Semi-strong Form Of Efficiency Research Articles

Dividends Announcement and Semi Strong Form of Efficiency at The Nairobi Securities Exchange in Kenya

The objective of this study was to establish the effects of dividend announcement to current market prices at the Nairobi Securities Exchange, with four specific objectives; to determine the information content of dividend announcements, to determine the extent to which prices converge to new values after dividend announcements on a sector by sector basis, to establish the market reaction to announced information and also to establish whether investors can secure excess returns by acting on announced information. A 66 days event timeline was employed from 2005 to 2015 on daily closing stock prices. A sample of 179 dividend announcements from 22 listed companies in 8 sectors were drawn and analysed using an OLS Market Model. Findings of the research conclude that; dividend announcements do have an impact on stock prices for the Agricultural, Banking, Commercial, Construction, Manufacturing and Telecomm Sectors and not for the Energy Sector, Insurance Sector and the Nairobi Securities Exchange Market. It takes more than five days for prices to adjust to their correct values and this makes it possible for market players to profit from the inefficiency by earning abnormal returns. We conclude that the Nairobi Securities Exchange is not semi-strong form efficient.

How do carbon prices react to regulatory announcements in China? A genetic algorithm with overlapping events

To investigate the impacts of regulatory announcements on China’s pilot carbon markets, as well as test the semi-strong form of market efficiency, a multivariate regression model with GARCH effects combined with multiple bilaterally modified dummy variables is established which allows us to investigate the potential overlapping influence from two timely adjacent events. The Shanghai, Guangdong and Hubei pilot carbon markets are taken as case studies. Based on the ADF test and the runs test, the results show that the China’s pilot carbon markets have achieved the weak form of efficiency but not the semi-strong form of efficiency. With the regression model the results show that the release of the allowance allocation plan will affect the carbon price trend, and the allowance auction can only play an auxiliary role as its impact on the carbon price is not decisive. In addition, ubiquitous ex-ante impact proves that the information leakage exists in each pilot carbon market. The model established in this paper is suitable for analyzing the impacts of overlapping events in different markets, which can effectively assist decision makers to distinguish the effects caused by overlapping events.

Trading strategy using share buybacks: evidence from India

The efficient market hypothesis states that in the efficient markets, participants cannot make extra-normal returns by exploiting any publicly available information. However, traders are constantly looking to exploit publicly available information to generate abnormal returns for themselves and their clients. One such event is share buyback announcement, which traders can utilize to create profitable trading strategies. The authors undertake the present study to examine if share buyback announcements provide profitable trading strategies to traders. Event study methodology has been adopted to analyze buyback announcements by Indian companies from January 2012 to December 2018. Forty-one (41) day window period comprising of 20 days pre-event, an announcement day, and 20 days post-event period is created to analyze the risk-adjusted average abnormal returns. The empirical findings suggest that there are negligible trading opportunities available for investors post announcements. However, significant risk-adjusted returns are found in the pre-event window, indicating that if investors can predict buyback announcements, they may earn extra-normal returns. The study confirms that Indian stock markets are in the semi-strong form of efficiency. The study also provides a profitable trading strategy for investors in the pre-event window. Finally, it also draws the regulators’ attention to see if insider trading could be the reason for abnormal returns in the pre-event window. The authors conclude the results by confirming that Indian markets are semi-strong in market efficiency and by indicating regulatory interventions to control insider trading. AcknowledgementThe infrastructural support provided by FORE School of Management, New Delhi in completing this paper is gratefully acknowledged.

Testing Efficiency Of Indian Stock Market With Reference To Banking And Automobile Industries

This study aims to measure the impact of dividend announcement in Indian stock market and determine the factors which influencing the behaviour of stock market. This study is the nature of empirical research study. Event study has conducted with major industries viz., banking and automobile scripts listed in BSE Sensex. Excess return calculated by using input of CAPM (Capital asset pricing model), average excess return, beta, t-statistics used to determine the significance of event in the Indian stock market. Structural Equation modelling used to measure the relationship within variable and to the determination of efficient market hypothesis. Based on the analysis most of the scripts are having before effect in the market. It means reaction of information in the market place has occurs after reaching the information. Market significantly reacted with the information of dividend. Based on the structural model depicts that excess return and average excess return is the mediating factors determining the efficiency of the market. Hence it is accepted that pour Indian stock market is the nature of semi-strong form of efficiency.

