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1 – 10 of over 21000Yasser 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 analyzes stock…
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.
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Weihua Liu, Tingting Liu, Ou Tang, Paul Tae Woo Lee and Zhixuan Chen
Using social network theory (SNT), this study empirically examines the impact of digital supply chain announcements disclosing corporate social responsibility (CSR) information on…
Abstract
Purpose
Using social network theory (SNT), this study empirically examines the impact of digital supply chain announcements disclosing corporate social responsibility (CSR) information on stock market value.
Design/methodology/approach
Based on 172 digital supply chain announcements disclosing CSR information from Chinese A-share listed companies, this study uses event study method to test the hypotheses.
Findings
First, digital supply chain announcements disclosing CSR information generate positive and significant market reactions, which is timely. Second, strategic CSR and value-based CSR disclosed in digital supply chain announcements have a more positive impact on stock market, however there is no significant difference when the CSR orientation is either towards internal or external stakeholders. Third, in terms of digital supply chain network characteristics, announcements reflecting higher relationship embeddedness and higher digital breadth and depth lead to more positive increases of stock value.
Originality/value
First, the authors consider the value of CSR information in digital supply chain announcements, using an event study approach to fill the gap in the related area. This study is the first examination of the joint impact of digital supply chain and CSR on market reactions. Second, compared to the previous studies on the single dimension of digital supply chain technology application, the authors innovatively consider supply chain network relationship and network structure based on social network theory and integrate several factors that may affect the market reaction. This study improves the understanding of the mechanism between digital supply chain announcements disclosing CSR information and stock market, and informs future research.
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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.
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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.
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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 emerging…
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.
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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.
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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…
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.
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Kiryanto Kiryanto, Indri Kartika and Zaenudin Zaenudin
Certification information published by a company will be responded by the market. Therefore, the purpose of this study is to examine the impact of ISO 9001 certification on the…
Abstract
Purpose
Certification information published by a company will be responded by the market. Therefore, the purpose of this study is to examine the impact of ISO 9001 certification on the stock market reaction as indicated by stock returns reaction of companies in Indonesia.
Design/methodology/approach
This study used event study method with the period of 13 days. It consists of 6 days before and after ISO 9001 certification announcement and 1 day at the time of the event. It analyzed by using pair sample t-test and one sample t-test. The stock return data is obtained from companies that are ISO 9001 certified and it tested for their stock reactions before and after the certification.
Findings
The results of empirical research showed that the average and companies cumulative abnormal returns in Indonesia react quickly and positively on the first day after ISO 9001 certification announcement. This study proved the differences between abnormal returns before and after the ISO 9001 certification announcement period.
Research limitations/implications
The company's success in implementing ISO 9001 will have an impact on investment in the capital market with a positive response from stock market players. The implication of this study is the further research can examine directly the impact of ISO 9001 implementation on investor behavior in the capital market.
Originality/value
Based on the development of the literature review, this is the first study which examined the impact of ISO 9001 certification announcement on investor reactions in the short term. Therefore, companies in Indonesia need to implement a quality management system for investors in Indonesia.
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Weihua Liu, Yongzheng Gao, Chaolun Yuan, Di Wang and Ou Tang
This study explores the impact of carbon neutrality policies on Chinese stock market from a supply chain perspective. Specifically, the carbon policy refers to the Action Plan for…
Abstract
Purpose
This study explores the impact of carbon neutrality policies on Chinese stock market from a supply chain perspective. Specifically, the carbon policy refers to the Action Plan for Carbon Dioxide Peaking Before 2030 (the Plan) in China.
Design/methodology/approach
This paper is based on the resource dependence theory (RDT) and applies the event study methodology to explore the impact. It uses the cross-sectional regression model to reveal the moderating effect of supply chain characteristics on the stock market reaction with a data set of 354 listed companies in A-shares (excluding ChiNext and SME board).
Findings
The promulgation of the Plan shows a significant negative stock market reaction. Customer concentration, out-degree centrality and smart supply chains (SSCs) have a significant negative moderating effect. In-degree centrality and supplier concentration have a significant positive moderating effect. Furthermore, the conclusions concerning out-degree centrality, supplier concentration and SSCs are counterintuitive.
Practical implications
For policymakers, the study results provide a reference for evaluating the carbon neutrality policy. For managers, this study provides theoretical support for strategically adjusting and designing supply chain structures in the context of advocating peak carbon dioxide emissions and carbon neutrality.
Originality/value
This paper is the first attempt that includes the supply chain structure factors into the impact of carbon neutrality policies on the stock market.
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Stephan Kunert, Dirk Schiereck and Christopher Welkoborsky
This study aims to analyze stock market reactions to layoff announcements in the renewable energy sector. The global renewable energy sector and most of the producers of wind and…
Abstract
Purpose
This study aims to analyze stock market reactions to layoff announcements in the renewable energy sector. The global renewable energy sector and most of the producers of wind and solar energy equipment are struggling. While changes in the regulation and in the promotion of energy production from renewable sources reduced the attractiveness of these technologies, many involved companies had to downsized their workforce to increase performance. The public often perceives these announcements as a way of increasing shareholder wealth at the cost of the employees. Support for this claim is often given in the form of isolated case study considerations. However, the case may be different for the renewable energy sector as changes in the overall institutional environment have sustainably deteriorated the prospects of this industry.
Design/methodology/approach
This study analyses stock market reactions of 65 layoff announcements made by companies in the renewable energy industry in the years from 2005 to 2014. The reactions are measured by cumulative abnormal returns, which are obtained by using the event study methodology.
Findings
It shows a significantly negative market reaction to the announcement of a layoff plan on the event day. The findings are generally in line with our expectations and underline the negative perspectives of the sector from a capital market point of view and the declining importance of the sector with respect to employment numbers.
Originality/value
The results of this study are important for investors when estimating the capital market reactions to layoff announcements and when they form their own expectations regarding possible future layoff announcements. For the public, the results are of interest as the prejudice, that layoff plans are used to increase shareholder wealth, can be dismantled. The opposite is shown.
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