

2012 ◽  
Vol 15 (04) ◽  
pp. 1250020 ◽  
Author(s):  
Vikash Ramiah
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Terrorist Attacks ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Systematic Risks ◽  
Study Methodology ◽  
The Impact ◽  
The Relationship ◽  
Event Study Methodology

How are the risks and returns of industrial and market portfolios altered as a result of terrorist events? This paper investigates the effects of five international terrorist attacks on equities listed on the Malaysian Stock Exchange. It uses an event study methodology to explore the relationship between equity stock returns, terrorist attacks and asset pricing models to assess whether systematic risks change after these events. The evidence demonstrates that strategies such as closing down an exchange during a crisis are ineffective. Furthermore, after the September 11, 2001 attacks, Malaysian equity markets were insensitive to subsequent terrorist attacks in other countries.

scholarly journals The impact of earnings management on market liquidity

2020 ◽  
Vol 17 (2) ◽  
pp. 389-396
Author(s):  
Do Thi Van Trang ◽  
Dinh Hong Linh
Keyword(s):  
Earnings Management ◽  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Fixed Effect Model ◽  
Market Liquidity ◽  
Listed Firms ◽  
Daily Stock Returns ◽  
The Impact ◽  
Dollar Volume

This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that market liquidity is influenced by earnings management that means the higher level of earnings management, the better equity liquidity. The findings provide additional insight into the determinants of stock liquidity such as earnings management, firm size, daily trading dollar volume of stock, average daily trading dollar volume of the firm, daily returns of stock, daily stock returns, average closing stock price of the firm.

scholarly journals THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

2021 ◽  
Vol 11 (2) ◽  
Author(s):  
Azzam Khalid Chyad ◽  
Dr. Ayad Taher Aljubori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Scatter Plot ◽  
Market Index ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
Exchange Data

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

scholarly journals THE IMPACT OF DIVIDEND ANNOUNCEMENT ON STOCK RETURNS AMONG THE TEN TOP COMPANIES IN PAKISTAN

2020 ◽  
Author(s):  
Zubair Tanveer ◽  
Muhammad Zul Azri Muhammad Jamil
Keyword(s):  
Stock Returns ◽  
Insider Trading ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Abuse ◽  
Study Methodology ◽  
The Impact ◽  
The Relationship ◽  
The Empirical Analysis

The study tested the response of stock prices around the dividend declaration dates in Pakistan stock exchange. It estimated the data of 1110 dividends announced by 91 firms of the highest ten active sectors of Pakistan Stock Exchange. To empirically investigate the relationship between stock returns and dividend announcement, the panel regression was employed by creating dummy variables for 61 days around the dividend declaration dates. Cumulative average abnormal returns and average abnormal returns were also stimated around the events with the help of event study methodology. Outcomes of the empirical analysis revealed strong evidence of market abuse in the term of insider trading and supported the argument of the information content hypothesis and semistrong form of efficient market. Moreover, the study also found a robust impact of the probable ex-dividend date. The study recommended that it is a responsibility of stock exchange regulatory authorities, whistleblowers, registered companies, and the investors collectively to detect and punish this white-collar financial crime.  

AN ANALYSIS OF ABNORMAL RETURNS ASSOCIATED WITH STOCK SPLIT

2021 ◽  
pp. 1-14
Author(s):  
JYOTI PANDEY ◽  
VINAY KANDPAL ◽  
NEERAJ NAUTIYAL
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Event Window ◽  
Stock Split ◽  
Secondary Information ◽  
The Impact

A stock split is when a company’s outstanding shares are divided into multiple shares by issuing more shares to current shareholders without eroding their stake’s value. The company typically takes these actions to increase liquidity and marketability, lower stock prices, attract new investors and so on. The purpose of this study is to examine the impact of stock splits on the stock returns during the study period. Companies listed on the Bombay Stock Exchange (BSE) and those included in the S&P BSE 500 Index are included in the stock split data. The study period covers 14 years, between 2008 and 2021. Market model event study methodology is being employed to analyze the average abnormal returns (AARs), cumulative abnormal returns (CARs) and cumulative AAR (CAARs) using an event window period consisting of 31 days ([Formula: see text]). The study is largely based on secondary information from the CMIE Prowess IQ Database and the official BSE website. The [Formula: see text]-test, mean and standard deviation were used to investigate the influence of stock split announcements on share prices and the performance of stock splits before and after the announcement. The study found that on ([Formula: see text]), ([Formula: see text]), ([Formula: see text]) and ([Formula: see text]) and on the day of the announcement ([Formula: see text]), the market reacted favorably with significant positive abnormal returns. On ([Formula: see text]) and ([Formula: see text]) days, however, there were significant negative abnormal returns. The null hypothesis is accepted as the CAR for the whole 31-day event window, which is 0.0221, with a [Formula: see text]-statistic of 1.692, which is insignificant.

scholarly journals Stock Prices’ Variability around Earnings Announcement Dates at Karachi Stock Exchange

2012 ◽  
Vol 2012 ◽  
pp. 1-6
Author(s):  
Muhammad Azeem Qureshi ◽  
Ali Abdullah ◽  
Muhammad Imdadullah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Earnings Announcement ◽  
Abnormal Stock Returns ◽  
The Impact

The purpose of this study is to investigate how earnings announcement event affects stock returns at Karachi Stock Exchange (KSE). For this purpose we use the KSE-100 Index as our sample. We use the CAR Analysis to analyze the impact of earnings announcement over the stock returns around announcement dates. Our results suggest that KSE experiences abnormal stock returns around earnings announcement dates for the overall market and for different categories which indicate that efficient market hypothesis does not hold in Pakistani market and point out the presence of informational dissemination inefficiencies in the market.

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