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Using measures of physical risk from climate change, we develop a methodology to allocate currency pairs according to a country’s vulnerability to climate change and construct portfolios with decreasing vulnerability to physical risk. We show that non-G10 currencies are more vulnerable to physical risk, have become less vulnerable over time, and that the vulnerability measure is correlated with higher losses from natural disasters. Portfolios exposed to currencies with decreasing vulnerability have exhibited positive abnormal returns, with the abnormal return coming from currencies that have relatively high levels of vulnerability. These results exist in non-G10 currencies, while no relation to returns exist within G10 currencies.

This paper revisits the controversial question of whether long-run abnormal returns are associated with major corporate events. Our analyses investigate initial public offerings (IPOs), seasoned equity offerings (SEOs), mergers and acquisitions (M&As), and dividend initiations. In an attempt to resolve ambiguous empirical evidence with respect to these events, we conduct a variety of tests for abnormal long-run performance, including buy-and-hold returns (BHARs), different calendar time approaches, and a recent standardized test. Empirical tests for these different methods consistently detect significant long-run abnormal returns for all four corporate events. We conclude that long-run abnormal returns exist with respect to these major corporate actions.

Purpose This study aims to examine the relationship between the types of discontinued operations (i.e. income-increasing versus income-decreasing) and a firm’s dividend payout policy. The authors extend our analysis to examine whether equity investors react differently to dividend payout changes that are preceded by the reporting of different types of discontinued operations. Design/methodology/approach Ordinary least squares regressions are used to test the association between discontinued operations and dividend payouts. The investor response test uses cumulative abnormal return around the announcement of dividend payout changes. Findings The authors find that firms temporarily increase (decrease) their dividend payout in the quarter following the reporting of income-increasing (income-decreasing) discontinued operations. The authors further find that these results are stronger when the magnitude of the income increase or income decrease is larger and when firms report disposal gains or losses. Although prior literature finds evidence that dividend increases are associated with a significant positive market reaction, the results show that investors do not react positively to dividend increases that are preceded by reporting income-increasing discontinued operations. Originality/value This study adds to the literature on the effects of financial reporting (i.e. the types of discontinued operations) on a firm’s payout policy (i.e. dividend payout). The authors also add to the literature that examines investors’ perceptions of a firm’s payout changes when such changes are transitory in nature.

This study identifies Indonesian investors’ reactions to the drop in stock prices on the Indonesia Stock Exchange market, during the early months of the COVID-19 crisis, before and after the World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables that influence stock returns on this market during the financial crisis caused by the COVID-19 pandemic. This study uses a regression analysis of 70 firms, listed on the Indonesia Stock Exchange to examine the pandemic’s influence on trading volume, market capitalization, profitability, and book value for the period December 31, 2019, to April 30, 2020. The results show that stock returns were lower in the early period of the financial crisis caused by the pandemic. Firms’ trading volumes, profitability and book values positively affected stock returns and their market capitalization negatively affected stock returns during the study period. This study contributes useful insights to the finance literature and stock-market participants in terms of dealing with stock markets during financial crises. This study recommends that in any crisis investors should begin buying stocks or increasing their stock purchases to achieve abnormal returns by choosing stocks that perform well in terms of firm profitability and book value by looking a number of financial factors.

Investment is a commitment to sacrifice current consumption with the aim of increasing consumption in the future. On January 30, 2020, the Ministry of Finance issued Regulation of the Minister of Finance number PMK199/PMK.10/2019, concerning import duty tariffs for retail imported goods. This regulation aims to protect the domestic industry due to the increasing transaction of imported goods using online methods, and is expected to reduce the current balance deficit. This research uses event studies method, which is when the new policy will affect the share price of certain sectors. However, when the provision is established it only has a relatively less strong influence on the volatility of its main share price in the manufacturing sector. Stock price volatility in IDX occurs precisely when the world occurs covid-19 pandemic and the announcement of events that in Indonesia is also affected starting in March 2020. The share price in the manufacturing sector has dropped sharply but there are also subsectors that have strengthened in price

A phenomenon found in several case studies shows that investors are more interested in the projection of firm value than in periodic financial performance. Therefore, this study aims to determine whether the reputation of capital expenditure is an indication of a promising future for a company, so that it responds positively to the market. The research samples used were companies that had the highest increase in shares in their sectors during the Q1 2017 to Q2 2019 period. We used Tobin's Q (TQ) and cumulative abnormal return (CAR) as proxies for market response. The findings of this study are, first, that the market responded positively to the reputation of corporate capital expenditure, as seen from asset growth. Second, in the sample group with positive asset growth trends in the last five years, the reputation of capital expenditure, proxied by total assets and total fixed assets, consistently received positive responses from investors. Third, the market responded negatively, or had no response, to capital expenditure made by companies that had a negative growth trend. The results of this study invalidate the findings of previous studies that good financial performance responds positively. This study proves that the capital expenditure of a company is more of a concern to investors than its current performance.

