Stock Market Performance Research Articles

A Study on the Spill Over Effects on Nifty 50 Returns: Evidence from Stock Market Performances of Major Asian Counterparts of India

This study investigates the spillover effects of major Asian stock market performances on the returns of the Nifty 50, India's benchmark index. Employing advanced econometric techniques, we analyze the dynamic relationships between the Nifty 50 and key Asian counterparts, considering both short-term and long-term horizons. Our research delves into return spillovers aiming to comprehensively assess the interconnectedness and transmission of market movements across the region. This study utilizes an extensive dataset covering Nifty 50 returns from April 1, 2013, to March 31, 2023, along with meticulously documented returns from stock market indexes linked to major strategic alliances in India. By applying advanced multivariate time series analysis techniques, encompassing Vector Autoregression (VAR), Granger causality tests, and impulse response functions, we model the intricate dynamics interweaving these indexes with the Nifty 50. The research endeavors to answer fundamental questions, including assessing short- term and long-term effects resulting from major Asian counterparts of India on Nifty returns, as well as exploring noticeable patterns that indicate the direction of causality between these counterparts and Nifty returns. The outcomes of this study carry substantial implications for decision-makers. Investors can make more informed decisions, businesses planning strategic partnerships can refine their strategies, and policymakers can formulate economic and financial regulations that accurately reflect the complexities of these dynamics. By unveiling the ripple effects of these counterparts on the Nifty 50, this research offers valuable insights into the evolving dynamics of India's financial markets and their integration into the global economy.

CEO Type and Firm Performance: Evidence from Nasdaq Baltic

Despite the well-established characteristics of shareholder-CEOs and professional-CEOs, previous research has yielded inconclusive findings on the actual impact of the separation of shareholding and management on firm financial performance. This study aimed to address this gap by going off the beaten path of research centered on the U.S.-listed firms and investigating 55 firms listed on the Nasdaq Baltic market in the post-Soviet countries of Estonia, Latvia, and Lithuania from 2017 to 2021. While professional-CEO-led firms displayed higher Tobin’s Q (M = 1.37) compared to shareholder-CEO-led firms (M = 1.17), and shareholder-CEO-led firms had a higher average ROE (M = 7.76%) compared to professional-CEO-led firms (M = -1.74%), independent samples t-test analysis revealed that these differences in either stock market performance (p = .250 > .05) or shareholder return (p = .193 > .05) were statistically insignificant. These findings challenge organizational life cycle theory and agency theory predictions, aligning instead with stewardship theory and upper echelons theory, suggesting that CEO characteristics, motivation, and actions, while clearly distinct for shareholder-CEOs and professional-CEOs, are not the sole determinant of financial performance in mature firms. Accordingly, shareholder-CEOs, other stockholders, and boards of directors should draw support from these findings in their considerations regarding firm leadership.

Factors Impact of the Stock Market Performance During the Covid-19 Crisis

Research originality: This research adds the exchange rate variable and the use of the Vector Autoregressive (VAR) model that can add to the financial literature.Research Objectives: This study examines how macroeconomics can impact a business during a crisis. The stock market has associated access with new COVID-19 cases and new deaths in Indonesia. During the pandemic, the exchange rate is critical, so this study observes the exchange rate of IDR against USD. This paper investigates the relationship between new cases, new deaths, and the exchange rate with the stock market index.Research Methods: The study retrieves the daily data from March 2, 2020, to June 30, 2022, from Our World in Data, Indonesia's stock exchange, and Indonesia's Statistic Central Bureau. We have used the ADF, Vector Autoregressive (VAR) Model, impulse response function, and the Toda Yamamoto causality test. Empirical Results: The findings reveal a significant negative impact of new COVID-19 cases, new deaths, and exchange rates on the stock market. Toda Yamamoto's causality analysis reveals substantial evidence of unidirectional daily growth of new COVID-19 deaths in the stock market and a bidirectional causality of new COVID-19 cases and new COVID-19 deaths.Implications: The policy implications of this study are to stabilize markets, impact overall financial stability, support entrepreneurship, and develop a competitive market environment that can encourage innovation. JEL Classification: C5, E31, F31How to Cite:Goh, T. S., Henry, H., & Erika, E. (2024). Factors Impact of the Stock Market Performance During the Covid-19 Crisis. Etikonomi, 23(1), 47 – 62. https://doi.org/10.15408/etk.v23i1.32005

