Stock Price Decreases Research Articles

The spillover and contagion effects of sovereign risk on stock markets

This study examines the spillover effects of sovereign risk on international stock markets using a dynamic spatial Durbin model (SDM) on a panel of forty countries from 2009Q1 to 2024Q2. The findings show that an increase in sovereign risk, as measured by CDS spreads, leads to a significant decrease in both local and foreign stock prices, with 0.027 percent reductions across foreign markets on average. These effects are transmitted through geographical, and economic and financial channels, with exchange rates, gross fixed capital formation, and industrial production playing crucial roles in influencing stock market performance. Additionally, the negative (positive) spillover effects from rising gross fixed capital formation and sovereign risk (industrial production) demonstrate how foreign markets are more impacted than domestic ones. The study highlights the interconnected nature of global financial markets, reinforcing the need for coordinated international policy responses to mitigate the transmission of sovereign risk across borders. These findings provide new insights into how global economic factors influence stock market volatility, particularly through specific transmission channels, underscoring the importance of multilateral collaboration in managing sovereign risk.

Stock price crash risk prediction based on high-low frequency dual-layer graph attention network

The phenomenon of a stock price crash involves a rapid, significant decrease in stock prices, severely impacting the market, investors, and the economy. This study introduces the BiGAT-GRU model, which combines Graph Attention Networks (GAT) and Gated Recurrent Units (GRU) to predict stock price crash risk by analyzing multi-scale investor sentiment propagation using data from Baidu search index and public opinion texts. The model demonstrates superior performance in predicting crash risk, providing valuable insights for policymakers and investors.

Investor Reaction To The Implementation Of Sustainability Reporting

The purpose of the disclosure of Sustainability Reporting is to solve social and environmental issues and may have an impact on achieving sustainable development in the face of social responsibility issues. In addition, Sustainability Reporting Disclosures can be used to achieve company goals. This study aims to analyze the implementation of Sustainability Reporting and whether it affects investor reactions in considering investment decisions. Sustainability Reporting disclosure in this study was tested as an independent variable with control variables EPS, PBV, and Dividends. An increase or decrease in stock prices indicates that investors react to the information disclosed, in this study, stock prices were tested as the dependent variable. The total research sample is 30 companies listed on the Indonesia Stock Exchange, with the category of companies getting an assessment rating from the National Center for Sustainability Reporting (NCSR). The results of hypothesis testing show that Sustainability Reporting disclosures have a significant effect on stock prices, so it can be concluded that Sustainability Reporting disclosures can provide a reaction to investor decisions. Control variables EPS, PBV, and Dividend Policy significantly affect stock prices.

Industry effects of corporate environmental and social scandals: Evidence from China

This study employs novel corporate environmental, social, and governance profiles to investigate the industry effects of environmental and social (ES) scandals in China. The findings reveal a notable decrease in stock prices for rival firms during scandal announcements. Further, we document a significant, positive correlation between rivals' ES performance and the abnormal returns over a five-day period surrounding the scandals. This correlation is more pronounced in rivals that disclose ES information. Additionally, relative to high-performing rivals, those with weaker ES performance significantly enhance their ES performance in the following year, driven by the perceived ES value in industry scandals. The findings also underscore the influence of state ownership, external governance environment, and industry competition on the spillover effects of ES scandals via risk channels.

Mandatory audit partner rotation and stock price crash risk: causal evidence from a natural experiment

PurposeThis study aims to examine whether mandatory audit partner rotation is associated with future stock price crash risk.Design/methodology/approachThis study makes use of a regulatory change from the Ministry of Finance of China and the China Securities Regulation Commission, which requires mandatory rotation of audit partners since 2004, as a natural experiment to establish causality and applies a difference-in-difference research design.FindingsAudit partner rotation leads to a significant decrease in future stock price crash risk in the departing partner’s final year of tenure preceding mandatory rotation, consistent with peer monitoring argument of mandatory rotation. Inconsistent with other arguments, including client-specific knowledge, fresh perspective and auditor independence, no significant effect takes a place in the incoming partner’s first year of tenure following mandatory rotation. Mechanism analysis documents that mandatory audit partner rotation reduces stock price crash risk by improving audit quality and constraining managerial empire building.Originality/valueThe results shed new light on the capital market consequence of mandatory audit partner rotation and the cause of stock price crash risk.

Do Non-Family CEOs Decrease Stock Price Crash Risk in Chinese Family Firms?

Do Non-Family CEOs Decrease Stock Price Crash Risk in Chinese Family Firms?

When local and foreign investors meet the Chinese government's risk perception about COVID-19

This paper explores the nuanced extreme market responses exhibited by segmented domestic and foreign investors in reaction to state media coverage of the COVID-19 pandemic in China’s A-share and H-share markets. Our findings indicate that an extreme increase (or decrease) in this unexpected attention is likely to lead to an extreme increase (or decrease) in stock prices. Domestic investors show increased sensitivity to an abnormal decrease in state media attention, whereas foreign investors are more responsive to an increase in this attention. An extreme unexpected decline in state media coverage of the pandemic significantly influences extreme fluctuations in the A-share market’s trading volume. In contrast, an abnormal increase in state media coverage of the pandemic tends to extremely decrease the H-share market’s trading volume. In the early panic phase, domestic (foreign) investors tend to reach a consensus more on abnormal declines (increases) in state media reports on the pandemic.