This paper studies a sample of Euro-Mediterranean countries to test the link of political-financial interdependencies. We focus specifically on the impact of the occurrence of national elections on the reaction of financial markets. We used the GARCH (1,1) model and the concept of the volatility multiplier to test our hypotheses. The results established that political elections have a significant impact on stock market performance and volatility for Euro-Mediterranean countries. We detected anomalous behavior in stock market returns. Stock market returns on election day and in the days following the election are inversely higher as uncertainty about the election outcome decreases. Investor uncertainty, combined with the consequences of the multiparty system in Euro-Mediterranean countries, leads to negative abnormal returns around elections. In terms of volatility, we found that the greater degree of uncertainty about the situation and the market disruption affected by the media and social networks increase volatility before election day.

This study aimed to discern the short-term influences of the Covid-19 pandemic on the Indonesia Stock Exchange. The stocks from nine industries in Indonesia Stock Exchange were putting to use in this study. In this study, the short-term cumulative abnormal return was calculated by applying the data taken from 59 days of trading after the confirmation notice of the first Covid-19 case in Indonesia. The result of the study depicted a Return in the event window (+1,+9) dropped drastically, which later bounced back; There was no cumulative abnormal return in the pre-event, and Cumulative abnormal return started to appear during event and post-event.DOI: 10.26905/jkdp.v25i3.5796

This study aims to examine the use of the momentum strategy of domestic investors who trade small order sizes on IDX. The data used in this study is intraday trade transaction data from the LQ 45 Index for March, April and May 2017 obtained from The Indonesia Capital Market Institute. The method of data analysis used is the market-adjusted model approach. The results of this study indicate that domestic investors who trade in small order sizes tend to use the momentum strategy in government and non-government stock issuers. This finding implies that when IDX is in a good performance, investors should take advantage of this condition because buying stocks that have already been performing well provides a significant short-term abnormal return.

This study aims to analyze the reaction of the capital market to the increase in cigarette excise in Indonesia. This study focuses on cigarette companies listed on the Indonesia Stock Exchange as an increase in excise tax has an impact on the cigarette industry. There are 4 companies that are included in the cigarette industry which are the samples of this study. This study uses an event study to examine the effect of Abnormal Return, Trading Volume Activity and Bid-Ask Spread before and after the increase in excise tax. The findings of this study are that there is no difference in abnormal returns both before and after the announcement of the policy on the increase in cigarette excise in 2020. Other findings indicate that there is no difference in trading volume activity both before and after the announcement of the policy for the increase in cigarette excise in 2020. Other findings indicate that there is no difference in bids. ask spread both before and after the announcement of the 2020 cigarette excise tax increase. Keywords : Abnormal Return, Trading Volume Activity, Bid-Ask Spread and Event Study

PurposeDrawing on three theoretical frameworks, this paper aims to examine the effects of state-owned enterprises (SOEs) and the interaction between SOEs and prior acquisition experience of Chinese domestic and cross-border acquirers.Design/methodology/approachUsing a sample of 4,116 firms consisting of 3,939 domestic mergers and acquisitions (M&As) and 177 cross-border M&As over the period 2004–2017, this study adopts both accounting- and market-based performance measures, namely, return on assets, return on equity and buy-and-hold abnormal return to analyse the effects of SOEs and the interaction between SOEs and prior acquisition experience on acquirers’ performance.FindingsFirst, this paper finds SOEs to exert a positive influence on acquirer performance, contrary to agency theory but in line with the resource-based view. However, the positive relationship between SOEs and performance appears more pronounced for domestic M&A compared to cross-border M&As. Second, this study also finds prior acquisition experience and the combined effect of SOE and prior acquisition experience to have a positive and significant bearing on performance.Research limitations/implicationsThe limitation of this study is the lack of cross-border M&A data with all the relevant information compared to domestic M&A. Thus, the cross-border M&A sample appears lower compared to the domestic M&A sample.Practical implicationsThe results imply that the moderating role of prior acquisition experience on the relationship between SOEs and performance appears to be crucial for cross-border M&A performance compared to domestic M&A.Originality/valueThe findings of this study show SOEs increase performance, contrary to the widely held view based on agency theory that SOEs are inefficient.

The efficient market hypothesis implies that no investor can get an abnormal return. This hypothesis has become a research topic that many researchers refer to. However, this hypothesis is strongly refuted after the discovery of several anomalies that are inconsistent with the efficient market hypothesis. One of them was found by De Bondt and Thaler (1985), that stock prices have a certain tendency, namely that stocks that perform well in one period will become stocks that perform poorly in the next period. Vice versa. This phenomenon is called overreaction or overreaction. These findings motivated further researchers to apply contrarian strategies to gain an advantage when there was an overreaction. This research is a study that is intended to obtain evidence of the ability of contrarian strategies in obtaining abnormal returns. This study aims to analyze the occurrence of overreaction on stocks on the Indonesia Stock Exchange and to analyze the advantages of implementing a contrarian strategy for investors. This research was conducted at companies listed on the Indonesia Stock Exchange. The companies selected were 100 companies with the most active transactions during 2019. From the results of data analysis, it can be concluded that there was a price reversal for the shares listed on the Indonesia Stock Exchange. This result is quite strong because it has been tested for up to 4 weeks. Despite the price reversal, the contrarian strategy was not able to generate significant returns for investors.Keywords :contrarian strategy, abnormal return, overreaction

