scholarly journals Factors Influencing IPOs Pricing and Performance in Saudi Arabia: A Halal and Haram Perspective

2018 ◽  
Vol 7 (4) ◽  
pp. 78
Author(s):  
Ali Alnodel ◽  
Muhammad Junaid Khawaja
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Abnormal Returns ◽  
Stock Market Index ◽  
Ipo Underpricing ◽  
Factors Affecting ◽  
Market Index ◽  
Audit Firms ◽  
Overwhelming Evidence ◽  
And Performance

The objective of the study is to determine the factors affecting underpricing behaviour of  IPOs in Saudi stock market. A special interest is to study the effect of Shariah compliance of Saudi investors on the extent IPO underpricing. The paper uses multiple regression analysis on the IPOs data for Saudi Stock market from 2004 to 2017 with a total of 105 observations.The results show overwhelming evidence of underpricing of IPOs during the first day trading. The most important result of this piece of research is that investors positively respond to the IPOs with Shariah compliance and return is negatively affected by Shariah board. The results also show that the abnormal returns are driven by the demand side factors like oversubscription. Other findings of the study show that premium to face value, type of audit firms and underwriters, and Saudi stock market index are significant determinants of the underpricing of IPOs.The most important implication of this paper is that the existence of abnormal first day return in Saudi stock market shows the existence of market imperfections. By motivating the investors to invest in Shariah compliant IPOs, decreasing the element of uncertainty and ensuring information symmetry these abnormal returns can be normalized. The results show that Saudi society is partial towards Shariah compliant investment opportunities and the investors’ desire to avoid investments involving Haram activities can be used to reduce market imperfections.This paper identifies the important determinants of IPOs underpricing in Saudi stock market and sheds light on the effect of Shariah compliant firms on IPO underpricing. Keywords – IPOs, Underpricing, Shariah Compliance, Auditor, Stock Market, Saudi Arabia

scholarly journals Cash management and performance of index mutual funds

2020 ◽  
Vol 33 (3/4) ◽  
pp. 549-565
Author(s):  
Diego Víctor de Mingo-López ◽  
Juan Carlos Matallín-Sáez ◽  
Amparo Soler-Domínguez
Keyword(s):  
Stock Market ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Cash Management ◽  
Stock Market Index ◽  
Index Funds ◽  
Content Type ◽  
Market Index ◽  
And Performance

PurposeThis study aims to assess the relationship between cash management and fund performance in index fund portfolios.Design/methodology/approachUsing a sample of 104 index mutual funds that track the Standard and Poor 500 stock market index from January 1999 to December 2016, the authors employ quintile portfolios and different regression models to assess the differences in risk-adjusted monthly returns experienced by index funds managing different cash levels in their portfolios. To ensure the robustness of the results, different sub-periods and market states are considered in the analyses as well as other exogenous factors and fund characteristics affecting the level of portfolio cash holdings and index fund performance.FindingsResults show that index funds holding higher levels of cash and cash equivalents performed significantly worse than their low-cash counterparts. This evidence remains even after considering different sub-periods and bullish and bearish market conditions and controlling for fund expenses and other variables that could drive this cash-performance relationship.Originality/valueThis study expands the extant literature analyzing cash management in the mutual fund industry. More specifically, the analyses focus on index fund portfolios that replicate a specific benchmark, given that their performance differences should not be related to the market evolution but to the factors derived from the fund management and other exogenous issues. These findings are of interest to managers and investors willing to improve their risk-adjusted returns while investing as diversified as a stock market index.

scholarly journals Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange

2019 ◽  
Vol 5 (1) ◽  
pp. 43-54
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Market Index ◽  
Market Index ◽  
Study Methodology ◽  
Composition Changes ◽  
Event Study Methodology

AbstractThis paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

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.

The design and performance of the adaptive stock market index

2014 ◽  
Vol 3 (3-4) ◽  
pp. 189-207 ◽  
Author(s):  
Lior Zatlavi ◽  
Dror Y. Kenett ◽  
Eshel Ben-Jacob
Keyword(s):  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
And Performance

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Oil Price and Stock Market Index, the Case of GCC Countries

2012 ◽  
Author(s):  
Mazen Marwan Mardini ◽  
Talal Omar Fawzi Bayazeed
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Gcc Countries

scholarly journals Investors’ Reactions to CSR News in Family Versus Nonfamily Firms: A Study on Signal (In)credibility

2021 ◽  
pp. 104225872110104
Author(s):  
Naciye Sekerci ◽  
Jamil Jaballah ◽  
Marc van Essen ◽  
Nadine Kammerlander
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Family Firms ◽  
Signaling Theory ◽  
Family Firm ◽  
Stock Market Index ◽  
Important Condition ◽  
Post Hoc Analysis ◽  
Market Index ◽  
Post Hoc

We study family firm status as an important condition in signaling theory; specifically, we propose that the market reacts more positively to positive, and more negatively to negative, CSR news (i.e., signals) from family firms than to similar news from nonfamily firms. Moreover, we propose that during recessions, the direction of these relationships reverses. Based on an event study of 1247 positive and negative changes in the CSR ratings for all firms listed on the French SFB120 stock market index (2003-2013), we find support for our hypotheses. Moreover, a post hoc analysis reveals that the relationships are contingent on whether a family CEO leads the firm.

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