Search results

1 – 10 of over 17000
Article
Publication date: 12 April 2021

Maretno Agus Harjoto and Fabrizio Rossi

This study examines the market reaction to the World Health Organization (WHO) announcement of the novel coronavirus disease 2019 (COVID-19) as a global pandemic on the…

2228

Abstract

Purpose

This study examines the market reaction to the World Health Organization (WHO) announcement of the novel coronavirus disease 2019 (COVID-19) as a global pandemic on the emerging equity markets and compares the reaction with developed markets. This study also compares the market reactions to the COVID-19 pandemic with the market reactions to the 2008 global financial crisis.

Design/methodology/approach

Using the Morgan Stanley Capital International daily stock indices data and the Carhart and the GARCH(1,1) models for an event study, the authors examine the cumulative abnormal returns during 30 and 10 trading days and the extended 60 days before and after the WHO pandemic announcement. It also compares the market reactions during the COVID-19 pandemic with the reactions to the Lehman Brothers' bankruptcy announcement during the 2008 global financial crisis.

Findings

This study finds that the COVID-19 pandemic had a significantly greater negative impact to the stock markets in emerging countries than in the developed countries. The negative impact on the emerging markets is more pronounced for firms with small market capitalizations and for growth stocks. The negative impact of the COVID-19 pandemic is stronger in the energy and financial sectors in both emerging and developed markets. The positive impact of the COVID-19 pandemic occurred in healthcare and telecommunications for the emerging markets and information technology for the developed markets. This study also finds that the equity markets in both emerging and developed countries recovered faster from the COVID-19 pandemic relative to the 2008 global financial crisis.

Social implications

Investors' desire to diversify their risks across different countries and sectors in the emerging markets could bring superior returns. The diversification strategies bring critical financial supports to forestall the contagion of COVID-19, to protect lives, and to save the emerging economies, especially for those financially constrained countries that are facing twin health and economic shocks by channeling their investments to countries with weak healthcare systems.

Originality/value

This study extends the literature that examines market reactions to stock market shocks by examining the market reactions to the COVID-19 outbreak on the emerging and developed equity markets across different market capitalizations, valuation and sectors. This study also finds that the markets recovered quicker from the COVID-19 pandemic announcement than during the 2008 global financial crisis.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 13 September 2022

Weihua Liu, Xinyun Liu and Tsan-Ming Choi

This study aims to explore the impact of supply chain quality event (SCQE) announcements on enterprises’ stock market value.

Abstract

Purpose

This study aims to explore the impact of supply chain quality event (SCQE) announcements on enterprises’ stock market value.

Design/methodology/approach

This study adopts the event study approach and analyzes the changes in shareholder value of companies listed in China based on data from 118 SCQE announcements. In the event study, the market, market-adjusted and Carhart four-factor models are used to estimate abnormal stock market returns, and a cross-sectional regression model is performed to examine the effects of SCQE announcements on enterprises’ stock market value.

Findings

SCQE announcements have a negative impact on shareholder value. From the perspective of the supply chain network structure, the market reacts more negatively to SCQE announcements issued by the enterprises with higher supply chain concentration. From the perspective of companies’ characteristics, announcements that do not reflect the establishment of supply chain quality cooperation have a more negative effect on stock market value, which indicates that the supply chain network structure and firm-level characteristic can moderate the market reaction.

Practical implications

The findings demonstrate a quantitative evaluation of how SCQE announcements affect the stock market value of listed companies and provide guidance for managers to enhance the value of SCQE announcements.

Originality/value

This study fills the research gap on the impact of SCQE announcements on stock market value by using secondary data and first explores the relationship between SCQE announcements and stock market value from the perspective of supply chain network. Furthermore, this study contributes to the literature on SCQE using an empirical study in China.

Details

International Journal of Operations & Production Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3577

Keywords

Article
Publication date: 28 March 2022

Weihua Liu, Jingkun Wang, Fu Jia and Tsan-Ming Choi

This study aims to explore the impact of blockchain announcements on enterprises' stock market value.

Abstract

Purpose

This study aims to explore the impact of blockchain announcements on enterprises' stock market value.

Design/methodology/approach

Based on resource-based theory, this study constructs a complete framework of the impact mechanism of blockchain announcements on the stock price of the announcing firm using the data of 143 blockchain announcements. An event study methodology is used in this research, and the market model, market-adjusted model and Carhart four-factor model are used to estimate stock abnormal returns after the blockchain announcement; and the cross-sectional regression model is used to test the influencing factors.

