Search results
1 – 10 of 740Daniel Werner Lima Souza de Almeida, Tabajara Pimenta Júnior, Luiz Eduardo Gaio and Fabiano Guasti Lima
This study aims to evaluate the presence of abnormal returns due to stock splits or reverse stock splits in the Brazilian capital market context.
Abstract
Purpose
This study aims to evaluate the presence of abnormal returns due to stock splits or reverse stock splits in the Brazilian capital market context.
Design/methodology/approach
The event study technique was used on data from 518 events that occurred in a 30-year period (1987–2016), comprising 167 stock splits and 351 reverse stock splits.
Findings
The results revealed the occurrence of abnormal returns around the time the shares began trading stock splits or reverse stock splits at a statistical significance level of 5%. The main conclusion is that stock split and reverse stock split operations represent opportunities for extraordinary gains and may serve as a reference for investment strategies in the Brazilian stock market.
Originality/value
This study innovates by including reverse stock splits, as the existing literature focuses on stock splits, and by testing two distinct “zero” dates that of the ordinary general meeting that approved the share alteration and the “ex” date of the alteration, when the shares were effectively traded, reverse split or split.
Details
Keywords
Lingling Zhao, Vito Mollica, Yun Shen and Qi Liang
This study aims to systematically review the literature in the fields of liquidity, informational efficiency and default risk. The authors outline the key research streams and…
Abstract
Purpose
This study aims to systematically review the literature in the fields of liquidity, informational efficiency and default risk. The authors outline the key research streams and provide possible pathways for future research.
Design/methodology/approach
The study adopts bibliographic mapping to identify the most influential studies in the research fields of liquidity, informational efficiency and default risk from 1984 to 2021.
Findings
The study identifies four key research themes that include efficiency and transparency of markets; corporate yield spreads; market interactions: bonds, stocks and cryptocurrencies; and corporate governance. By assessing publications published from 2018 to 2021, the authors also document seven key emerging research trends: cross markets, managerial learning and corporate governance, state ownership and government subsidies, international evidence, machine learning (FinTech approaches), environmental themes and financial crisis. Drawing on these emerging trends, the authors highlight the opportunities for future research.
Research limitations/implications
Keyword searches have limitations since some studies might be overlooked if they do not match the specified search criteria, even though their relevance to the topic is under investigation. Adopt the R project to expand this review by incorporating more literature from other databases, such as the Scopus database could be a possible solution.
Practical implications
The four key research streams contribute to a comprehensive understanding of liquidity, informational efficiency and default risk. The emerging trends integrate existing knowledge and leave the chance for innovative research to expand the research frontier.
Originality/value
This study fulfills the systematic literature review streams in the fields of liquidity, informational efficiency and default risk, and provides fruitful opportunities for future research.
Details
Keywords
Sreekha Pullaykkodi and Rajesh H. Acharya
This study explores the association between market efficiency and speculation. The government of India temporarily banned the futures trading of various commodities several times…
Abstract
Purpose
This study explores the association between market efficiency and speculation. The government of India temporarily banned the futures trading of various commodities several times citing the presence of speculation. Many controversies exist about this topic; thus, this study clarifies the association between market efficiency and speculation and investigates whether market reforms altered this association.
Design/methodology/approach
The data for nine commodities is collected from the National Commodity and Derivative Exchange (NCDEX) for 2005–2022. Regression analysis and Automatic Variance Ratio (AVR) were adopted to inspect the informational efficiency and influence of speculation in the commodity market. Furthermore, this study uses different sub-samples to understand the changes in the market microstructure and its effects on market quality.
Findings
The results confirm an inverse and significant relationship between information efficiency and speculation and a deviation from the random walk process observed. Therefore, return predictability exists in the market. This study confirms that market reforms do not reduce the influence of speculation on market efficiency. The study concludes that the market is not weak-form efficient.
Research limitations/implications
This study has certain limitations, since this study is empirical in nature, it may possess the limitations of empirical research.
Originality/value
This paper has dual novelty. First, this study investigates the effects of market reforms. Second, this study captures the influence of speculation in the Indian agricultural commodity market by considering the market microstructure aspects.
Details
Keywords
Subhamitra Patra and Gourishankar S. Hiremath
This study aims to measure the degree of volatility comovement between stock market liquidity and informational efficiency across Asia, Europe, North-South America, Africa, and…
Abstract
Purpose
This study aims to measure the degree of volatility comovement between stock market liquidity and informational efficiency across Asia, Europe, North-South America, Africa, and the Pacific Ocean over three decades. In particular, the authors analyze the extent of the time-varying nexus between different aspects of stock market liquidity and multifractal scaling properties of the stock return series across various regions and diversified market conditions. This study further investigates several factors altering the degree of dynamic conditional correlations (DCCs) between the efficiency and liquidity of the domestic stock markets.
