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Article
Publication date: 13 February 2024

Elena Fedorova and Polina Iasakova

This paper aims to investigate the impact of climate change news on the dynamics of US stock indices.

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Abstract

Purpose

This paper aims to investigate the impact of climate change news on the dynamics of US stock indices.

Design/methodology/approach

The empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic.

Findings

The results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market.

Originality/value

First, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”

Details

The Journal of Risk Finance, vol. 25 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 19 September 2023

Ahmed S. Baig, Muhammad Imran Chaudhry and R. Jared DeLisle

In this paper, the authors study the phenomenon of price clustering in the Pakistan Stock Exchange (PSX), a market viewed as one of the best-performing stock markets in the world…

Abstract

Purpose

In this paper, the authors study the phenomenon of price clustering in the Pakistan Stock Exchange (PSX), a market viewed as one of the best-performing stock markets in the world during 2014–2017. The authors study the effect of stock-level variables on price clustering and analyze the determinants of the cross-sectional patterns of price clustering in the PSX, in particular the causal link between price clustering and political instability.

Design/methodology/approach

The authors' dataset comprises daily observations on 100 PSX stocks spanning from January 1, 2009 to June 30, 2019. The authors use multivariate regression and spectral analysis to shed light on the dynamics of stock price clustering in PSX.

Findings

The authors document abnormally high levels of stock price clustering, particularly on integer increments, in PSX. The nature of stock price clustering in PSX is consistent with the negotiation hypothesis of Harris (1991). The levels of stock price clustering on PSX are persistent and contain a cyclical component. Furthermore, the authors find that political uncertainty in Pakistan is a significant contributor to the high levels of price clustering on PSX. The authors' conclusions are robust to alternative econometric specifications and different measures of price clustering and political uncertainty.

Practical implications

The authors' findings are of interest to investors and policymakers. Since price clustering decreases market quality and degrades the information content of stock prices, the authors' study shows that price efficiency in PSX has not improved despite major reforms over the last decade. One practical implication of the authors' results is that investors should be cautious while rebalancing portfolios around political events such as general elections because stock price clustering increases in the PSX during these periods. As a result, stock prices are likely to deviate from their intrinsic values.

Originality/value

Research on price clustering is limited to developed markets, and emerging/frontier markets have been largely overlooked. The phenomenon of price clustering in the PSX has yet to be studied, despite the relevance of the PSX for emerging/frontier market investors.

Details

Managerial Finance, vol. 50 no. 3
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 5 September 2023

Weihua Liu, Zhixuan Chen, Tsan-Ming Choi, Paul Tae-Woo Lee, Hing Kai Chan and Yongzheng Gao

This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.

446

Abstract

Purpose

This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.

Design/methodology/approach

The event study approach is adopted. Market, market-adjusted, Carhart four-factor model and a cross-sectional regression model are employed to examine the impacts of carbon neutral announcements on “stock market value” of Chinese companies based on data from 188 carbon neutral announcements.

Findings

Carbon neutral announcements positively impact Chinese shareholder value. Carbon neutral announcements at the strategic level have a more positive and significant impact on Chinese stock market value. Innovative carbon neutral announcements do not significantly cause Chinese stock market reactions. Companies have more positive and significant stock market reactions when the companies make carbon neutral announcements that reflect high supply chain network resilience and heterogeneity and strong supply chain network relationships.

Practical implications

The findings uncover the business value of carbon neutral activities and provide operations managers in developing countries insights into how to improve enterprises' market value by actively implementing carbon neutral activities.

Originality/value

This paper is the first trial to apply an event study to examine the relationship between carbon neutral announcements and Chinese stock market value from the perspective of announcement level and type and supply chain networks. This paper introduces corporate reputation theory and enriches the application of corporate reputation theory in the field of low-carbon environmental protections and supply chains.

Details

International Journal of Operations & Production Management, vol. 44 no. 4
Type: Research Article
ISSN: 0144-3577

Keywords

Article
Publication date: 29 March 2024

Sharmila Devi R., Swamy Perumandla and Som Sekhar Bhattacharyya

The purpose of this study is to understand the investment decision-making of real estate investors in housing, highlighting the interplay between rational and irrational factors…

Abstract

Purpose

The purpose of this study is to understand the investment decision-making of real estate investors in housing, highlighting the interplay between rational and irrational factors. In this study, investment satisfaction was a mediator, while reinvestment intention was the dependent variable.