The uncertainty of economic policies in the United States and its impact on the stock markets of some African countries: An empirical study with VAR modeling

The economic and financial integration that has taken place over the last 20 years has led to a situation where the reaction of financial markets is no longer solely due to local factors, but also to macroeconomic and financial news of regional and international origin. In this regard, we focus on the effect of the international transmission of uncertainty shocks on global stock market performance. Given that the United States is the world’s leading economic power, some studies have highlighted the adverse effects of the international propagation of US uncertainty shocks on international stock markets (Ehrmann and Fratzscher, 2009; Klobner and Sekkel, 2014; Hammoudeh et al., 2016).
 Using VAR modeling, our study examines the specific impact of economic policy uncertainty in the USA on the stock markets of four African countries: Tunisia, Egypt, Morocco, and South Africa. Although geographically distant from the USA, these economies are closely integrated into the global economy and are likely to be affected by international economic and political developments, particularly those originating in the USA, a major economy and a key player on the global stage.

Effect of Structural Breaks on Stock Market Performance during COVID-19 Period in Sri Lanka

This study investigates the effects of structural breaks on the Colombo Stock Exchange (CSE) performance over the COVID-19 period. Stock market returns and volatility are used to proxy the stock market performance. Structural breaks were identified by using the Bai-Perron (2003) test. An ARMA (p,q) model fitted for stock returns was augmented using dummy variables for the structural breaks to measure the effect of structural breaks on stock market returns. The model was further extended as a volatility regression model (GARCH, EGARCH, or TGARCH) to measure the effect of structural breaks on stock market volatility. The results confirmed the presence of structural breaks following COVID-19-related news in CSE. Seventeen such breaks were identified. However, only three significantly influenced the stock market returns and the volatility. As a result, the study's consequences affect stockbrokers, multinational organizations, portfolio managers, and investors, allowing them to foresee market patterns and take preventative action in the event of structural breaks.

Incorporating Stock Prices and Social Media Sentiment for Stock Market Prediction: A Case of Indonesian Banking Company

Forecasting the stock market is one of the most popular topics to be discussed in many fields. Many studies, especially in information technology have been conducted machine learning algorithms to achieve a more accurate prediction of the stock market. This research aims to find the effectiveness in predicting stock market performance by utilizing social media sentiment in combination with historical data. In addition, this research uses a machine learning algorithm to train a model to predict the stock price of each bank and training the model on a dataset that included the historical stock prices of the bank, as well as the sentiment scores of the social media posts about the bank and evaluate the performance of the model by comparing the predicted stock prices to the actual stock prices. The research shows that the R2 and RMSE score model that has been built with its historical data has slightly better performance than the model that has been built with the combination of historical data and social media sentiment. The finding indicates that the research method is closely correlated and affected to the performance of the stock market prediction.

Assessing the Pathways of Sustainable Development: A Structural Equation Modeling Investigation of Regulatory Framework, Innovation and Economic Indicators

The concept of sustainable development holds significant importance for both current and future generations. This research examines the different pathways and relationships among sustainable development, stock market performance, foreign direct investment, regulatory framework, and innovation. The structural equation modelling technique and analysis have been conducted using a sample of 24 countries that contributed around 65% of global greenhouse gas emissions over the period from 2000 to 2019. The empirical analysis, based on direct effects, confirms that innovation enhances stock market performance and necessitates stringent regulations. Conversely, innovation reduces foreign direct investment. Similarly, a set of regulations and stock market performance have an adverse impact on sustainable development. Additionally, the empirics of indirect effects reveal that innovation and stock market performance encourage foreign direct investment by using regulations as mediators. Moreover, innovation reduces sustainable development indirectly, considering stock market performance and foreign direct investment as mediators.