Design/methodology/approach
The study measures five aspects of stock market liquidity – tightness, depth, breadth, immediacy, and adjusted immediacy. The authors evaluate the multifractal scaling properties of the stock return series to measure the level of stock market efficiency across the regions and diversified market conditions. The study uses the dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity framework to quantify the degree of volatility comovement between liquidity and efficiency over the period.
Findings
The study finds the presence of stronger volatility comovement between inefficiency and illiquidity due to the price impact characteristics of the stock markets irrespective of different regions and diversified market conditions. The extent of time-variation increased following the shock periods, indicating the significant role of the financial crisis in increasing the volatility comovement between inefficiency and illiquidity. The highest degree of time-varying correlation is observed in the developed stock markets of Northwestern and Northern Europe compared to the regional and emerging counterparts. On the other hand, weak DCCs are observed in the emerging stock markets of Europe.
Originality/value
The output of the present study assists investors in identifying diversification opportunities across the regions. Additionally, the study has significant implications for market regulators, aiding in predicting future troughs and peaks. The prediction, in turn, helps formulate capital market development plans during dynamic economic situations.
Details
Keywords
Marco Aurélio dos Santos, Luiz Paulo Lopes Fávero, Talles Vianna Brugni and Ricardo Goulart Serra
This study’s goal was to identify how several markets have developed over time and what determinants have influenced this process, based on adaptive markets hypothesis (AMH). In…
Abstract
Purpose
This study’s goal was to identify how several markets have developed over time and what determinants have influenced this process, based on adaptive markets hypothesis (AMH). In this regard, the authors consider that agents are driven by the seeking for abnormal returns to stay “alive” and their environment could somehow modify their decision-making processes, as well as influence the degree of efficiency of the market.
Design/methodology/approach
The authors collected the daily closing-of-the-market index from 50 countries, between 1990 and 2022. The sample includes emerging countries, developed countries and frontier markets. Then, the authors ran multilevel modeling using Hurst exponent as an informational efficiency metric estimated by two different moving windows: 500 and 1,250 observations (approximately 2 and 5 years).
Findings
The results indicate that the efficiency of the markets is not constant over time. The authors also have identified that markets follow a cyclical pattern of efficiency/inefficiency, and they are currently in a period of convergence to efficiency, possibly explained by the increase in computational capacity and speed of the available information to agents. In addition, this study identified that country characteristics are associated with market efficiency, considering institutional factors.
Originality/value
Studies of this nature contribute to the literature, considering the importance of better comprehension of market efficiency dynamics and their determinants, specially observing other theories on the relationship between information and markets (like AMH), which work with other investor assumptions than those used by efficient market hypothesis.
Details
Keywords
Jin Cai and Gerard Pinto
This paper aims to improve how investors can better manage their exposure to bitcoin (BTC), given the growing importance of BTC and the accompanying high volatility of BTC. This…
Abstract
Purpose
This paper aims to improve how investors can better manage their exposure to bitcoin (BTC), given the growing importance of BTC and the accompanying high volatility of BTC. This paper tests whether altcoins can serve as safe havens and diversifiers against exposure to BTC.
Design/methodology/approach
Using daily returns of altcoins and BTC from 2014 to early 2022, this paper examines the relationship between altcoins and BTC in a GARCH regression framework.
Findings
This paper finds that altcoins act as reliable safe havens during periods of extremely negative BTC returns and provide BTC investors with diversification benefits during normal periods. The safe haven effect of altcoins is superior to that of conventional assets. This paper presents evidence that this safe haven property of altcoins can be attributed to the informational efficiency channel, which arose from the increased adoption of BTC by institutional investors.
Research limitations/implications
The study uses a data set from 2014 to early 2022. While the sample is among the largest samples in the literature on crypto assets and includes adequate BTC tail events to test the hypotheses, it may not capture more recent changes in the crypto markets.
Practical implications
The findings suggest that BTC investors can enjoy diversification and safe haven protections by including altcoins in their portfolios.
Originality/value
This paper’s focus on alternative cryptocurrencies (altcoins) as potential diversifiers and safe havens is original. The hypothesis about altcoins being better alternatives during extreme negative movements in BTC prices is a unique contribution. The test of the role of the information efficiency channel further enhances the paper’s originality.
This study aims to investigate the causal complexity of ECF investors’ peer effect through two different paths of structural social influence.
Abstract
Purpose
This study aims to investigate the causal complexity of ECF investors’ peer effect through two different paths of structural social influence.
Design/methodology/approach
Using the fuzzy-set qualitative comparative analysis (fsQCA) approach, we employ 157 samples from a Chinese ECF source to explore how peer-effect are caused by both informational and normative mechanisms.