Findings

Blockchain announcements elicit a significantly positive market reaction on the release day. Compared to announcements not pertaining to technical innovation, blockchain technical innovation announcements exhibit a more positive market reaction towards the announcing companies. Strategic-level announcements exhibit a more positive market reaction than operational-level announcements. Enterprise characteristics, such as enterprise-scale and enterprise innovation ability, do not affect stock market reactions to blockchain announcements.

Practical implications

The findings reveal the economic value of conducting blockchain activities in the Chinese stock market. Findings of this study can help managers understand the value of implementing blockchain activities in a different market environment and guide them on how to improve the market value of their enterprises through the active implementation of blockchain activities.

Originality/value

To the best of the authors’ knowledge, this is the first event study to focus solely on the value of pure blockchain announcements in an emerging market. This study considers multiple resource and capability factors that would influence blockchain technology adoption, improve the current understanding of how blockchain announcements affect corporate stock prices and provide directions for future comparative studies of market reactions to blockchain announcements in different stock markets.

Details

International Journal of Operations & Production Management, vol. 42 no. 5
Type: Research Article
ISSN: 0144-3577

Keywords

Article
Publication date: 28 February 2022

Yasser Alhenawi, Khaled Elkhal and Zhe Li

This paper aims to use the Covid-19 pandemic situation to conduct an experiment-like study that focuses on industry reactions under stress. Particularly, this study…

Abstract

Purpose

This paper aims to use the Covid-19 pandemic situation to conduct an experiment-like study that focuses on industry reactions under stress. Particularly, this study analyzes stock response to eight pandemic related news in 2020 across different industries. This study also investigates the role that the market risk, beta, plays in such stock reactions.

Design/methodology/approach

This study computes the cumulative abnormal returns (CAR) around COVID-19 events using adjusted daily stock returns of all stocks in the S&P 500 index between January 2, 2020 and December 31, 2020. This study also sorts all stocks by beta into quintiles and measures the CAR [0, +3] for each quintile around each event date.

Findings

This study finds that low beta portfolios exhibit greater abnormal returns (in absolute value) than high beta portfolios during down markets while high beta portfolios exhibit greater abnormal returns (in absolute values) when the market starts to recover. However, this study finds that beta does not seem to explain the abnormal returns reported in various industries during times of negative sentiment. During times of positive sentiment, both the beta effect and industry effect are present.

Originality/value

Extant literature almost unanimously concurs that the COVID-19 pandemic has brought about negative stock reactions to financial markets across the globe. Nevertheless, three interrelated issues have not been explored: market reactions during the subsequent recovery, industry heterogeneity and individual stocks’ risk profile. The study addresses these matters.

Details

Studies in Economics and Finance, vol. 39 no. 5
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 30 March 2012

Dmitri G. Markovitch and Joel H. Steckel

The purpose of this paper is to examine the correspondence between the stock market's immediate reactions to new product introduction announcements and those products'…

1511

Abstract

Purpose

The purpose of this paper is to examine the correspondence between the stock market's immediate reactions to new product introduction announcements and those products' subsequent commercial performance.

Design/methodology/approach

The main study uses standard event study methodology.

Findings

The paper finds that the stock market reacts “incorrectly” to announcements of new product introductions more often than one would expect from a market that is assumed to be highly efficient.

Research limitations/implications

The paper's findings raise questions about the appropriateness of using daily stock returns to assess the profitability of marketing actions with highly uncertain outcomes.

Originality/value

Event studies of stock prices have been a popular method to assess the profit impact of marketing actions in a timely manner; yet, there has been surprisingly little research addressing the stock market's ability to react immediately to firm actions in a manner consistent with how effective the actions actually turn out to be. The authors' intended contribution is to guide marketing researchers investigating determinants of firm profitability.

Details

European Journal of Marketing, vol. 46 no. 3/4
Type: Research Article
ISSN: 0309-0566

Keywords

Article
Publication date: 13 September 2018

Nicolas Hardy, Nicolas S. Magner, Jaime Lavin, Rodrigo A. Cardenas and Mauricio Jara-Bertin

The purpose of this paper is to provide evidence about the effects of the MILA agreement in terms of improving financial market efficiency.

Abstract

Purpose

The purpose of this paper is to provide evidence about the effects of the MILA agreement in terms of improving financial market efficiency.

Design/methodology/approach

The authors measure efficiency by studying the stock reaction to earnings announcements using a conditional heteroscedasticity generalized autoregressive conditional heteroscedasticity-adjusted market model and the most commonly implemented event study tests for 3,399 events across four countries in the Latin American Integrated Market (MILA).

