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

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.

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

International Journal of Social Science and Business ◽

10.23887/ijssb.v5i1.31117 ◽

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.

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Dividend Announcement and Ex-Dividend Effects on Stock Return

International Journal of Economics and Finance ◽

10.5539/ijef.v8n7p207 ◽

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

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. 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.

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STOCK PRICE BEHAVIOR AROUND CUM-DIVIDEND DATE OF INDONESIA BLUE CHIPS STOCKS

Review of Management and Entrepreneurship ◽

10.37715/rme.v2i1.952 ◽

2019 ◽

Vol 2 (1) ◽

pp. 49-60

Author(s):

Eka Lavista

Keyword(s):

Stock Prices ◽

Stock Price ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Index Model ◽

Single Index Model ◽

Study Methodology ◽

Return Difference ◽

Event Study Methodology

This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.

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Impact of merger & acquisition announcements on share price – a case of selected indian listed companies

Journal of Management and Science ◽

10.26524/jms.2013.43 ◽

2013 ◽

Vol 1 (3) ◽

pp. 384-391

Author(s):

Poornima V ◽

Chitra V

Keyword(s):

Stock Price ◽

Stock Exchange ◽

Merger And Acquisition ◽

Share Price ◽

Stock Price Reaction ◽

Study Methodology ◽

Acquisition Announcements ◽

Indian Stock Market ◽

The Impact ◽

Event Study Methodology

This study examines the impact of merger and acquisition announcements on share price towards acquiring companies during the year 2012 listed on National Stock Exchange, India. The investigation has been carried out using traditional event study methodology. The present study is an empirical analysis to examine the stock price reaction to information content of merger and acquisition announcements with a view of finding whether Indian stock market is semi-strong efficient or not. Impact has been analyzed between 7 days from the date of merger and acquisition announcement. The result divulges that around the announcement period the returns for the acquiring companies are higher. In the post merger announcement period there is an upward trend in the cumulative returnsimplying a positive result of the merger.

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The Effects of the 2010 Chilean Natural Disasters on the Stock Market

Estudios de Administración ◽

10.5354/0719-0816.2014.56396 ◽

2020 ◽

Vol 21 (1) ◽

pp. 31 ◽

Cited By ~ 1

Author(s):

José Luis Ruiz ◽

Marcelo Barrero

Keyword(s):

Stock Market ◽

Natural Disasters ◽

Stock Prices ◽

Stock Price ◽

Stock Exchange ◽

Insurance Coverage ◽

Stock Market Volatility ◽

Study Methodology ◽

The Impact ◽

Event Study Methodology

The 2010 Chilean earthquake and tsunami were among the strongest in the world history. The exogeneity of these natural disasters provides the opportunity to test stock price reactions. Using a sample of 42 firms listed in the Santiago Stock Exchange, we develop an event study methodology considering heterogeneity in volatility. Chilean stock market volatility increased by 240% (120%) during the 5 (11) trading days after the earthquake. The results are informative about the behavior of the stock prices: returns are positive in sectors the retail, real estate, and banking sectors and negative in food, steel, and forestry. Insurance coverage decreases the impact on economic growth.

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Political elections, abnormal returns and stock price volatility: the case of Greece

Investment Management and Financial Innovations ◽

10.21511/imfi.13(1-1).2016.03 ◽

2016 ◽

Vol 13 (1) ◽

pp. 161-169 ◽

Cited By ~ 1

Author(s):

Athanasios Koulakiotis ◽

Harry Papapanagos ◽

Nicholas Papasyriopoulos

Keyword(s):

Stock Price ◽

Stock Exchange ◽

Abnormal Returns ◽

Price Volatility ◽

Investment Strategies ◽

Study Methodology ◽

Athens Stock Exchange ◽

The Impact ◽

Of Greece ◽

Event Study Methodology

The impact of the Greek political elections on the return and volatility of the Athens Stock Exchange (ASE) is investigated using both the standard event study methodology and various univariate GARCH models. The empirical results reveal positive pre- and post-election abnormal returns, but negative on the day of the election. Strong evidence is also found that suggests that the election outcome significantly affects the ASE return; however, the evidence is rather limited for the ASE volatility. The empirical findings raise doubts about the efficiency of the Greek stock market and might have important implications for investors with respect to decisions regarding entering and/or exiting the market or investment strategies around time periods where political elections are going to take place

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South–South Cooperation in South and East Asia: An Event Study of the China–Pakistan Economic Corridor

Global Business Review ◽

10.1177/0972150919850415 ◽

2019 ◽

Vol 21 (1) ◽

pp. 54-67

Author(s):

Wing Him Yeung ◽

Yilisha Pang ◽

Asad Aman

Keyword(s):