An analysis of BERT-based model for Berkshire stock performance prediction using Warren Buffet's letters

The objective of this study is to discover and validate eective Bidirectional Encoder Representations from Transformers (BERT)-based models for stock market prediction of Berkshire Hathaway. The stock market is full of uncertainty and dynamism and its prediction has always been a critical challenge in the nancial domain. Therefore, accurate predictions of market trends are important for making investment decisions and risk management. The primary approach involves sentiment analysis of reviews on market performance. This work selects Warren Buetts annual letters to investors and the year-by-year stock market performance of the Berkshire Hathway as the dataset. This work leverages three BERT-based models which are BERT-Gated Recurrent Units (BERT-GRU) model, BERT-Long short-term memory (BERT-LSTM) model, and BERT-Multi-Head Attention model to analyse the Buetts annual letters and predict the Berkshire Hathways stock price changes. After conducting experiments, it could be concluded that all three models have a certain degree of predictive capability, with the BERT-Multi-Head Attention model demonstrating the best predictive performance.

The impact of innovation orientation on strategic R&D amidst macroeconomic shocks – an event study approach

PurposeThis research investigates the impact of strategic research and development (R&D) (one led by a firm’s innovation orientation) on stock market performance during the economic disruption caused by the 2016 demonetization of high-value currency notes in India. It shows how firms’ strategic focus on innovation and integrated R&D initiatives can help mitigate shareholders’ losses and protect market value during negative macroeconomic shocks.Design/methodology/approachWe analyzed financial and administrative data from firms listed in the Bombay Stock Exchange (BSE) 500 index and used the Fama French market model with appropriate instruments accounting for possible endogeneity to identify the impact. To ensure the reliability of our findings, we conducted robustness checks with alternate event windows, estimation methods, and variable measurements.FindingsStrategic R&D plays a crucial role in building resilience against macroeconomic shocks. It effectively mitigated shareholders’ losses in the immediate aftermath of the shock, with an elasticity of abnormal returns of 7.65% on day zero, 13.1% during the first five days and 10.5% after the first fortnight. We also find that firms that are business-to-business (B2B), as well as those that are older and less leveraged, are better able to combat such a shock.Research limitations/implicationsThe study looked at one shock, namely demonetization. Future research is needed to demonstrate the generalizability of results during other macroeconomic shocks, like the COVID-19 pandemic. The study focuses on relatively near-term impacts, leaving the long-term value-creation effects of strategic R&D unexplored.Practical implicationsInnovation orientation acts as a structural enabler, allowing firms to make strategic R&D investments that mitigate losses during macroeconomic shocks. It explains that managers should avoid myopically managing R&D investments and align them with the firm’s innovation focus to enhance value creation.Social implicationsWhile the currency demonetization was widely considered to be detrimental for firms as an unannounced negative monetary shock, our research shows that firms with high levels of strategic R&D were successfully able to counteract such a shock.Originality/valueThis is the first study to examine the short-term loss mitigation impact of firms’ focus on innovation and strategic R&D. It emphasizes the role of innovation-focused strategies during economic crises.

Impact of Different Exchange Rate Policies on Stock Market Performance: Kuwait vs Saudi Arabia

This paper examines the intricate relationship between exchange rate policies and stock market performance, focusing on Kuwait and Saudi Arabia in the Gulf region. It investigates the historical evolution of exchange rate regimes in both countries, analyzing their unique policy objectives. Using empirical analysis, the research explores the correlation between exchange rates and stock market indices, employing statistical methods and regression analysis to identify patterns. Comparative assessments reveal distinct patterns in stock market performance, shedding light on the effectiveness of different exchange rate systems in shaping economic dynamics. The findings contribute to the literature by offering insights into the nuanced relationship between exchange rate policies and stock markets, with implications for policymakers, investors, and financial analysts. By focusing on Kuwait and Saudi Arabia, two pivotal economies, the study addresses a gap in the literature, providing a comparative perspective. Policymakers can use the findings to understand the potential impact of exchange rate policies on economic indicators. Investors can leverage the conclusions to inform their decision-making, considering the nuances of exchange rate dynamics. The study finds that both countries peg their currencies to major world currencies, primarily the USD, and identifies a strong correlation between the Kuwait Stock Index and the Saudi Tasi Index.

Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach

PurposeThis study analyses the impact of the Covid-19 on stock market performance of BRICS nations together. BRICS countries comprise almost 30% of the global GDP and around 50% of the world’s economic growth. As BRICS nations have gained the attraction as financial investment destinations, their financial markets have apparently been as potential opportunities for foreign portfolio investors. While there is extensive research on the impact of the Covid-19 pandemic on individual economies and global financial markets, this paper is among the first to systematically investigate the dynamic connectedness of these emerging economies during the pandemic using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach.Design/methodology/approachWe categorise our data into two distinct periods: the pre-Covid period spanning from January 1, 2018, to March 10, 2020, and the Covid crisis period extending from March 11, 2020, to June 4, 2021. To achieve our research objectives, we employ the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach to assess dynamic connectedness.FindingsOur findings reveal that among the BRICS nations, Brazil and South Africa serve as net transmitters of shocks, while China and India act as net receivers of shocks during the Covid crisis. However, the total connectedness index (TCI) has exhibited a notable increase throughout this crisis period. This paper makes several notable contributions to the academic literature by offering a unique focus on BRICS economies during the Covid-19 pandemic, providing practical insights for stakeholders, emphasising the importance of risk management and investment strategy, exploring diversification implications and introducing advanced methodology for analysing interconnected financial markets.Research limitations/implicationsThe results have important implications for the investors, the hedge funds, portfolio managers and the policymakers in BRICS stock markets. The investors, investment houses, portfolio managers and policymakers can develop investment strategies and policies in the light of the findings of this study to cope up the future pandemic crisis.Originality/valueThis study is one of its kind that examines the dynamic connectedness of BRICS with recently developed TVP-VAR approach across pandemic crisis.

Does soft shareholder activism hold hard consequences?

This study investigates the impact of soft shareholder activism, as reported in media narratives, on stock market performance using an EGARCH methodology. Focusing on US-listed firms, we analyse how news articles discussing shareholder activism, ranging from formal proposals to informal expressions of investor concern, affect stock market returns and volatility. Our findings reveal that approximately one-fourth of the companies highlighted in these reports experience significant stock market fluctuations coinciding with media coverage. These effects are notably pronounced in firms with higher market capitalisation and robust financial metrics (ROE and ROA) but lower ESG scores and negative leverage. The study also establishes a strong correlation between firm performance metrics, particularly ROE and ROA, and market reactions around news publication dates. This pattern suggests that the market responds more intensely to companies with higher performance levels. The research contributes to understanding shareholder activism’s indirect influence on market dynamics through media, offering insights for companies, investors, and policymakers in the evolving landscape of shareholder activism and the media’s role therein.

Government reporting credibility as immunity: Evidence from a public health event

We investigate the relationship between the credibility of officially reported COVID-19 infection cases and the direct effects of the public health crisis on stock market performance. Employing the law of left digits, we estimate the likelihood of misreporting in official data to evaluate government reporting credibility (RC). A higher deviation from expected Benford’s distributions implies a greater likelihood of misreporting and lower RC. Our premise is that high credibility of government reporting during crisis mitigates the negative consequences of disasters through lowering investors’ risk aversion and bolstering their confidence. Our main results are highly consistent with this hypothesis. The positive influence of RC is particularly pronounced for companies situated in economies characterized by higher uncertainty and weaker governance before the crisis, and during periods of heightened market panic. Our findings suggest that the credibility of government reporting can act as immunity-like protection for stock markets in times of crisis.

Coup d'état in Africa and stock market returns: The case of French companies

This article studies the impact of recent coups d'état in French-speaking Africa on the stock market performance of French companies. Using stock prices of 197 French companies over the period September 2020 to September 2023, our results highlight a negative impact of coups d'état on the stock market performance of French companies. We also observe the heterogeneity of these companies' reactions depending on: (i) the country affected by the coup; (ii) the companies' sector of activity; (iii) coups d'état with reshuffle or change of political regime; (iv) pro- or anti-France post-coup actions. In so doing, this article provides the first evidence of the impact of recent coups in Africa outside the affected territories.

