Differences In Market Reactions Research Articles

The Impact of the Russo-Ukrainian War on the International Sovereign Debt Market: The Role of Trade Channel

The paper quantifies the impact of the outbreak of the Russo-Ukrainian war on sovereign bond yields for 58 countries. Our findings based on event study methodology and multivariate cross-sectional regression analysis highlight the salient role of trade channel in shaping the markets’ reaction to the hostilities. The uptick in yields was higher in countries with a greater share of agricultural raw materials imports from Ukraine. No other persistent cross-geography differences in market reactions were found. The strength of the reaction was contingent on the individual countries’ macroeconomic conditions. The post-event cumulative abnormal returns exhibited a positive associative link with the baseline inflation in the studied countries pointing to the inflationary pressure portended by the outbreak of war. No statistically significant links between the ex ante situation on the labor market and the subsequent bond market reaction were observed. At the outset of hostilities, the dynamics of yields were driven by the perceived likelihood of escalation, while at later stages, the trade channel appears to have shaped the market response. The paper provides insights into the factors shaping the spillover effects of the war on fixed-income markets and quantifies the speed of market adjustment in response to an external shock.

Eleven sectors’ reaction to the political event 2023: evidence from Indonesia Stock Exchange

Research aims: This study analyzes the differences in market reaction towards eleven sectors in the Indonesia Stock Exchange (IDX) during the political event, i.e., the announcement of the Indonesian presidential and vice-presidential nominees in 2023.Design/Methodology/Approach: This study applied the event study method with indicators of abnormal return, trading volume activity, security return variability, and bid-ask spread. The hypothesis test was a non-parametric test by Wilcoxon Signed Rank Test with a window period of seven days of observation (-3, 0, +3).Research findings: The Wilcoxon Signed Rank Test results revealed a mixed reaction by eleven sectors in IDX to this political event, in which there was a difference and no difference in the reactions.Theoretical contribution/Originality: This study contributes to providing insight into the reaction of eleven different sectors in the IDX to the different announcements of the Indonesian presidential and vice-presidential nominees in 2023. Previous research usually focused on stock indices or only testing one particular sector. Hence, this study investigated eleven sectors in the capital market to compare the different reactions and to expand the results.Practitioner/Policy implication: Research on capital market reactions to political events provides important information for investors to make investment decisions based on investor sentiment that assesses the electability of prospective heads of state to advance the Indonesian economy.Research limitation/Implication: The scope of this study is the announcement of the Indonesian presidential and vice-presidential nominees in 2023; future researchers can continue research on capital market reactions to the Indonesian presidential election 2024 events and add relevant variables, such as foreign sales and foreign buys.

ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY UNTUK MENGUKUR TERJADINYA JANUARI EFFECT PADA KELOMPOK SAHAM INDEKS LQ 45 DI BEI

ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY UNTUK MENGUKUR TERJADINYA JANUARI EFFECT PADA KELOMPOK SAHAM INDEKS LQ 45 DI BEI

Differential Market Reaction to Data Security Breaches: A Screening Perspective

This paper aims to identify breach- and firm-level characteristics that may account for the heterogenous stock market reaction to data breaches. Drawing upon the screening theory, this paper examines the possibility of three breach characteristics (breach severity, breach locus, and breach controllability) and two firm attributes (CEO stock ownership, and corporate social responsibility (CSR) performance) serving as information screens to influence stock market reaction to a data breach incident. Using an archival dataset compiled from multiple sources, we examine 607 data breaches from 2004 to 2018 and find that the stock market reacts more negatively if a breach is more severe (i.e., involving more data records and financially sensitive consumer data), controllable (i.e., could have been prevented), and if the breached firm has weak corporate governance, as indicated by low CEO stock ownership. Furthermore, CSR provides “insurance-like” protection by attenuating the negative effects of breach severity, breach controllability, and poor corporate governance on firm value. The findings of this research highlight the relevance of screening theory as a theoretical lens for examining the contextual dependence of stock market reaction to data breaches on key breach- and firm-level characteristics.

Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition

In this study, we analyze the stock market reaction to 35 events associated with 32 publicly traded companies from six countries that have announced cryptocurrency acquisitions, selling, or acceptance as a means of payment. Our analysis focuses on traditional firms whose core business is unrelated to blockchain or cryptocurrency. We find that the aggregate market reaction around these events is slightly positive but statistically insignificant for most event windows. However, when we perform heterogeneity analyses, we observe significant differences in market reaction between events with high (larger CARs) and low cryptocurrency exposure (lower CARs). Multivariate regressions show that the level of exposure to cryptocurrency ("skin in the game") is a critical factor underlying abnormal returns around the event. Further analyses reveal that economically meaningful acquisitions of BTC or ETH (relative to firm's total assets) drive the observed effect. Our findings have important implications for managers, investors, and analysts as they shed light on the relationship between cryptocurrency adoption and firm value.

COMPARATIVE ANALYSIS OF THE US STOCK MARKET PERFORMANCE: PRE AND POST COVID-19

The financial markets have been significantly impacted by the global COVID-19 epidemic due to international lockdowns and decreased demand, which has further exacerbated the economic situation, including a decline in crude oil prices. The country has experienced economic consequences as a result of the coronavirus and subsequent lockdown measures. The Dow Jones Industrial Average (DJIA) is a price-weighted stock market index that tracks 30 major companies listed on US stock exchanges. While the DJIA is a widely recognized equity index, some professionals argue that it may not provide a comprehensive representation of the overall US stock market compared to larger indices such as the S&P 500 or Russell 2000 Index. This study aims to assess the impact of the stock market shutdown caused by COVID-19. Specifically, it investigates the extent to which the lockdown measures have affected the US stock market and whether there are any differences in market reactions before and after the onset of the pandemic. By comparing the performance of the DJIA index before and after COVID-19, the study aims to uncover the level of influence experienced.

Analisis Reaksi Pasar dan Pergantian Auditor Sebelum dan Sesudah Restatement

The purpose of this study is to analyze whether there are differences in market reactions and auditor changes before and after the restatement the company. In this study, three variables were used, market reaction, auditor changes and restatement. This research used quantitative method. The populations are all company listed on Indonesia Exchange IDX in the period of 2017 to 2019 taken with purposive sampling method. The test method uses the Wilcoxon Signed Rank-Test test because the normality test shows that the data are not normal. The data were processed using IBM SPSS Statistics 26. The results show that there is a difference in the average abnormal return before and after the restatement; there is no difference in the average trading volume activity before and after the restatement; and there is no difference in the change of auditors before and after the restatement because the change of auditors has been regulated in Indonesian regulations.

Market Responses to Private and Public Targets: The Role of Goodwill Valuation*

AbstractInvestors overprice goodwill value acquired from a private target during a merger and acquisition (M&A) announcement. However, the overpricing of goodwill is corrected in the years following the deal's completion. Our results show that investors predict the decreasing value of goodwill and promptly adjust their pricing regardless of goodwill impairment. The differential market reactions to goodwill between private and public targets are economically significant. The pricing on goodwill obtained from a private target is 47% higher around the announcements and 44% (33%) lower one (two) year(s) after the M&A completion than that from the public target.

Perbandingan Reaksi Pasar Sebelum dan Sesudah Pengumuman Kasus Covid-19 Pertama (Event Study Pada Perusahaan Sektor Agrikultur yang Terdaftar di Bursa Efek Indonesia)

This study was conducted to examine and analyze the differences in market reactions before and after the announcement of the first COVID-19 case in Indonesia. This type of research is comparative quantitative using secondary data on stock prices, outstanding shares and trading volume of shares of agricultural sector companies listed on the Indonesia Stock Exchange in 2020. The research sample selection used purposive sampling technique, so that the number of samples from agriculture sector companies was 21 observational data. Hypothesis testing in this study used the paired samples t-test with the normality test using the Kolmogorov-Smirnov test. The results showed that the market reaction proxied by cumulative abnormal return and trading volume activity did not have a significant difference between before and after the announcement of the first Covid-19 case in Indonesia in agricultural sector companies. Based on these results, there is a tendency that market participants do not capture the information content of the announcement of the Covid-19 case that makes the market react.