Findings
The findings suggests that there are multiple configurations could lead to ECF investors’ high level peer-effect through both informational and normative mechanisms, and the informational mechanism' role depends on the normative mechanism, while the normative mechanism could lead to peer-effect independently.
Research limitations/implications
The findings enrich the literature on ECF investors’ behaviors by revealing the diverse configurations resulting in investors’ peer-effect and shedding new light on investigating the decision-making driven by information asymmetry and relationship settings for individuals at a disadvantage.
Originality/value
This is the first study that investigates the multiple-driven of ECF investors’ decision-making and the importance of mutual norms in individuals' decision-making by complex network analysis approach and qualitative comparative analysis from the perspective of complexity. The results reveal the complexity of investors’ decision-making in ECF.
Details
Keywords
This paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the…
Abstract
Purpose
This paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the Egyptian market.
Design/methodology/approach
The paper uses the event study framework to analyze the significance and direction of abnormal returns of the leading index of the Egyptian stock market (EGX30) on and around the devaluation days. It employs both the constant mean model and the market model to estimate the normal returns of the EGX30. Additionally, the paper uses data on two equity indices, one global and one for emerging markets, as benchmarks for normal returns.
Findings
The paper finds that the Egyptian stock market experienced significant positive abnormal returns on the devaluation days of the EGP in March and October of 2022, indicating a positive market reaction to the devaluation. Furthermore, evidence suggests that the Egyptian market may not be informationally efficient as significant positive abnormal returns were observed two weeks before and two weeks after the devaluation day, suggesting news leaks and delayed reactions, respectively.
Originality/value
This study is the first to examine the impact of the recent two devaluations of the EGP in 2022 on the Egyptian stock market. It complements existing literature by analyzing the immediate market reaction to two consecutive devaluations in an African country. Furthermore, the paper evaluates the efficiency of the Egyptian market in processing information related to exchange rates.
Details
Keywords
Orlando Telles Souza and João Vinícius França Carvalho
This study aims to analyze the efficient market hypothesis (EMH) of cryptocurrencies on multiple platforms by observing whether there is a discrepancy in the levels of efficiency…
Abstract
Purpose
This study aims to analyze the efficient market hypothesis (EMH) of cryptocurrencies on multiple platforms by observing whether there is a discrepancy in the levels of efficiency between different exchanges. Additionally, EMH is tested in a multivariate way: whether the prices of the same cryptocurrencies traded on different exchanges are temporally related to each other. ADF and KPSS tests, whereas the vector autoregression model of order p – VAR(p) – for multivariate system.
Findings
Both Bitcoin and Ethereum show efficiency in the weak form on the main platforms in each market alone. However, when estimating a VAR(p) between prices among exchanges, there was evidence of Granger causality between cryptocurrencies in all exchanges, suggesting that EMH is not adequate due to cross information.
Practical implications
It is essential to assess the cryptocurrency market in a multivariate way, not only to favor its maturation process, but also to promote a broad understanding of its inherent risks. Thus, it will be possible to develop financial products that are actively managed in a more sophisticated cryptocurrency market.
Social implications
There is a possibility of performing arbitrage on different exchanges and market assets through cross-exchanges. Thus, emphasizing the need for regulation of exchanges in the digital asset market, as an eventual price manipulation on a single platform can impact others, which generates various distortions.
Originality/value
This study is the first to find evidence of cross-information for the same (and other) cryptocurrencies among different exchanges.
Details
Keywords
This research aims to examine the time-varying behavior of the Weekend, Turn-of-the-Month, January, and Halloween effects in eight foreign exchange rates against the U.S. dollar…
Abstract
Purpose
This research aims to examine the time-varying behavior of the Weekend, Turn-of-the-Month, January, and Halloween effects in eight foreign exchange rates against the U.S. dollar from the Adaptive Market Hypothesis (AMH) perspective. It also explores whether these anomalies can generate excess returns compared to a buy-and-hold strategy.
Design/methodology/approach
Using daily return data from January 2004 to December 2023 in a rolling-window framework, the study employs the Concordance Coefficient test and AR-GARCH models to assess the time-varying behavior of four calendar anomalies. It also assesses the statistical significance of the trading strategies implied by these anomalies using t-tests and applies F-tests for subperiod analysis.
Findings
The results reveal a generalized time-varying presence of calendar anomalies in emerging currencies and, to a lesser extent, developed currencies. However, the trading strategies implied by these anomalies generally did not show statistical significance, except for the Turn-of-the-Month effect, which exhibited statistically significant unprofitability.
Originality/value
The study pioneers an analysis of five calendar anomalies across various currencies from the standpoint of the AMH and proposes case-specific explanations for their occurrence. It also examines the potential for the anomalies’ implied trading strategies to generate excess returns compared to a straightforward buy-and-hold strategy. Additionally, the study introduces the recently developed Concordance Coefficient test as a valuable alternative to other non-parametric methods.
Details