Forecasting the value effect of Seasoned Equity Offering announcements: Evidence from BRICS and comparative analysis to USA and European Markets

2017 ◽  
Vol 10 (2) ◽  
pp. 22-46
Author(s):  
Zhuqing Huang ◽  
Kostantinos Nikolopoulos
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Market Reactions ◽  
Developed Markets ◽  
Long Run ◽  
The Us ◽  
Value Effect ◽  
European Markets

Purpose –The purpose of this paper is to forecast the value effect of the SEO announcements based on the BRICS stock markets, and to make comparisons with the US and European markets.Design/methodology/approach –China and Russia are picked as representations of the BRICS based on the analysis of the economic growth of the five countries. Historical data from Shanghai Stock Exchange (SSE) and Moscow Stock Exchange (MSE) between 2010 and 2014 were involved. The authors use the abnormal return to quantify the value effect of SEOs and different models were built with the chosen factors. Modelling tools include EViews and SAS, and comparisons were made among the models.Findings –Positive market reactions were observed within two and three days after the SEOs in SSE and MSE respectively, negative market reactions exist in a long-run period after the announcements. The best model for the prediction is the auto-neural model.Research limitations/implications – The sample size could be larger in order to raise the precision of the prediction.Originality/value – Many empirical studies of the SEOs are based on developed markets. However the emerging markets may react differently. This research focuses on the stock markets in BRICS, which could be seen as representations of the emerging markets, thus could provide ideas and clues for relevant stakeholders in emerging markets before the SEO announcements.Keywords SEO, BRICS, Value effect, Neural Networks, SSE, MSEPaper type Research paper

Impacts of the US macroeconomic news on Asian stock markets

2014 ◽  
Vol 15 (2) ◽  
pp. 149-179 ◽  
Author(s):  
Tho Nguyen ◽  
Chau Ngo
Keyword(s):  
Labor Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Price Index ◽  
Market Returns ◽  
Macroeconomic News ◽  
Stock Market Returns ◽  
Content Type ◽  
Developed Markets ◽  
The Us

Purpose – This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns. Design/methodology/approach – The authors collect market expectation and actual scheduled announcements data for 14 key US's macroeconomic announcements from January 2002 to April 2012 from Bloomberg. The dataset consists of six groups: monetary policy and general macroeconomic indicators: the Federal Reserve's target interest rates (FOMC), gross domestic product (GDP), and leading indicator (LI); price indicators: consumer price index (CPI) and producer price index (PPI); business indicator: housing starts (HS) and industrial production (IP); consumption indicators: retail sales (RS) and consumer confidence level (CONSUM); labor market indicators: non-farm payroll (NFP), unemployment level (UE), and jobless claim (JOB); and external sector indicators: current account (CA) and trade balance (TB). The authors also collect daily opening and closing data of 12 Asian stock markets. Following Dow Jones classification, the authors divide them into two groups: five developed markets (Japan, Hong Kong, Republic of Korea, Singapore and Taiwan), and seven emerging markets (China, India, Indonesia, Malaysia, Pakistan, Sri Lanka, and Thailand). The MA-EGARCH (1,1) model is used for the empirical test. Findings – First, the authors find that stronger than expected news from the USA is associated with higher conditional mean and lower conditional variance of the Asian stock market returns, in general. Second, the Asian stock markets tend to put more weight on information relating to the US labor market than the other news as this indicator reveals much information about the underlying health of the US economy since full employment is the most important mandate for the US administration and policy makers. Third, in responding to the US news, the Asian emerging markets seem to respond stronger to the US news than the Asian developed markets both in terms of the number of responses and the magnitude of the reaction. This suggests that this could be seen as evidence that emerging markets are more dependent on the information content of the US news than the developed markets. Fourth, the US news is absorbed gradually leading to persisting volatility responses in the Asian stock markets. Originality/value – The authors fill a gap in the extant literature in investigating the speeds of the news absorption across the Asia region by examining the spillover effects across three time horizons, namely daily, overnight and intraday.

scholarly journals Which Stock Exchange Leads the Other: Comparison Between US, Australia, Euro Zone and UK

2019 ◽  
Vol 10 (5) ◽  
pp. 250
Author(s):  
Gholamreza Zandi ◽  
Muhammad Usman Javaid ◽  
Urooj Anwar ◽  
Muhammad Umar Islam
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
The United States ◽  
The Other ◽  
Structural Modelling ◽  
Euro Zone ◽  
Long Run ◽  
The Us ◽  
Variance Decompositions ◽  
Direction Of Causation

Recently, Financial linkages among the most advanced countries are being explored. It is very crucial matter for investors, regulators and government alike. For investor so that they can effectively manage their portfolio and for regulators to implement right policies. However, there is lack of study on identifying existence of the financial linkages and measuring direction and strength of causality among the most advanced countries based on the most updated .Hence, this paper examines linkages between stock markets of four advanced stock markets (the United States, Australia , Euro zone and UK) during the period of January 2004 to December 2013. The method applied are the error correction and variance decompositions technique including recently improved “long run structural modelling (LRSM)”. Our findings, based on the above mentioned rigorous techniques, tend to suggest that there is direction of causation largely from U.K, and Euro Area and lowly from Australia to the US.