Market Reaction to Dividend Announcements During Pandemic: An Event Study

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

Hidden in a group? Market reactions to multi‐violator corporate social irresponsibility disclosures

AbstractResearch SummaryThe media often discloses multiple firms' corporate social irresponsibility (CSI) behaviors together (i.e., multi‐violator CSI disclosures). Drawing on attribution theory, we propose that multi‐violator CSI disclosures artificially create “violator groups.” Such violator groups weaken the extent to which investors attribute each violator firm's CSI behaviors to the firm itself and subsequently lessen negative market reactions toward the violator firm. Further, the temporal consistency and context diversity of the focal firm's past CSI behaviors mitigate the relationship between CSI disclosure type (i.e., multi‐violator vs. single‐violator CSI disclosures) and stock market reactions. Empirical findings based on a sample of 1,369 CSI disclosures linked to 506 S&P 1500 firms between 2010 and 2017 support our hypotheses.Managerial SummarySome public media reports disclose multiple firms' CSI behaviors together, while others disclose only one firm's CSI behaviors at a time. These two different frames can result in very different stock market reactions. We find that while the stock market reacts negatively to media reports of firms' CSI behaviors on average, negative reactions are weaker when the media discloses multiple firms' CSI behaviors than when only one firm's CSI behaviors are disclosed. However, this difference in market reactions to multi‐violator versus single‐violator CSI disclosures is smaller for firms that have engaged in many CSI behaviors or have engaged in many different types of CSI behaviors before.

Trust Us to Repay: Social Trust, Long‐Term Interest Rates, and Sovereign Credit Ratings

AbstractThis paper asks whether the sensitivity of market long‐term interest rates and credit ratings is associated with cross‐country differences in social trust. We note a number of theoretical mechanisms that suggest that macroeconomic shocks are more likely to be effectively dealt with in higher‐trust societies. A set of panel estimates across middle‐ and high‐income countries reveals that interest rates and credit ratings are substantially more sensitive to inflation and growth problems in low‐trust countries. This finding sheds light on the differential market reactions to macroeconomic problems in seemingly comparable countries.

Reaksi Pasar atas Publikasi Laporan Keuangan Interim Diaudit Studi Empiris pada Perusahaan-Perusahaan yang Mempublik di Bursa Efek Indonesia

This study was conducted on interim financial statements of companies included in the calculation of the KOMPAS 100 index on the Indonesia Stock Exchange (IDX) with the consideration that the companies' shares included in the KOMPAS 100 index on average per year control more than 75% in volume trade and market capitalization on the Indonesia Stock Exchange (IDX) so that it is considered the most widely traded stock. Hence, it is expected that many interested parties (especially active investors) of the interim financial report and use accounting information from the company in its investment decisions. The study was conducted on quarterly financial statements, mid-year financial reports and quarterly financial statements.The results of this study indicate that the market responds widely to the announcement of the Interim Financial Report I and Interim Financial Report II published by the issuer. On the other hand the market does not respond broadly to the announcement of the Interim Financial Report III published by the issuer.The involvement of auditors in interim financial reports in the form of reviews and complete audits does not have an impact on improving the quality of information on interim financial statements received by investors. This is demonstrated by the absence of differences in market reactions to the publication of interim financial statements.Keywords: Interim Financial Reports, Market Reactions

BAGAIMANA REAKSI PASAR TERHADAP PERISTIWA AMANDEMEN AKUNTANSI IMBALAN KERJA

The purpose of this study is to see the market reaction before and after the event of the work imbalance accounting amendment ratification. This study uses a total of 311 observations of companies listed on the Indonesia Stock Exchange (IDX) during 2013 and uses the Event Study research approach and Paired Sample T-test analysis techniques to test differences in market reactions as indicated by Cumulative Abnormal Return (CAR) before and after. event ratification of the work imbalance accounting amendment. This study found that there was a positive and significant difference in CAR between before and after the event of ratification of the work imbalance accounting amendment. This research has implications for investors to get a picture of the market reaction that occurs as a result of the ratification of the work imbalance accounting amendment. The results of this study indicate that there are differences in market reactions between prior to the ratification of the work imbalance accounting amendment

How has the minimum support price policy of India affected cross-commodity price linkages?

