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1 – 2 of 2Daniel 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.
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Keywords
Luiz Eduardo Gaio and Daniel Henrique Dario Capitani
This study investigates the impacts of the Russia–Ukraine conflict on the cross-correlation between agricultural commodity prices and crude oil prices.
Abstract
Purpose
This study investigates the impacts of the Russia–Ukraine conflict on the cross-correlation between agricultural commodity prices and crude oil prices.
Design/methodology/approach
The authors used MultiFractal Detrended Fluctuation Cross-Correlation Analysis (MF-X-DFA) to explore the correlation behavior before and during conflict. The authors analyzed the price connections between future prices for crude oil and agricultural commodities. Data consists of daily futures price returns for agricultural commodities (Corn, Soybean and Wheat) and Crude Oil (Brent) traded on the Chicago Mercantile Exchange from Aug 3, 2020, to July 29, 2022.
Findings
The results suggest that cross-correlation behavior changed after the conflict. The multifractal behavior was observed in the cross correlations. The Russia–Ukraine conflict caused an increase in the series' fractal strength. The study findings showed that the correlations involving the wheat market were higher and anti-persistent behavior was observed.
Research limitations/implications
The study was limited by the number of observations after the Russia–Ukraine conflict.
Originality/value
This study contributes to the literature that investigates the impact of the Russia–Ukraine conflict on the financial market. As this is a recent event, as far as we know, we did not find another study that investigated cross-correlation in agricultural commodities using multifractal analysis.
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