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

The announcement of the Domestic Market Obligation (DMO) coal price policy becomes the signal for investment decision making. The event was an announcement related to the government that can affect shares in the capital market. The form of capital market efficiency knows how equal the information that investors can absorb and the signal that indicates investors’ response, whether it is positive or negative. This research is a descriptive event study that uses twenty-one samples of coal mining subsector companies to determine capital market reactions to the Domestic Market Obligation (DMO) coal price policy announcement. During the observation period, there was a significant market reaction with a marked abnormal negative return. There is a leak of information before implementing policy, which makes the form of capital market efficiency is semi-strong form. Also, this is caused by the investor, which gets the difference of information degree based on the market efficiency hypothesis. The next research can use different event windows to increase the knowledge about the effect of the announcement of the Domestic Market Obligation (DMO) coal price policy towards market reaction.

PurposeThis paper investigates if investors consider legal insider trading data while making investment decisions. If any investment decision is based on insider transactions, then it will result in abnormal stock characteristics. The purpose of this paper is to investigate if insider trading affects stock characteristics like price, return and volume. The paper further investigates the effect on stock characteristics after the trade of different types of insiders and the relationship between abnormal return and abnormal volume.Design/methodology/approachThe study uses the event study method to measure the abnormal price, return and volume. Two-stage least square regression is used to investigate the relationship between abnormal return and abnormal volume.FindingsThe insider trades affect price, return and volume. The results are identical for both buy and sell transactions. The trades of different types of insiders have diverse effects on stock characteristics. The trades of substantial shareholders give rise to the highest abnormal price and return, whereas the promoters' trades result in the highest abnormal volume. No relationship is detected between abnormal return and volume.Originality/valueA novel method to calculate the abnormal price is proposed. The effect of trading of all types of insiders on stock characteristics is analyzed. The relationship between abnormal return and abnormal volume, after an insider trade, is investigated.

PurposeCertification 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/approachThis 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.FindingsThe 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/implicationsThe 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/valueBased 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.

Leveraging from the recent short sales deregulation in China, we examine whether analyst optimism bias increases or decreases in the presence of short sales. We use a novel approach of conducting a textual analysis of research reports to quantify analysts’ negative tone on their covered stocks to proxy for their negative information production and disclosure both pre- and post-short sales deregulation. Using a difference-in-differences approach, our findings suggest that, after short sales deregulation, analysts engage in more negative information production and disclosure as revealed by a more negative tone in their analyst reports. The findings are robust to a battery of checks. Additional analysis suggests that when a covered firm obtains future financing or has high institutional ownership, the extent of negative analyst tone in research reports weakens, indicating that analyst conflicts of interest continue to affect analyst research optimism. Finally, we document that negative information production and disclosure by analysts mediates the impact of short sales deregulation on stock price idiosyncratic volatility and cumulative abnormal return, which suggests the important role of analysts in capital market efficiency.

The more important the role of the stock exchange in economic activity, the more sensitive the stock exchange is to various surrounding events, whether they are directly related to economic issues or not. The announcement of the first case of the coronavirus in Indonesia is one of the events that have the potential to affect market behavior. This study aims to analyze the reaction of the capital market to the announcement of the first case of the coronavirus in Indonesia. This study used an event study approach with measurements seen from differences in abnormal returns and trading volume activity before and after the event. The research sample was 45 companies selected by the purposive sampling technique. Data analysis used paired sample t-test on normally distributed data and Wilcoxon test on data not normally distributed. The results showed that there was no difference in abnormal returns and trading volume activity before and after the announcement of the first case of the coronavirus in Indonesia. This study concludes that events do not contain significant information that can influence investors' decisions in the capital market.

More and more Chinese-listed companies report the loss of controlling shareholders in recent years. This seems to be a boon to the Chinese capital market, which is plagued by tunnelling from contro...

This study aims to reveal the behavior of investors on the Indonesia Stock Exchange (IDX) before and during (early) the COVID-19 pandemic. This study is an extension of references to understand market reactions in response to future crises. This study is an event study with a time window of 76 trading days before and after the first case was officially announced by the authorities in Indonesia. Taking a sample of stocks included in the Liquid Index (LQ) 45, this study measures the abnormal return and transaction volume during the pre and post-first official announced cases and test the whole data by t-test. The results of data analysis indicate that there is no difference in abnormal returns, but there is a significant difference in transaction volume. These findings indicate that, in general, the Indonesian market is quite efficient, as evident from the absence of different abnormal returns. On the other hand, the market also appears to be cautious in making investment decisions amid uncertainty.