scholarly journals Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

2020 ◽  
Vol 12 (20) ◽  
pp. 8581
Author(s):  
Wenjing Xie ◽  
João Paulo Vieito ◽  
Ephraim Clark ◽  
Wing-Keung Wong
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
International Treaties ◽  
National Policies ◽  
The Sustainable Development ◽  
Long Run ◽  
Stock Market Investors

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

Intensity of shock transmission amid US-BRICS markets

2015 ◽  
Vol 10 (3) ◽  
pp. 311-328 ◽  
Author(s):  
P. Lakshmi ◽  
S. Visalakshmi ◽  
Kavitha Shanmugam
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Subprime Mortgage ◽  
Content Type ◽  
Brics Countries ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

scholarly journals EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS

2016 ◽  
Vol 22 (6) ◽  
pp. 808-829 ◽  
Author(s):  
Nawaz AHMAD ◽  
Rizwan RAHEEM AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia STREIMIKIENE
Keyword(s):  
Hong Kong ◽  
Stock Returns ◽  
Stock Markets ◽  
Graphical Representation ◽  
Stock Exchange ◽  
Causal Relation ◽  
Preliminary Examination ◽  
Long Run ◽  
Daily Data ◽  
Time Period

The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Seng (Hong Kong), Shanghai Stock Exchange (SSE) (Shanghai, China) and KOSPI (Seoul, South Korea) were considered. Stock market indices comprise of daily data from the period January 2002 to December 2009. The graphical representation of time series shows the preliminary examination of stock behaviors. The analysis shows the high correlation and heteroskedastic trend (volatility) among the stock markets in selected time period. After preliminary analysis the formal descriptive method of mean, standard deviation and coefficient of variation have been applied for measuring and ranking purposes. The results show that KOSPI has the highest average annual return of 12.67% and followed by BSE with 11.61%, whereas, KSE 100 has the least annual average returns of 9.31%. The highest volatility coefficient of 3.097 has been observed in Hang Seng (Hong Kong) followed by 2.87 in Nikkei (Tokyo). However, the KSE 100 observed the lowest volatility coefficient of 2.078. Bartlett’s test is applied for the inferential analysis to investigate whether the equality of volatility is the same in each market return. Finally, GARCH (1, 1) model is applied which concludes a significant ARCH (1) and GARCH (1) effects and confirms all markets’ returns are statistically significant since p < 0.01 and their Long Run Average Variances (LRAV) range from 1.52% to 2.54% for KSE100 Index and Shanghai Stock Exchange respectively.

scholarly journals AN ANALYSIS OF STOCK MARKET INTEGRATION IN THE ASIAN DEVELOPED AND EMERGING MARKETS

2021 ◽  
Vol 9 (3) ◽  
pp. 1175-1190
Author(s):  
Sadiq Rehman ◽  
Asif Ali Abro ◽  
Ahmed Raza Ul Mustafa ◽  
Najeeb Ullah ◽  
Sanam Wagma Khattak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Short Term ◽  
Emerging Stock Markets ◽  
Long Run ◽  
Integration Test ◽  
Short Run

Purpose of the study: This study investigates Short-run, Long-run, and Casual relationships in the Asian Developed and Emerging stock market indices for the period of 19 years weekly data of stock market indices of Asian Developed and Emerging Markets which are Japan (Nikkei 225), South Korea (KOSPI), Pakistan (KSE 100), China (SSE Composite), Sri Lanka (ASPI), India (BSE 200) and Malaysia (KLSE composite) from January 2001 to December 2019. Methodology: To analyze long-run and short-run relationships among the Asian developed and emerging stock markets, this study practices Descriptive Statistics, Correlation Matrix, Unit Root Test, Johansen Co-Integration Test, Vector Error Correction Model, Granger Causality test, Variance Decomposition and Impulse Response Function (IRF). Main findings: By employing the ADF and P.P. tests, the results specify that the entire variables' data are non-stationary and stationary in exact order, which is 1st difference. The Johnson Co-integration test found one cointegration relationship, where the results are consistent with Granger causality, Variance Decomposition, and Impulse Response Function (IRF). Application of the study: As the current research has focused on finding out the comovements in the Asian developed and emerging markets. So, the applications are that the survey found short-run and long-run relationships in these countries' stock markets. The study's originality: The current study has selected seven Asian developed and emerging stock markets and weekly updated time series data to investigate short-term and long-term linkages. So, this study found long-run comovements in these stock indices, which contributes to the literature. In addition, these stock markets have limited diversification benefits for international investors, while short-term diversification benefits may exist.

scholarly journals Trends in IPOs: The Evidence From Financial Markets

Equilibrium ◽  
2013 ◽  
Vol 8 (2) ◽  
pp. 45-63
Author(s):  
Tomas Meluzin ◽  
Marek Zinecker
Keyword(s):  
Emerging Markets ◽  
Initial Public Offerings ◽  
Secondary Data ◽  
Public Offerings ◽  
Developed Economies ◽  
Corporate Growth ◽  
World Markets ◽  
The Us ◽  
The World ◽  
European Markets