Overflow effect of credit rating announcements on stock exchange based on event study

ABSTRACTThis study is aimed to identify the impact of credit rating announcements on the stock returns in stock markets and for this purpose, four different sectors of Pakistan stock exchange were selected and from each of these four sectors, different business organizations were selected, i.e. total 32 business organizations were selected. The credit rating announcement data were collected for these 32 business organizations belonging to four different sectors. Totally 101 credit rating announcements were selected and the time period for which the credit rating warnings were selected include last three years period, i.e. from 2014 to 2016. The collected data were analysed by calculating abnormal returns for each of the selected security and average abnormal returns, and cumulative average abnormal returns were calculated for four different sectors. Event study methodology was applied, and t-test and t-stats value were calculated and results were analysed on the basis of t-statistics. The results of analysis identified that credit rating announcements have a significant impact on stock prices and investors and other market participants are earning abnormal returns during two-day period after the announcements are made. In addition, these abnormal returns were either negative or positive, depending upon the nature of credit ratings announced. If the credit rating announced was upgraded, investors enjoyed positive abnormal returns while in case when credit rating announcements were downgraded, then investors bear negative abnormal returns. Finally, the findings of the study identified the applicability of random walk hypothesis on the Pakistan Stock Exchange and Pakistan Stock Exchange confirms the efficient market hypothesis with its semi-strong form of efficiency.

MARKET REACTION TO DIVIDEND ANNOUNCEMENTS: ANALYSIS AT NAIROBI SECURITIES EXCHANGE

Purpose: The study sought to check the efficiency of Nairobi Securities Exchange with regard to dividend announcements on semi-strong form of efficiency.
 Methodology: The study employed event study methodology which is descriptive in nature. Census was carried out to determine which dividend announcements qualified for analysis. The period of study extended for five years from 2012 to 2016. Window period covered 30 days before and 30 days after the announcement. Average abnormal returns were evaluated for significance at 95% confidence level.
 Findings: The results indicated that the market was efficient for 4 years except one year where the market was found to be inefficient in semi strong form perhaps due to the prevailing economic conditions during the year.
 Unique contribution to theory, practice and policy: This study recommended that the NSE be checked for efficiency from time to time. This is informed by the fact that an efficient market allocates the resources optimally from areas they are less required to sectors they are highly required hence contributing to economic development. The study recommends regulatory bodies to come up with strategies to enhance and sustain efficiency at NSE.

A Study on the Semi Strong Form of Efficiency in Indian Stock Market

A Study on the Semi Strong Form of Efficiency in Indian Stock Market

Testing the Semi-Strong Form of Efficiency Theory in the Nigerian Capital Market: The Input and Output Index

This paper examines the semi-strong form of efficiency of the Nigerian capital market. Such examination is made in the context of whether information impounded in previous stock prices reflect current prices through the input and output index. Data for the study were from secondary sources and it spanned from 2005-2013. The population for this study encompasses all the companies that traded in the period of January 1, 2005 to December 31, 2013. All these companies are ranked according to their capitalization and a random sampling technique was employed to select the companies that have the capitalization values above the average value. Thus, about 80 companies qualified for this sample size. The study made use of transfer function model to estimate the market index which is represented by the output index and the computed selected securities represented by the input index which is tantamount to published information. Findings from the paper showed that publicly published information captured by the input index commands significant effect on the stock market represented by the output index hence making the Nigerian stock market to be semi-strong inefficient.