This study presents data on abnormal stock return movements with simple calculations. The result of deep analysis using event study method from major stocks in each sector, prove that There is negative response by the market to the student demonstration during the end of September 2019 that create abnormal return condition until it gets back to be normal in the middle of October. The sectors studied include the banking sector, construction, infrastructure, consumer needs, media, industrial materials, machinery, mining, and health care. Stock returns in Indonesia with inefficient market conditions are vulnerable to issues. Capital markets tend to be easily influenced by political and macroeconomic conditions, but even though the condition of return is abnormal, investors still have the potential to get favourable results. Keywords: Stock market, Market efficiency, Event study, Stock Price, Stock Returns

This study empirically examines the impact of the intelligent logistics transformation (ILT) announcement on companies' shareholder value. The market model is used to estimate abnormal return. ILT inspires a significantly positive average (median) market response on the announcement day. There is a strong relationship between the announcing firm features like industry features and abnormal returns. The announcement features like investment direction of ILT also affect the market response. In addition, an interesting finding is that firms with worse prior financial performance than the industry level will receive a more positive market response when they conduct ILT by establishing an information platform.

Research aims : to examine the existence of stock’s abnormal return after dividend announcement activity. Design/methodology/approach : event study with 1.330 samples of dividend announcement in ASEAN countries during 2018. The research period was 21 days around the dividend announcement’s date. Research findings : this analysis's results agreed with the dividend signaling theory hypotheses, where the increase, decrease, or constant dividends could be an informative aspect for investors. Theoritical contribution/originality : it was shown by the presence of a positive abnormal return between an increase and a constant dividend, while a negative abnormal return between decrease dividends. Practitioner/policy implication : in the ASEAN capital market, it could be concluded that the change of dividend nominal would signal the firm’s prospect. Research limitation/implication : this research used the earliest dividend announcement before revision. Suggestions for further research are to pay attention to announcements of changes in dividend distribution dates and nominal revision, whether they contain information for investors, which will affect stock price movements.

We examine whether and how the market interacts with investor sentiment in the context of seasoned equity offerings (SEOs) by Chinese listed firms. We adopt the component of market index return, which cannot be explained by fundamental macro-economic factors as a proxy for the market-wide investor sentiment, and overnight stock returns proxying for the firm-specific sentiment. We find robust evidence that investor sentiment drives the pre-announcement abnormal return. In the post-announcement period, the market corrects the sentiment-driven overvaluation within about one month. These findings reinforce the view that market timers take advantage of investor sentiment to issue seasoned shares.

This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock exchange. The data covers 1,220 stock dividends associated with 305 companies over the period 1997-2018. A positive abnormal return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts to significantly rise ten days before ex-day and reaches its highest level on the ex-day before falling back in the days following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset size and a company’s market value. The share of listed companies with higher stock dividend pay-out ratio or lower asset size or lower market capitalization, can generate respectively 5.97%, 6.08% and 5.88% abnormal return over market index return.

The objective of this study is to investigate how investors in the Stock Exchange of Thailand practically trade in response to a magnitude of profits and losses, given a discussion of the widely well-known behavioral explanation, so called as the disposition effect. We provide empirical evidence of an existence of the V-shaped disposition effect, which has been recently found in several advanced equity markets. By adopting the methodology suggested by An’s (2016) and Fama and Macbeth (1973), we document that stock return patterns in relation to aggregate unrealized gains and losses of investors are consistent with the V-shaped selling schedule, given an increase in unrealized gains and losses over the period of January 1996 to December 2015. The effect of unrealized gains is stronger than that of unrealized losses and this asymmetry underlies the existence of the V-shaped disposition effect in the Thai equity market. Interestingly, the effect of the V-shaped selling schedule is strongest over the short-term holding time horizon. Last but not the least, stocks for which investors have large unrealized gains and losses outperform in the following month and the long-short trading strategy, based on this premise, generates the average 1.7% monthly (equivalent to 20.0% per year) abnormal return.

This study aims to determine and analyze the impact of bad news and good news on changes in stock returns of the four state-owned banks of Indonesia, period 2018. The population of this study is consists of four state-owned banks in Indonesia. Using a saturated sampling technique obtained four sample companies. Event study used to examine abnormal return around good news and bad news press release (announcement) date. The analysis technique used is Statistics Descriptive, One Sample Kolmogorov-Smirnov, Paired Sample T-Test, and Wilcoxon Sign Rank Test. There is no significant difference between before and after the press release of bad news. From ninety-six press releases of good news, five press releases showed there is a significant differences between before and after the press release of good news.