Design/methodology/approach

A quantitative, cross-sectional and descriptive research design was used, gathering data from a sample of 550 residential real estate investors using a multi-stage stratified sampling technique. The partial least squares structural equation modelling disjoint two-stage approach was used for data analysis. This methodological approach allowed for an in-depth examination of the relationship between rational factors such as location, profitability, financial viability, environmental considerations and legal aspects alongside irrational factors including various biases like overconfidence, availability, anchoring, representative and information cascade.

Findings

This study strongly supports the adaptive market hypothesis, showing that residential real estate investor behaviour is dynamic, combining rational and irrational elements influenced by evolutionary psychology. This challenges traditional views of investment decision-making. It also establishes that behavioural biases, key to adapting to market changes, are crucial in shaping residential property market efficiency. Essentially, the study uncovers an evolving real estate investment landscape driven by evolutionary behavioural patterns.

Research limitations/implications

This research redefines rationality in behavioural finance by illustrating psychological biases as adaptive tools within the residential property market, urging a holistic integration of these insights into real estate investment theories.

Practical implications

The study reshapes property valuation models by blending economic and psychological perspectives, enhancing investor understanding and market efficiency. These interdisciplinary insights offer a blueprint for improved regulatory policies, investor education and targeted real estate marketing, fundamentally transforming the sector’s dynamics.

Originality/value

Unlike previous studies, the research uniquely integrates human cognitive behaviour theories from psychology and business studies, specifically in the context of residential property investment. This interdisciplinary approach offers a more nuanced understanding of investor behaviour.

Details

International Journal of Housing Markets and Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 13 April 2023

Prapaporn Kiattikulwattana and Ra-Pee Pattanapanyasat

This study examines whether investors value the timing and/or information of mandatory disclosures in a unique research setting of listed companies in Thailand.

Abstract

Purpose

This study examines whether investors value the timing and/or information of mandatory disclosures in a unique research setting of listed companies in Thailand.

Design/methodology/approach

The authors adopt an event-study based approach. Abnormal stock returns are calculated using an OLS market model to measure market reactions to three types of mandatory reports issued by listed Thai firms: financial statements, Form 56-1 and Form 56-2. These reports are released sequentially but contain overlapping information content. Multivariate regression models are employed to examine the market reactions to these regulatory reports and explore the characteristics of firms that affect the market response.

Findings

The stock market reacts differentially to these reports. The financial statements, which are filed the earliest and are the most concise, prompt the strongest reaction. Investors similarly react significantly to Form 56-1 and Form 56-2, although Form 56-2 provides additional information beyond Form 56-1. The market reactions to small firms are stronger. Collectively, equity investors focus on the timeliness of disclosures rather than the information disclosed in the mandatory reports.

Practical implications

The evidence provides support for ongoing regulatory initiatives aimed at improving the timeliness of mandatory disclosures in emerging economies.

Originality/value

Prior studies on disclosure regulation investigate either the effect of information content or the timing of mandatory disclosures in isolation. The authors differentiate the effect of information content from disclosure timing and extend the literature by suggesting that investors incrementally value timeliness of disclosures. Investors perceive the benefit of the timely release of quantitative information compared to subsequent narrative disclosures. Between Form 56-1 and Form 56-2, the earlier release of the narrative non-financial information is incrementally traded into share prices.

Details

Journal of Accounting in Emerging Economies, vol. 14 no. 2
Type: Research Article
ISSN: 2042-1168

Keywords

Open Access
Article
Publication date: 22 November 2023

JunHyeong Jin, JiHoon Jung and Kyojik Song

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take…

Abstract

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading strategies to the simple buy-and-hold returns. The authors find that the trading strategies based on single indicators or the combination of two indicators do not generate higher returns than buy-and-hold returns among cryptos. These findings suggest that cryptocurrency markets are weak-form efficient in general.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 32 no. 1
Type: Research Article
ISSN: 1229-988X

Keywords

Article
Publication date: 6 September 2023

Jason X. Wang, Tsan-Ming Choi, Lincoln C. Wood, Karin Olesen and Torsten Reiners

Sustainable supply chain management (SSCM), driven by the downstream buyers' power, transfers sustainability responsibilities to the upstream supplier. In contrast to the…

Abstract

Purpose

Sustainable supply chain management (SSCM), driven by the downstream buyers' power, transfers sustainability responsibilities to the upstream supplier. In contrast to the heavily-focused buyers' perspective in the literature, the authors investigate how this buyer-driven SSCM influences suppliers' performance, using the measure of stock market reaction.

Design/methodology/approach

Grounded by the resource dependence theory (RDT), the authors empirically analyze the power effect on suppliers. Event study methodology and regression analysis are used, based on a sample of 1977 paired supplier observations from 1990 to 2016.