Findings

Contrary to expectations, the results show that the MILA agreement has isolated gains in terms of reaction to corporate earnings announcements, which translates into partial improvements in market efficiency. However, the evidence indicates that the MILA agreement favored cointegration, which is in line with other studies.

Practical implications

This paper provides evidence for policymakers and regulators that a stock market agreement is a condition that promotes market cointegration, but it is not an element that in itself ensures an improvement in market efficiency. To achieve greater MILA benefits, regulatory and market-level changes are required.

Originality/value

This is the first study that analyses the effect of a stock market agreement on the efficiency of markets, expanding on what has been studied in the finance literature regarding the influence of these agreements on cointegration.

Propósito

Esta investigación entrega evidencia sobre los efectos del acuerdo MILA respecto a mejoras en la eficiencia de los mercados accionarios involucrados.

Diseño/metodología/enfoque

Medimos eficiencia estudiando la reacción de los mercados accionarios tras anuncios de resultados utilizando un modelo de mercado ajustado por heteroscedasticidad condicional (GARCH). Además, consideramos las pruebas de estudios de evento más utilizadas en la literatura para 3,399 eventos en los 4 países involucrados en el acuerdo MILA.

Resultados

Contrario a lo esperado, los resultados muestran que el acuerdo MILA genera aumentos marginales en la reacción frente a anuncios corporativos, lo cual se traduce en mejoras parciales de la eficiencia de mercados accionarios. Sin embargo, la evidencia muestra que el MILA sí favorece a la cointegración, lo cual va en línea con estudios previos.

Implicancias prácticas

Esta investigación entrega evidencia para reguladores de que un acuerdo de integración bursátil promueve cointegración entre mercados, pero no es un elemento que por sí solo asegure una mejora en eficiencia. Para alcanzar mayores beneficios del acuerdo MILA, se requieren cambios adicionales a nivel de mercado accionario y de regulación.

Originalidad/valor

Este es el primer estudio que analiza el efecto de un acuerdo de integración bursátil en la eficiencia de los mercados accionarios, expandiendo lo que ha sido ya encontrado en la literatura financiera respecto a la influencia de estos acuerdos en cointegración.

Article
Publication date: 10 March 2022

Xin Xiang

This study focuses on an emerging market, China, and investigates the effects of corporate research and development (R&D) spending and subsidies on stock market reactions

Abstract

Purpose

This study focuses on an emerging market, China, and investigates the effects of corporate research and development (R&D) spending and subsidies on stock market reactions to seasoned equity offering (SEO) announcements.

Design/methodology/approach

The study uses a sample of SEOs announced over the period of 2003–2018 in the Chinese A-share market. The cumulative abnormal stock returns (CARs) are adopted to measure the stock market response to SEOs. The R&D spending-to-sales ratio (R&D subsidies) in 2 years before SEO announcements is used to measure the pre-SEO R&D spending (R&D subsidies). The instrumental variable (IV) regression method is applied to address the endogeneity problem in the robustness test.

Findings

This study demonstrates that firms with high R&D spending suffer stock overpricing and experience a negative market reaction when they announce SEOs, but R&D subsidies alleviate stock overpricing and mitigate the negative relationship between R&D spending and SEO market reactions.

Originality/value

Although the prior studies have demonstrated that information asymmetry, which causes stock overpricing, explains negative stock market reactions to SEOs, it is unclear if a certain factor that causes information asymmetry affects SEO market reactions. This study fills this gap and focuses on R&D spending, demonstrating that R&D spending is negatively related to SEO performance.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 18 May 2020

Weihua Liu, Wanying Wei, Cheng Si, Dong Xie and Lujie Chen

This study empirically examines the impact of announcements on supply chain strategic collaboration (SCSC) on companies' shareholder value.

Abstract

Purpose

This study empirically examines the impact of announcements on supply chain strategic collaboration (SCSC) on companies' shareholder value.

Design/methodology/approach

This study analyzes changes in shareholder value of companies listed in China based on data of 208 SCSC announcements. The signaling theory is applied to determine correlation among SCSC announcements and the market. An event study is used to estimate the stock market reaction to SCSC announcements. The common market model estimates stock abnormal returns after the event. The least squares method and regression model calculate the model parameter value.