Semi-Strong Form of Market Efficiency for Dividend and Bonus Announcements:An Empirical Study of India Stock Markets

Efficient Market Hypothesis (EMH) is predominantly a research area in the field of finance. EMH is studied worldwide to understand the share price behaviour and the same can be predicted by any means in future. Prediction of this share price behaviour helps a rational investor to earn abnormal returns from the markets. Symmetry of public information is associated with the semi-strong form of efficient market hypothesis which implies that the publicly available information is known to all the investors in the market and share prices fully reflect this information.The favourable news tends to bring a positive impact on the stock price behaviour and vice versa. Hence, the study of such corporate events can lead to predictability in the stock market which can help investors to earn abnormal returns. The present research paper has employed the event study and cross-sectional data analysis for validating the existence of semi-strong form of market efficiency in Indian stock markets pertaining to two major corporate events; 'dividend and bonus announcement'. The results of the study reveal that dividend and bonus announcements have significant impact on share prices only on 1 day pre announcement.

Evaluation of Semi Strong Form of Efficiency: An Empirical Study on Karachi Stock Exchange with Respect to Natural Disasters and Terrorism Effects

The study aims to test the semi strong form of market efficiency by analyzing the reaction of Pakistani stock market to natural disaster and terrorism effects. This study is unique and special in its nature as this is the first kind of study on natural disasters and terrorism effects on stock market of Pakistan. This paper is based on event study, taking the data of KSE-100 index on daily basis from 2005 to 2010 comprising of two natural disasters and five major terrorist attacks in the country, and their impact on the Karachi Stock Exchange. Calculations were based on before and after the event, then by calculating the cumulative average returns and abnormal returns, results were calculated. The article shows that the market is efficient in the context of terrorist attacks, while in case of natural disaster market is inefficient.

The Impact of Non-Financial Reporting on Stock Markets in Emerging Economies

Stock prices are more and more driven by the investors’ sentiment which, in turn, is sensitive to various non-financial events like macro-economic releases and social or environmental changes all over the world. In a globalized world, even the emerging and frontier economies such as Romania are following the main trend of the developed markets. The main concern of the last few years in the capital markets across the globe was the European Debt Crisis and for the purpose of this paper, we considered the most important news related to this subject as non-financial reporting. Therefore, major news and reports regarding this issue are seen by investors as the most important factors that are moving the markets. This paper analyses the impact of the relevant EU Debt Crisis news on the main European stock indexes using the price volatility. The results of the study showed, among others, that most of the stock markets reacted to news before it was actually released and from this point of view, the markets are tending towards the semi-strong form of efficiency that Eugene Fama was proposing in the efficient market hypothesis.

Dividend Announcement and Firm Value: A Test of Semi Strong Form of Efficiency at the Nairobi Stock Exchange

The issue surrounding policy makers is whether dividend announcements have information content. This study investigated into this concept to determine the extent, to which dividend announcements have information content, its effect on firm value and what this implied on the semi strong efficiency of the Nairobi Stock Exchange (NSE). A sample of trading delays in each year for the period 1999- 2003 was drawn from firms listed on NSE. The data was purely secondary data of the firms listed on the NSE, stock prices and dividend announcements. The event study methodology was used analyze information content of dividend announcements for the four firms.The results based on an estimation window of more than hundred trading days per year show that, for the analyzed firms, dividend announcements do indeed convey useful information about the future value of a firm. This empirical investigation came up with the following findings: First Dividend announcements have pertinent information, which is consistent with Modigliani and Miller (1958) information content hypothesis. Second, the information content in dividend announcements significantly affects the firm value as shown by large spikes in the graphs. Third the NSE is not semi strong from efficiency and therefore market participants can make abnormal profits by trading on public information, such as dividend announcements.

The impact of exogenous information on stock value through the coloration concept: a test model

This paper examines the effect of the exogenous information on stock prices. The analysis contributes in literature on the semi strong efficiency. It brings the informational nature nearer information, defined as informative coloration, which strikes the financial market to its underlying credit. The proposed test model is based on the nonparametric statistics. This model develops the possibility to examine the whole exogenous information on stock prices variations. The statistical performance of the model during the empirical application shows its ability to anticipate correctly the movements of prices. It challenges the semi strong form of efficiency markets.JEL codes: C14, D83, G14

Market Efficiency and Integration: An Examination of Indian Stock Market

This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.