The regular pattern of quarterly earnings announcements sets up a predictable pattern of information asymmetry in the market. Both regulatory restrictions and voluntary corporate restrictions direct trading to low information asymmetry periods. To understand the effect of these restrictions, this study examines insider trading in three different windows: white windows (3–12 trading days after the earnings announcement, periods with low information asymmetry), black windows (all the other days in the quarter, periods with higher information asymmetry), and the blackest windows (the last 10 trading days of the black window, periods with the highest information asymmetry). First, our results show that a large proportion of insider trading in the United States takes place in the black window. Second, we document that trading in the white period exhibits a strong self-selection bias. We also show that the excess returns earned by black period trades vanish if postponed to the next white period following the earnings announcement. Finally, we show that a relatively large proportion of pre-specified trading under SEC-sponsored 10b5-1 plans are filed for black window periods, but the difference across black and white window plans is a matter of frequency of trade rather than the magnitude of profits. Overall, these results suggest that insiders balance the risk and profitability of their trading in white and black windows and that insider trading restriction in high-information asymmetry periods is not effective in practice.

PurposeThe purpose of the study is to examine overreaction effect in the Chinese stock market after the global financial crisis (GFC) of 2007 for all the stocks listed in Shanghai Stock Exchange (SSE) Composite 50 index.Design/methodology/approachTo capture overreaction effect in the stock listed at SSE 50 Index, a time series analysis of average cumulative abnormal return within a unified framework is applied for the period of January 2009 to December 2015. From these loser and winner portfolios, contrarian strategy is applied to build arbitrage portfolio, which is the difference of mean reversions between loser and winner portfolios. The portfolio construction is based on a 12-month formation period and 6-month testing period for intermediate-term analysis and. for short-term analysis, 6 month formation and 3 month testing periods. The authors also applied regression analysis to test a return reversal effect for the sampled period.FindingsResults show that contrarian strategy yields positive excess returns for the arbitrage portfolio for most of the testing periods. The intermediate baseline case shows the arbitrage portfolio producing an average excess return of 14.1%, while even the short-term one produces 4%, which is statistically significant at the 5% level. The study finds asymmetrical overreactions in the SSE especially for loser portfolios. The biggest winner and loser portfolios follow the mean reversal effect. Moreover, before-after test for the biggest winner and loser portfolios shows that the losers recovered and beat the market immediately.Practical implicationsThe study could benefit government, policy makers and regulators by studying how presence of more individual investors than institutional investors of China stock market leads to more irrational decisions giving rise to volatility. The regulators could build favourable policies for institutional investors to give them incentive to invest more than individual investors through which market volatility could be controlled.Originality/valueThis research contributes to market behaviour research, showing how working under hypotheses of overreaction; gains can be made with contrarian investment strategy through arbitrage portfolios. The authors provide specific additional support for the short and medium-term overreaction in the SSE for the period 2009–2015 using regression analysis.Contribution to ImpactThis research contributes to market behaviour research, showing how working under hypotheses of overreaction; gains can be made with contrarian investment strategy through arbitrage portfolios. We provide specific additional support for the short and medium-term overreaction in the SSE for the period 2009–2015 using regression analysis.

Using comprehensive data on journalist assassinations around the world, we study the effect of journalist killings on stock returns. Our event study results show an average price drop of −0.46% fol...

This paper investigates the distinct market reactions to the COVID-19 outbreak by focusing on two groups of stocks in the Chinese stock market, i.e., the stay-at-home (SAH) stocks, and the go-outsides (GO) stocks. The empirical results mainly reveal that: (1) for the GO stocks, there exists a significantly negative return on the event date and the cumulative abnormal return reveals reversal pattern; (2) for the SAH stocks, no significantly negative return is observed on the event date and the cumulative abnormal return continues to increase; and (3) generally speaking, the reaction of the GO stocks supports the price pressure hypothesis, while the reaction of the SAH stocks supports the information diffusion hypothesis. Our results suggest that investors in the Chinese stock market could moderately interpret the good news but underestimate the bad news.

The research investigated the reaction to Jakarta Islamic Index (JII) stocks around the Indonesia Presidential and Legislative Election in 2019. It was the first time that the election of the president and legislative assembly was held on the same day in Indonesia. The sample used was 30 stocks of JII. The event study methodology was conducted on this issue. The results show a significant positive abnormal return on the tenth day before the event and the seventh day after the event. From the liquidity, it is found that this event has a strong effect on Trading Volume Activity (TVA) of JII stocks surrounding the event. Additionally, another liquidity proxy, namely bid-ask spread, has the same result by experiencing a significant positive difference before and after the event. These results indicate that the information on the event is sufficient to influence the price, TVA, and size of the bid-ask spread of JII stock.

PurposeThe purpose of this research is to study the impact of divestitures on shareholder wealth. This study covers selloffs of publicly traded companies in Germany, Austria and Switzerland (DACH region) during the period 2002–2018. It aims to understand the overall effect of selloffs on shareholder wealth as well as the impact of important influencing factors.Design/methodology/approachThis study is part of capital market studies which investigate shareholder wealth effects (abnormal returns) using event study methodology. To determine the significance of abnormal returns, a standardized cross-sectional test as suggested by Boehmer et al. (1991) was applied. The sample consists of 393 selloffs of publicly traded companies with a deal value of at least EUR 10m.FindingsThe findings confirm the overall positive impact of selloffs on shareholder wealth. The average abnormal return on the announcement day of the sample companies amounts to 1.33%. The type of buyer, the relative size of the transaction as well as the financial situation of the seller in particular seem to influence abnormal returns positively.Originality/valueThis study investigates shareholder wealth creation through selloffs in the DACH region, a largely neglected region in divestiture research, but now very relevant due to increasing pressure of active foreign investors. Sophisticated statistical methods were used to generate robust findings, which are in line with the results of similar studies for the US and the UK.