Association between Select Financial Variables and the Indian Stock Market

The study was carried out to examine the association between select financial variables and the stock market in India using the time-series data from July 2011 to June 2023. Correlation analysis demonstrated that BSE-Sensex was positively associated with CPI, exchange rate, and gold price but negatively associated with crude oil price. Economic regression analysis illustrated that BSE-Sensex was significantly influenced by its past value but had no relationship between select financial variables. The governments may intervene in currency markets to manage exchange rate fluctuations; impose price controls to prevent excessive price increases, encourage domestic oil production through exploration and technological advancements that can reduce reliance on imports, and implement regulations on gold imports, exports, and trading can help manage price fluctuations and subsequently impact stock market performance.

ESG ACTIONS, CORPORATE DISCOURSE, AND MARKET ASSESSMENT NEXUS: EVIDENCE FROM THE OIL AND GAS SECTOR

This paper focuses on the oil and gas sector because of its direct exposure to the complete range of ESG challenges, as well as strong pressure to change business models due to the energy transition. We investigate the ESG scores of a sample of global companies in this sector and their relationship to stock market performance and to the ESG intensity of corporate reports. As an original contribution, we incorporate the intensity of corporate discourse on technology-related sustainability topics for the first time in the literature. Our findings reveal that investors examine both sustainability discourse and results when determining a company’s value and validate the role of ESG scores and rankings in providing investors with an accurate and meaningful assessment of companies’ sustainability actions. Moreover, companies’ disclosure of their sustainable actions and technological developments related to sustainability is positively related to stock returns. This implies that a focus on sustainable practices and constant communication with investors might result in higher market performance. Furthermore, encouraging companies, particularly those in sectors and industries sensitive to ESG factors, to invest in ESG initiatives, is accompanied by improved performance, which makes them more attractive and better positioned to attract financing.

Social Diversity on Corporate Boards in a Country Torn by Civil War

AbstractWe examine how social diversity and inclusiveness on corporate boards affect corporate performance and monitoring in Sri Lanka, a country subject to decades of polarization, civil war, and even genocide. Barely more than a decade after the civil war, we find that board social diversity on the basis of ethnicity, religion, language, gender, and nationality of the board members is positively related to corporate performance, both in terms of stock market performance and accounting returns, and to corporate financial stability. The main positive effects of social diversity derive from ethno-linguistic inclusiveness. The results are confirmed by an instrumental variable approach that addresses endogeneity issues. We find no evidence that inter-personal and moral conflicts or communication problems among board members negatively affect firm performance.

Analyzing The Impact of Macroeconomic Factors on Stock Market Performance in Asean-5 Countries

Analyzing The Impact of Macroeconomic Factors on Stock Market Performance in Asean-5 Countries

CEOs Showing Humanity: Seemingly Generic Human Care Statements in Conference Calls and Stock Market Performance during Crisis

CEOs Showing Humanity: Seemingly Generic Human Care Statements in Conference Calls and Stock Market Performance during Crisis

Impact of Macroeconomic Variables on the Performance of the Indian stock market

This paper analyses the macroeconomic factors influencing performance of Indian stock market index NIFTY 50. The study is unique in nature as it employ both, primary and secondary to derive the conclusion. Initially, nine years monthly data of macroeconomic variables are regressed against monthly performance of NIFTY 50 index using logistic regression. In second stage the outcome of regression analysis is ratified with primary data collected through face to face interview of the stock market expert. The secondary data analysis confirm Dow jones index and exchange rate movement are the main determinants of NIFTY 50 index. However, expert opined that other factors like political stability, economic situation in developed and bilateral relations of India with other countries are also important to forecast the NIFTY 50 index movement. This is the first study in Indian context, to combine domestic and international factors to forecast NIFTY 50 index movement.