This paper deals with the analysis of initial public offerings of shares in terms of their quantity and the amount of capital raised by this form of financing on the world markets. Relevant global developments will be analyzed first, followed by a description of regional situation. The analysis is based on secondary data which are processed by descriptive statistics methods. The analysis of IPO trends on the world markets indicates that, in the period of 2004-2007, IPO-based financing of corporate growth gained in importance on both developed and emerging markets. The IPO segment was dominated by the largest emerging markets (Brazil, Russia, India and China) and at the same time the US American and Western European markets decline in their importance. The world-wide economic crisis of 2008 suppressed the interest in new IPOs, particularly in the developed economies. As the economy of most countries is beginning to revive, the interest in the IPO approach from businesses and investors is on the rise. It can be expected that, in the next few years, the arena of initial public offerings will be dominated by visionary companies operating on emerging markets where the execution of an IPO will constitute the key element in securing the capital essential for further expansion.

scholarly journals WPŁYW INFORMACJI Z USA NA ŚRÓDDZIENNĄ SEZONOWOŚĆ NA PRZYKŁADZIE SPÓŁKI KGHM

2019 ◽  
Vol 20 (2) ◽  
pp. 138-148
Author(s):  
Tomasz Wójtowicz
Keyword(s):  
Stock Markets ◽  
Trading Volume ◽  
Us Economy ◽  
The Us ◽  
The Impact ◽  
European Markets

Intensity of trading on stock markets is characterized by a visible intraday seasonality pattern. In the case of European markets, this seasonality is strongly influenced by announcements of information about the US economy. In this paper we study the impact of these publications on intraday seasonality of trading volume and volatility of KGHM returns in the period from 2001 to 2016. The analysis concerns both the strength and the length of the impact of new, important information.

scholarly journals The Influence of Independent Directors, Insider Ownership and Scientific Connections on Risky R&D Investments: Evidence from Emerging Markets

2016 ◽  
Vol 10 (3) ◽  
pp. 5-23
Author(s):  
Anastasia Stepanova ◽  
Anna Tereshchenko
Keyword(s):  
Emerging Markets ◽  
Research University ◽  
Technological Development ◽  
Optimal Level ◽  
Policy Implications ◽  
Independent Directors ◽  
Insider Ownership ◽  
Developed Markets ◽  
Long Run ◽  
Investment Process

Anastasia N. Stepanova -  National Research University The Higher School of Economics, E-mail: [email protected] Anna Alexandrovna Tereshchenko - National Research Institute "Higher School of Economics R&D projects in the pharmaceutical industry are extremely risky and bring benefits in the long-run period. Self-interested managers try to avoid risk and underinvest in R&D. In this paper we study the effect of independent directors, insider ownership and scientific connections on R&D investments. Independent directors and insider ownership can mitigate the agency problem by additional monitoring and convergence of interests. Scientific collaboration promote technological development and increase R&D. The research reveals the difference of the effects in emerging and developed markets.In emerging markets theproportion of independent directors is positively connected with R&D investments. Such results can be explained by the fact that independent directors monitor risk-averse managers that underinvest in risky but perspective projects. Scientific connections significantly positively influence R&D investments. Empirical evidence also shows that companies with a higher proportion of independent directors have more collaborations with scientific institutions in emerging markets. Insider ownership also has no significant influence on R&D investments. Such a result can be explained by the fact that not all the insiders can influence the investment process. Moreover, beneficial owners can lack industry specific knowledge that allows them to monitor the process.  In developed markets the situation is different. The proportion of independent directors is associated with lower R&D investment intensity. As R&D investments are extremely high in developed markets, we suppose that the overinvestment problem can exist.  Thus, better corporate governance can decrease the investments closer to an optimal level. Scientific connections and insider ownership are not a significant factor. The research has wide policy implications. The results can be used by shareholders and government regulating institutions in creating optimal management structures.

scholarly journals On the long-run interdependence of stock markets: A tale of correlations, autoregressions and decompositions

2002 ◽  
Vol 5 (3) ◽  
pp. 526-548
Author(s):  
Elna Moolman ◽  
Suzanne McCoskey
Keyword(s):  
Time Series ◽  
Latin America ◽  
Robust Estimation ◽  
Stock Markets ◽  
Estimation Procedure ◽  
Var Model ◽  
Long Run ◽  
World Markets ◽  
The Us ◽  
As If

It seems as if national stock markets within certain groups of countries, for example within Europe and Asia, are interdependent. But to what extent are stock markets between these groups interdependent? Is it still possible to diversify among these groups, or have globalization tied world markets together to such an extent that diversification is no longer feasible? In this study we use time series techniques to analyze the interdependence among four of the most important groups of economies, namely Europe, Latin America, Asia and the US. This will show whether it is still possible to diversify between the stock markets of these groups of economies, since stock markets within these groups seem to be interdependent to such an extent that diversification within these groups is no longer possible. On a methodological level, we compare the results of the OLS-VAR with an FM-VAR model, which is a more robust estimation procedure in the presence of non-stationary or cointegrated series.

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