For several decades, the government of India has implemented a minimum support price (MSP) policy for agricultural commodities to reduce price risk levels for farmers. Concerns have been raised about whether this policy could affect market integration of related agricultural products, modify price incentives, and ultimately alter resource allocation and production between commodities. This study uses a panel vector auto-regression model across six states for the period 2002-2017 to analyse the effects of the MSP on the transmission of price shocks between cereals and oilseeds. The results demonstrate that the MSP partially and completely offsets price linkages between agricultural commodities, potentially introducing distortions in price incentives that affect land allocation and production between commodities. Beyond the effects of the MSP across commodities, Indian authorities can expect that price shocks on maize be transmitted to soybean over the next production period. Finally, this study demonstrates that the use of alternative data frequencies can identify differences in market reactions over time that can be related to production cycles and delays in price transmission.

Market reaction to trading statements released by Johannesburg Stock Exchange listed companies

Using the event study methodology, this study investigated the market reaction to trading statements released by a sample of the Top 100 Johannesburg Stock Exchange (JSE) listed companies since the inception of the trading statement regulatory requirements in 2010. There appears to be significant information leakages before the release of trading statements. The share prices on the JSE shows a tendency to incorporate more timely sources of information before the release of trading statements. The results show a differential market reaction in the pre-announcement period. For profit warnings, the market seems to have largely impounded the expected poor earnings before the announcement. In the case of profit upgrades, the market appears to be more cautious and requires confirmatory information for a further positive reaction. A post-announcement earnings drift occurs for a period of thirty days after the announcement. This is contrary to the Efficient Market Hypothesis (EMH) which asserts that new information is reflected in share prices almost immediately. This allows investors and portfolio managers with a trading strategy to outperform the market by investing in companies announcing profit upgrades and profit warnings. The observed market inefficiency can be mitigated by managers disseminating the earnings surprise information to a wide range of stakeholders and market participants rather than relying only on the mandatory regulatory announcement.

Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

Stale Information in the Spotlight: The Effects of Attention Shocks on Equity Markets

Using a regression discontinuity design, we study the causal impact of an influential star analyst award on market reaction and analysts’ post-award performance. We find that the award announcement leads to higher market reaction to stocks with preexisting recommendations from analysts who barely win the award than those from analysts who barely miss it, but the difference in market reaction fully reverses within 20 trading days. Evidence strongly suggests that attention trading and speculative trading over the anticipation of the overreaction are the main driving force while the signal of award winners’ ability plays little role. In addition, we find that analysts with award designations receive more resources from brokerages and perform better in earnings forecast than others in the year after the award announcement. Our findings highlight that investors may incorporate award information into their trading suboptimally and that award recognitions have long-lasting effects on sell-side research through resource reallocation.

Index Informativeness: An Empirical Study on Indonesia Stock Exchange

This study aims to determine the market's reaction to the announcement of company list change’s at LQ45 Index, Jakarta Islamic Index (JII), and SRI-KEHATI Index. Sample of this research is company stocks that include in or exclude from LQ45 Index, JII, and SRI-KEHATI Index during the period 2009 to 2018. The results showed that in general in the sample group of companies included in the Index, no significant market reaction was found. For the sample group of companies excluded from the Index, significant negative market reactions were found from all the Index. Furthermore, there was no significant difference in market reaction was found, both in the sample group included and in the sample group excluded from the Index. Significant different market reaction were only found in the LQ45 Index and JII.

The Price of Being Foreign: Stock Market Penalties Associated with Accounting Irregularities for U.S.‐Listed Foreign Firms

ABSTRACTWe examine the stock market consequences of disclosing accounting irregularities for U.S.‐listed foreign firms. After controlling for the severity of the irregularity and other firm characteristics, we find that foreign firms experience significantly more negative short‐window stock market reactions following irregularity announcements than do U.S. firms. Moreover, for a subsample of 64 irregularities of foreign firms that are listed on both a U.S. and home country stock exchange, we find evidence that restating firms' U.S. investors react more negatively to the same irregularity than their home country investors. This differential market reaction appears related to firm‐specific information risks that are greater for foreign firms than U.S. firms. Collectively, consistent with the reputational bonding hypothesis in prior literature, our results suggest that accounting irregularities cause U.S. investors to reassess the information risk associated with foreign firms.