Findings

The result suggests that although a negative stock market reaction for suppliers in SSCM exists, the effect is less negative at a high level of buyer and supplier dependence. For the investigation of the “consolidated SSCM initiative,” where buyers acquire exogenous power by collaboratively managing SSCM with their peers, the authors uncover that the negative impact of this consolidated SSCM initiative can be mitigated by the high interdependence that generates relational norms in the dyads.

Research limitations/implications

The authors focus on dyadic relationships. Future research can use the study's findings to study the SSCM diffusion to lower-tier suppliers.

Practical implications

This paper has good managerial implications for both suppliers and buyers. The authors propose dependence-based strategies for supplier managers to reduce uncertainty in SSCM. Moreover, buyer managers can use the study's findings to strengthen suppliers' commitment.

Originality/value

The novelty of examining the suppliers' perspective contributes to exploring the supply chain impact of SSCM. The authors extend RDT and show that high dependence is not necessarily detrimental to suppliers in this buyer-driven SSCM context. The interesting finding of interdependence in the context of the consolidated SSCM initiative brings new insights that relational norms constrain the leverage of power in the dyads and are beneficial to the power-disadvantageous suppliers.

Details

International Journal of Operations & Production Management, vol. 44 no. 3
Type: Research Article
ISSN: 0144-3577

Keywords

Article
Publication date: 7 September 2023

Jeferson Carvalho, Paulo Vitor Jordão da Gama Silva and Marcelo Cabus Klotzle

This study investigates the presence of herding in the Brazilian stock market between 2012 and 2020 and associates it with the volume of searches on the Google platform.

Abstract

Purpose

This study investigates the presence of herding in the Brazilian stock market between 2012 and 2020 and associates it with the volume of searches on the Google platform.

Design/methodology/approach

Following methodologies are used to investigate the presence of herding: the Cross-Sectional Standard Deviation of Returns (CSSD), the Cross-Sectional Absolute Deviation (CSAD) and the Cross-Sectional Deviation of Asset Betas to the Market.

Findings

Most of the models detected herding. In addition, there was a causal relationship between peaks in Google search volumes and the incidence of herding across the whole period, especially in 2015 and 2019.

Originality/value

This study suggests that confirmation bias influences investors' decisions to buy or sell assets.

Details

Review of Behavioral Finance, vol. 16 no. 2
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 14 November 2023

Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav and Pankaj Kumar

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a…

Abstract

Purpose

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.

Design/methodology/approach

This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.

Findings

The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.

Originality/value

This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

Details

Journal of Modelling in Management, vol. 19 no. 3
Type: Research Article
ISSN: 1746-5664

Keywords

Content available
Article
Publication date: 20 November 2023

Rajesh Desai

This study aims to study the response of the stock market to the announcement of compulsory environmental, social and governance (ESG) disclosure regulation in the context of the…

Abstract

Purpose

This study aims to study the response of the stock market to the announcement of compulsory environmental, social and governance (ESG) disclosure regulation in the context of the Indian economy – one of the largest emerging economies. The study also examines the role of carbon sensitivity and pre-ESG disclosure.

Design/methodology/approach

Daily stock price data of 940 listed companies has been collected for 276 trading days to compute abnormal returns. The current study is based on event study methodology to analyze the announcement effect of disclosure regulations. Furthermore, to check the robustness of results, cross-sectional regression has been applied to correct for potential heterogeneity.

Findings

Results of the event study signify that the equity share market has reacted positively and significantly to the mandatory ESG disclosure regulation. Furthermore, the study also confirms the mitigating role of carbon sensitivity and pre-ESG disclosure as carbon nonsensitive (non predisclosure) firms have witnessed a more intense effect of regulation as compared to sensitive (predisclosed) corporations.

Practical implications

Current findings assist managers in understanding investor perception toward nonfinancial disclosures. Corporate managers can use disclosure as a tool to enhance the firm value and reduce information asymmetry by providing relevant information. Furthermore, policymakers can use the findings of present research to disseminate the advantages of adopting ESG disclosure practices thereby improving the transparency and governance among business firms.

Originality/value

To the best of the author’s knowledge, this study is the first to provide empirical evidence on the market response to compulsory ESG disclosure framework in the emerging context of India. Furthermore, considering the infancy stage of ESG research, the present research contributes to the body of knowledge by empirically testing the disclosure theories.

Details

International Journal of Law and Management, vol. 66 no. 2
Type: Research Article
ISSN: 1754-243X

Keywords

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