Findings

There is a positive and statistically significant relationship between SCSC announcement and shareholder value. Market reaction to product development collaboration is significantly higher than to technology-sharing collaboration, market collaboration, and other SCSC types. The market reacts more positively to suppliers and companies with greater supply chain control power than to buyers and companies with lower control power. Announcements from the service supply chain can lead to stronger market reactions than those from manufacturing supply chains.

Practical implications

The findings provide a systematic assessment of how SCSC announcements contribute to firms' shareholder value. The result provides a benchmark of value promotion that can be expected from SCSC announcements.

Originality/value

This study fills the research gap that using secondary data to assess changes in companies’ shareholder value caused by SCSC announcements and firstly examines these changes by constructing the signaler–signal–receiver progress based on signaling theory. The research results provide a new reference and inspiration for deeper understanding of the impact mechanism of SCSC. Furthermore, this study contributes to the development of the signaling theory using an empirical study in an emerging market, China.

Details

International Journal of Operations & Production Management, vol. 40 no. 4
Type: Research Article
ISSN: 0144-3577

Keywords

Article
Publication date: 3 March 2020

Darko Vukovic, Vladislav Ugolnikov and Moinak Maiti

This study aims to examine whether the publication of analyst recommendations has reaction in the Russian stock market. This study also aims to determine the other factors…

Abstract

Purpose

This study aims to examine whether the publication of analyst recommendations has reaction in the Russian stock market. This study also aims to determine the other factors that influence the reaction.

Design/methodology/approach

Event study analysis (ESA) and regression models are used in this study.

Findings

The study finds that Russian stock market significantly reacts to analyst recommendations publications. Then study deeply investigates about the influence of other factors on the Russian market when an analyst's recommendations are published such as changes in recommendation levels, companies' size and general economic situation. The analysis done in the context of three types of recommendations: “buy,” “hold” and “sell.” The study finds that the market reacts not only to separate forecasts and subsequent recommendations, but also to the changes in recommendations' levels as well. Interestingly, the study finds that the impact of crises is not found to be a significant factor in the context of the Russian market.

Research limitations/implications

Analysts used to spend much more resources on conducting a fundamental analysis than ordinary investors do. Therefore, they usually possess valuable privileged information that is supposed to influence stock prices when published. However, the present study argues that the direction, extent and period of a reaction of an analyst's recommendations are highly complicated and depend on what factors are under consideration in a particular research. Very often, the authors who dedicate their papers to develop and study markets choose a couple of (or even one) factors and delve into them. Nevertheless, to the author's best knowledge, few frequently cited and well-conducted research focused on such an emerging market as the Russian one. Thus, it seems reasonable that there is a gap in the literature that needs to be filled while considering other important factors. The study findings have a significant investment policy content.

Originality/value

In several senses, the present study is unique. First, it investigates whether analyst recommendations sufficiently affect the Russian stock market; second, it determines whether the significant factors such as changes in recommendation levels, companies' size and general economic situation have influence on the reaction. Finally, the study discusses about whether there is an impact of crises in the present study findings.

Details

Journal of Economic Studies, vol. 47 no. 4
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 16 May 2008

Laivi Laidroo

The purpose of this paper is to determine to what extent economically significant stock return and volume changes on Tallinn, Riga and Vilnius Stock Exchanges (TSE, RSE…

1118

Abstract

Purpose

The purpose of this paper is to determine to what extent economically significant stock return and volume changes on Tallinn, Riga and Vilnius Stock Exchanges (TSE, RSE, VSE) are contributable to public announcements disclosures and which types of announcements drive these.

Design/methodology/approach

Event‐study methodology was used to determine economically significant return and volume events.

Findings

It was found that 22‐37 per cent of return or volume events explained by public announcements was twice lower than reported in the UK. The greatest frequency of disclosures was attributable to financial disclosures as could be expected. Although, previous research indicates bigger magnitude of reaction to financial news, it was not observed in case of public announcements. Whereas, the magnitude of reactions on VSE was greater than reported on TSE and RSE, which indicates that VSE differs from TSE and RSE in its information processing.

Research limitations/implications

Firstly, all other mediums of disclosure besides public announcements are excluded. Secondly, the focus on public announcements discards all other factors that could induce market reactions. Thirdly, investors are assumed to act rationally.

Originality/value

The relative importance of different news items in inducing market reactions on the three Baltic stock exchanges has not been previously investigated. Only one previous study has covered a developed capital market of the UK, which means that this paper enables to compare its results to the ones achieved in a developing capital market setting.

Details

Baltic Journal of Management, vol. 3 no. 2
Type: Research Article
ISSN: 1746-5265

Keywords

1 – 10 of over 17000