How does an investor value the announcement of new business integration? The history of acquirer’s acquisition may matter for investors. Existing research are divided to the positive or negative answer to the question. Based on the global evidence of 24,263 acquisitions across 81 countries over 19 years, this paper argues that the current contradictory views have failed to take into account the time interval between acquisitions. This is because the wavelength of merger frequency can change the investors’ expectations of new business integration and so investment returns. With control of the time interval of a new merger we discover that more mergers generate lower abnormal returns. This finding extends our understanding of the value perception of investors on a merger announcement that can be affected not only by merger numbers but also by their time distribution.

This research discusses the stock abnormal return effect of warrants to its underlying stock on its listing and maturity date. This study sample is the stock price changes of stocks backed with a warrant in the Indonesian stock market for the year 2008 to 2018—using an event study approach to observe stock abnormal return effect on the listing and maturity date of warrants. The results of this research are that we find a significant negative abnormal return around the warrants' listing date. On the warrants' expiration date, we find a significant negative effect before and after the money warrants' maturity date. However, a different result is obtained for the observation of out-of-the-money warrants that do not show any significant abnormal return on the event window.

Purpose The purpose of this paper is to study the pattern of long-run performance of small and medium enterprises (SMEs) initial public offerings (IPOs) and examine the firm- and issue-related determinants of long-run performance of SME IPOs in India. Design/methodology/approach The 3 6, 9 and 12 months share returns of Indian SME IPOs is studied using event time methodologies, i.e. buy and hold returns, cumulative abnormal returns and wealth relatives on a sample of 375 SME IPOs issued during February 2012 to May 2018. Additionally, ordinary least square regression has been used to investigate the determinants of long-run performance of SME IPOs on a reduced sample of 104 because of non-availability of price observations. Findings The findings reveal that Indian SME IPOs exhibit long-run overperformance contradicting the international evidences of underperformance, and this overperformance is significantly evident using buy and hold abnormal return (BHAR). Furthermore, based on the divergence of opinion hypothesis, fads theory and windows of opportunity hypothesis, the results reveal that on one hand, issue size and oversubscription negatively affect BHAR, while on the other hand, auditor reputation, underwriter reputation, hot market, underpricing, inverse of issue price, profits prior to listing positively affect long-run performance. However, firm age, firm size, debt equity ratio, volatility and long-run performance computed through BHAR lacks significant relationship. Research limitations/implications The study relied on event time methodology of measuring aftermarket performance of one year because of the limited availability of price offerings. Hence, the study could be extended to analyze aftermarket returns over a period of three to five years to enable reaching the vivid conclusions. Calendar time methodology may also be used to compute abnormal returns. Practical implications The results based on the study provides an implication to the investors by providing them an opportunity to bank higher long-run returns by engaging in active and timely trading strategies. Nevertheless, the results also show that investors should be cautioned while taking investment decisions. Originality/value The study contributes to rising body of international literature by analyzing the larger and recent sample of IPOs issued from 2012 to 2018 listed on SME exchange.

PurposeThis paper aims to revisit the extant evidence on gender bias in the market. Specifically, it revisits reaction to CEO announcements. Also, it explores whether the development of the bias over time and by firm size aligns with existing theory.Design/methodology/approachThe paper examines cumulative abnormal returns around CEO announcements from 1992 through 2016 using a modified event study methodology. This evidence shown examines market reactions over time and by firm size.FindingsFinancial markets react more favorably to male CEO announcements, with a cumulative abnormal return of 49 basis points above the reaction to their female counterparts. Moreover, the paper finds that market reaction varies over time, which may be because of the increasing proportion of female CEOs, and by firm size, which may be due to the differences in new information available to investors.Research limitations/implicationsLimitations include sample size due to the paucity of female CEO announcements. This paper does not examine the effect of industry, detailed CEO characteristics or announcement content on market reaction. In addition, using an extended event window may increase the likelihood of capturing confounding events, such as mergers or earnings announcements, which limits the interpretability of the results.Practical implicationsGender bias in financial markets creates another institutional barrier for the advancement of female professionals, as well as implies inefficient capital allocation in markets.Originality/valueThe literature in this field is still inconclusive. Furthermore, bias development over time and the effect of information on bias remain unexplored. This study aims to fill that gap; furthermore, it introduces an extended event-window approach.