Stock Market ◽

East Asia ◽

Event Study ◽

Stock Exchange ◽

Global South ◽

Short Term ◽

Empirical Results ◽

Study Methodology ◽

The Impact ◽

Event Study Methodology

South–South cooperation has been on the rise in recent years. One of the latest examples is the China–Pakistan Economic Corridor (CPEC) proposed by the Chinese and Pakistani governments in 2013. Using event study methodology, this article examines the impact of events and announcements associated with CPEC on the Pakistan Stock Exchange in Pakistan and the Shanghai Stock Exchange in China. The first key finding of this article is that the initial announcement associated with CPEC had stronger and positive short-term impact on the Pakistan Stock Exchange in comparison with the impact of subsequent CPEC events on the stock market. The second key finding is that the short-term impact of the CPEC initial announcement was stronger on the Pakistan Stock Exchange than on the Shanghai Stock Exchange, possibly due to the substantial difference in the size of the two economies. The empirical results of this article have important implications for investors, corporations and regulators to the Global South.

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ANALISIS PENGARUH PENGUMUMAN DIVIDEN TERHADAP PERUBAHAN HARGA SAHAM (RETURN) SEBELUM DAN SESUDAH EX-DIVIDEND DATE DI BURSA EFEK JAKARTA (BEJ)

JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK ◽

10.25105/jipak.v1i2.4417 ◽

2019 ◽

Vol 1 (2) ◽

pp. 73

Author(s):

Wibowo Wibowo ◽

Melati Adorini

Keyword(s):

Capital Market ◽

Abnormal Return ◽

Stock Return ◽

Stock Exchange ◽

Paired Sample ◽

Before And After ◽

Independent Variable ◽

Return Difference ◽

The Impact ◽

Observation Period

The objective of this research was to analyze the impact of ex-dividend date announcement in Jakarta Stock Exchange (JSX) on stock return during the period of 2000- 2004. This research takes 25 corporation samples which are divided into two groups, namely increasing dividend group and decreasing dividend group. The method used in this research is event study that observed the stock return movement in capital market. The observation period was during 15 days before and 15 days after ex-dividend date. In order to examine the existence of price reaction, the abnormal return was conducted during the event period towards the increasing dividend group and decreasing dividend group. The independent variable used was dividend declaration (increasing dividend and decreasing dividend) and dependent variable used was stock return. The calculation of this research using paired sample t test, was to prove if there is any stock return differences between before and after ex-dividend date announcement with the presence of increasing dividend declaration and decreasing dividend declaration in Jakarta Stock Exchange (JSX). The result of this research had shown two conclutions that for the increasing dividend group, there were no stock return (abnormal return) diffrerence between before and after ex-dividend date due to the increasing dividend declaration in Jakarta Stock Exchange (JSX) and for the decresing dividend group there was stock return (abnormal return) difference between before and after ex-dividend date due to decresing dividend declaration in Jakarta Stock Exchange (JSX).

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The Impact Of Analysts‟ Recommendations: Evidence From The Athens Stock Exchange

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v23i2.1403 ◽

2011 ◽

Vol 23 (2) ◽

Cited By ~ 1

Author(s):

Michalis Glezakos ◽

Anna Merika

Keyword(s):

Event Study ◽

Unique Feature ◽

Stock Exchange ◽

Point Of View ◽

Significant Excess ◽

Investment Opportunities ◽

Study Methodology ◽

Athens Stock Exchange ◽

The Impact ◽

Event Study Methodology

This study aims to investigate the usefulness of analysts’ recommendations on firms listed on the Athens Stock Exchange (ASE). It contradicts the majority of published works which conclude that analysts’ recommendations do offer valuable investment opportunities. The unique feature of this work is that it sheds light on the issue, adopting a practical approach stemming from the investor’s point of view. It is shown through an event study methodology, that analysts’ recommendations do not result to any significant excess returns.

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Stock Spams: Another Kind Of Stock Prices Manipulation

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v29i1.7557 ◽

2012 ◽

Vol 29 (1) ◽

pp. 79 ◽

Cited By ~ 7

Author(s):

Taoufik Bouraoui ◽

Mohamed Mehanaoui ◽

Bouchaib Bahli

Keyword(s):

Event Study ◽

Stock Prices ◽

Market Reaction ◽

Font Size ◽

Event Window ◽

Parametric Test ◽

Study Methodology ◽

Penny Stocks ◽

The Impact ◽

Event Study Methodology

This research investigates the market reaction to an information-based manipulation called stock spams. The impact is focused on the liquidity variable which is measured by Amivest ratio. Using the event study methodology on a sample of penny stocks for the period February 2006 through October 2008, our findings suggest positive and significant abnormal liquidities for stocks targeted by manipulators during the event window. Robustness checks were performed using a non-parametric test. These results support the thesis that this kind of manipulation is a very flourishing business that manipulators exploit by simply purchasing stocks at low prices and selling them at higher prices.

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