Market noises can lead to optimistic or pessimistic investor sentiments, which draw additional attention from irrational investors. Hence, when additional investor attention is misallocated on worthless information due to market noises, the consequential trading activities will raise stock mispricing and reduce equity market efficiency. In this research, I find a U-shape relation between stock sentiments and the abnormal stock returns driven by Noise-Based Abnormal Institutional Investor Attention (NBAIA). Specifically, an NBAIA event is more influential and generates a much higher (lower) abnormal return if the stock is associated with more positive (negative) sentiment during the event day. Such stock movements are temporary and are the outcome of interaction between investor attention and stock sentiment.

Investors tend to respond to political events information because they are considered to be supporting or risking the stability of the capital market, so they must immediately make investment decisions quickly. Unlike the election process in other countries, this five-yearly election in Indonesia is not just a regularity of changing authorities but also carries an ideological gamble. The 2019 election as a necessary test for Indonesia related to the issue of communist phobia:between secular and conservative. Different from previous research on political events that focus on the electoral period, this study aims to prove the information content of the presidential announcement in 2019 by using a window period of eleven days, which is five days before and five days after the announcements. Tests were conducted on 45 companies registered as LQ-45 companies in 2019. Different samples of paired tests were done using a paired t sample tool by comparing abnormal returns and the level of stock trading activity. By using various tests, this study proves the existence of significant differences in abnormal returns and trading activities in the period before and after the 2019 presidential announcement. So,it was concluded that the 2019 presidential announcement had information content that had an impact on obtaining abnormal returns for investors. This study also proves that investors respond to information and political events as part of their investment decisions.So that daily transaction fluctuations are indicated by a trend of increasing and decreasing selling and buying actions on a spot time

This study applied an event study approach (event study). The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis. Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of SER on the issuer's ROA, ROE and EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

The authors assess the announcement trading returns on the stocks of splitting firms. The authors join the traditional cumulative abnormal return (CAR) approach to estimating abnormal returns with the economic value added (EVA) style approach to investing. The authors’ empirical results are robust for a sample of more than 4,900 stock splits during the 1997–2014 period. The authors argue that alpha returns may be available by longing the stocks of splitting firms at the announcement and holding the trading position open for 5- to 10-trading days thereafter. A notable finding linked to EVA style is that alpha returns were available by longing the stocks of value-creating growth companies and the underinvesting but still positive EVA companies in need of a growth signal. This contrasts with the stocks of value-destroying growth companies where potential shorting opportunities were available. The authors conclude with CAR results for companies having a one-time stock split versus companies with repeat splits, and the authors assess announcement wealth effects on splitting firms around pre- and postdecimalization of US equity prices. TOPICS:Security analysis and valuation, exchange-traded funds and applications, performance measurement Key Findings • Our CAR and EVA style findings on stock-splitting firms confirm both information signaling at time of split announcement and the potential for alpha-generating trading returns thereafter. • For active investors, alpha-generating trading opportunities may be available by longing the stocks of splitting firms at announcement and holding the position open for some 5- to 10-trading days, with potential shorting opportunities on splitting firms thereafter (default event trading window of 30 days). • Based on EVA style classifications, we find that alpha-generating trading returns on stock splitting firms were potentially available on stocks of value-creating growth companies with positive EVA momentum and the stocks of currently underinvesting but still positive EVA companies in need of a growth signal.

The series of debt default has started appearing in Indian markets recently such as DHFL debt crisis, Reliance Capital’s default, IL&FS debt crunch etc. The purpose of this paper is to observe the ...

This study explores the cost of security regulations in China, where firms are required to meet a certain profitability benchmark before applying for permission to raise more equity via secondary equity offerings (SEOs). Using a difference‐in‐differences setting, we show that firms affected by the regulation (i.e., firms with high external financing demands (EFD) but profitability lower than the regulatory requirement) significantly underperform their counterparts, while unaffected firms do not. The affected firms’ performance decline increases (decreases) when the requirement of profitability is more (less) restricted. Consistently, the three‐day cumulative abnormal return (CAR) of firms with high EFD is significantly negative (positive) when the regulation is tightened (loosened). Our study provides evidence on how the cost of regulation affects companies that have growth opportunities.

Theory posits that investors can rationally infer the implications of strategic nondisclosure for firm value, pressuring managers to disclose information voluntarily. This study documents that the lack of an earnings guidance predicts an abnormal return of −41 basis points around the subsequent quarterly earnings announcement, suggesting that investors do not fully incorporate the implications of nonguidance. Further analyses demonstrate that limitations in price efficiency, driven by investors' limited attention and short‐selling constraints, explain the mispricing of nonguidance and are associated with less guidance issuance. Our results collectively highlight limited price efficiency as another friction when studying managers' strategic disclosure decisions.

This study aims to determine the effect of simultaneous elections in Indonesia, namely legislative and executive elections that occur simultaneously together with the reaction in the capital market. Market reaction is measured using trading volume activity and returns stock that occur within the timeframe before and after the holding of simultaneous elections, namely on the date before and after April 17, 2019. The population in this study is the issuer that actively trades its shares on the Indonesia Stock Exchange (IDX) in Compass100 Index stock category. The research hypothesis was tested with an independent sample t-test using software SPPS26. Hypothesis testing results indicate a significant difference in trading volume activity that occurs before and after simultaneous elections. While the variable abnormal return there is no significant difference before and after the election simultaneously. This research is expected to be a reference for all parties concerned including the public towards a political event that occurs in this case specifically the simultaneous elections for decision making related to investment activities in stock instruments

Our paper investigates the response of acquiring firms’ stock returns around the announcement date in cross-border mergers and acquisitions (M&A) between listed Chinese acquirers and German targets. We apply an event study methodology to examine the shareholder value effect based on a sample of M&A deals over the most recent period of 2012-2018. We apply a market model event study based on the argumentation of Brown and Warner (1985) and use short-term observation periods according to Andrade, Mitchell, and Stafford (2001) as well as Hackbarth and Morellec (2008). The results indicate that the announcement of M&A involving German targets results in a positive cumulative abnormal return of on average 2.18% for Chinese acquirers’ shareholders in a five-day symmetric event window. Furthermore, we found slight indications of possible information leakage prior to the formal announcement. Although it shows that the size of acquiring firms is not necessarily correlated with the positive abnormal returns in the short run, this study suggests that Chinese acquirers’ shareholders gain higher abnormal returns when the German targets are non-listed companies.

This study examines whether investing in R&D reduces the impact of exogenous shocks like the COVID‐19 on stock market performance and accounting performance of manufacturing firms in India. For the sample of listed manufacturing firms, the paper finds that the firms engaged in R&D activities had lower negative cumulative abnormal return than those firms that did not invest in R&D in the pre‐pandemic period using multiple event windows. The result suggests that R&D investments can lower value erosion for the shareholders during a severe crisis period. Further, using a difference‐in‐difference fixed effects model, the study finds that manufacturing firms engaged in R&D activities in the pre‐pandemic period exhibited higher return on sales and growth of total income during the pandemic quarter vis‐a‐vis the non‐R&D firms. The favorable accounting performance indicates the possibility of firm‐level R&D being associated with the firm's ability to adjust its functioning during a crisis, thereby reducing the effect of the crisis. Finally, the study documents that government intervention to reduce the spread of the virus had a differential impact on firms based on their industry of operation. The findings have implications for investors, corporate managers, and policymakers in India. [ABSTRACT FROM AUTHOR] Copyright of Journal of Public Affairs (14723891) is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Investing in stock instruments in the capital market is interesting for many investors, both local and foreign. However, when the price of stocks is considered too expensive, that will reduce the purchasing power of investors towards these shares and the liquidity of the shares will decrease as well that will impact the decreasing returns of investors. Overcoming this condition, companies often take corporate action in the form of a stock split. This study analyzes the effect of stock split on abnormal returns of companies listed on the Indonesia Stock Exchange in 2015-2019. Using a purposive sampling method (nonprobability sampling) we obtained 34 companies as a research sample. We use the event study approach for data processing in finding abnormal returns and t-test as well. This study classifies samples into two categories, complex sample category, and sectoral industries. The result shows that for the complex category, there are three out of eleven days of events that have an impact on abnormal returns marked by the t-test results greater than t-table. Whereas in each sectoral industries there are only five affected sectors, three unaffected sectors and one sector cannot be tested due to insufficient data. This result is also consistent with theories related to the stock split, signaling theory, and trading range theory.

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Purpose of the article: Of the various market anomalies, the Value-Glamour anomaly and Post-Earnings Announcement Drifts (PEAD) have consistently attracted the attention of researchers. Prior studies have established that the reaction of value stocks and glamour stocks to the earnings announcement differs significantly and there is a close relationship between the PEAD and abnormal returns arising due to earning announcement surprises. We have studied the drift patterns of various value and glamour portfolios and tested whether the direction of the earnings announcement abnormal return is opposite to that of earnings surprise in the Indian market.Methodology: We use the statistics of 100 firms listed on the NSE for a sample period of 2014–2018. We use a set of 1130 observations analysed using the expectations formation approach around earnings and evaluate the post earnings announcement drift. We use the Earnings Response Coefficients to find the association between abnormal stock returns and earnings surprises.Scientific aim: The aim of this research is to improve the knowledge of market anomalies in developing markets such as India focusing on the impact of earnings announcement on growth and value stocks.Findings: We find that a negative association of abnormal stock returns with surprise in accounting earnings announcements. The stocks, which are overvalued or undervalued, are properly priced after the earnings announcements. Our results refute the earlier studies evidencing the strong support in favour of market inefficiency in the Indian context, particularly with respect to publicly available earnings information.Conclusions: The Indian stock market tends to be efficient with respect to earnings announcements and therefore does not produce excessive returns. However, a heterogeneity with respect to earnings announcement may exist among the category of stocks depending upon liquidity position. Superior returns cannot be derived by traders and investors on a consistent basis from value-glamour anomaly.