Mercury Systems: Debt? Equity? Cash on hand?

Research methodology This case was researched using publicly available sources, including Mercury Systems financial filings and press releases, news stories about the seasoned equity offering, financial information from Bloomberg and industry information from IBISWorld Industry Reports and articles related to seasoned/secondary equity offerings, intangible asset valuation and the use of revolving lines of credit. Quotes are taken from Mercury financial reports and press releases and express the (optimistic) opinions of company executives. Case overview/synopsis Mercury Systems, a technology company in the aerospace and defense industry, announced a six million share seasoned stock offering in June 2019. This resulted in a 6% stock price decrease. A stock price decrease is a typical event when a firm announces the issuance of new common shares, but with Mercury Systems, there were concerns about how much money the firm needed to fund its strategy of growth through acquisitions. If internally generated funds were not sufficient, should the firm issue debt or have another seasoned equity issue? Students will look at the objectives and success of the most recent seasoned equity issue, determine future funds needs and how the firm should finance these needs. Complexity academic level This case is appropriate for undergraduate and graduate students in corporate finance electives. Typically, topics such as seasoned equity offerings are not covered in introductory courses, so this is recommended for finance electives. Even in advanced finance courses, sometimes there is insufficient time to cover seasoned equity offerings.

The Effect of Asset Valuation Method, Auditor Quality, Characteristics of the Board Commissioners and Audit Committee on Stock price Synchronicity

Stock price synchronicity refers to the extent to which firm-specific information is absorbed in stock prices relative to market-wide information. If return variations are more synchronized with market information, then stock price synchronicity decreases which is indicating lower quality of financial reports. This research examines the effect of asset valuation methods, auditor quality, characteristics of the Board of Commissioners and the Audit Committee on the synchronicity of stock price of manufacturing companies listed on the Indonesia Stock Exchange in 2020-2022. A total of 490 observations were available for hypothesis testing. The results show that the quality of the auditor and the size of the Board of Commissioners have negative effects on stock price synchronicity. On the other hand, the asset valuation method, the independence of the Board of Commissioners and the Audit Committee have no effect on stock price synchronicity of. The practical contribution of this research is that companies need to consider hiring more commissioners and Big Four accounting firms to increase the credibility of financial reports.

Studi Komparatif: Harga Saham LQ45 Sebelum Dan Selama Masa Pandemi Covid-19

Research Aim: This study re-evaluates the impact of the COVID-19 pandemic on LQ45 stock prices Methods: Data from 2018-2021 are analyzed, with 2018-2019 representing pre-pandemic prices and 2020-2021 representing pandemic prices. Comparative analysis is conducted using average t-tests, with normality tests guiding the choice between paired sample t-tests and Wilcoxon signed-rank tests Findings: Data exhibited a non-normal distribution, revealing a significant 27% average decrease in LQ45 stock prices during the pandemic. This underscores the pandemic's substantial impact on stock prices, particularly within the LQ45 index Theoretical Contribution/Originality: This study corroborates earlier findings and provides empirical evidence of the significant difference in LQ45 stock prices before and during COVID-19, resolving previous inconsistencies Practitioner/Policy Implication: The COVID-19 pandemic negatively affects stock prices, signaling adversity to investors and prompting market reactions, leading to decreased stock values. The LQ45 index experienced a decline in share prices from 2020 to 2021, highlighting the pandemic's enduring impact on market dynamics Research Limitation: This study focuses solely on the COVID-19 impact on LQ45 stock prices using year-end closing prices. Future research could explore this influence further using monthly or quarterly stock data

Long Short-Term Memory and Gated Recurrent Unit for Stock Price Prediction

Stocks are a popular investment with high risk due to rapid price fluctuations that are difficult to predict. Many investors do not understand the analysis of buying and selling stocks, making them hesitant to invest. For this reason, an analytical technique is needed that can determine the movement of stock prices in order to carry out planning, risk management, and decision-making. Banking stocks are among the important and popular stock sectors. One of the go public banking stocks is Bank Rakyat Indonesia stock. This research applies Long Short-Term Memory and Gated Recurrent Unit to produce a model that can accurately predict the stock price of Bank Rakyat Indonesia. Based on the implementation, GRU is the best model with MSE value of 4958.9168, RMSE 70.4195, and MAPE 1.1699%. The GRU model predict that there will be a decrease in stock prices in the next month.

The Impact of The 2020 Health Crisis on Exchange Rates and Stock Prices in Indonesia

The infrastructure sector during the health crisis had an impact by declining by around 12% until the end of 2020. One that can cause a decrease in stock prices is the exchange rate. PT Jasa Marga (Persero) Tbk. is one of the companies that showed active stock price activity during the health crisis period. The data sample of this study is to take daily data from exchange rates and stock prices during 2020 with a sample number of 242. Empirical results show that the correlation coefficient is -0.89, hence the relationship between the exchange rate and stock price is very strong and contradictory. Ha's partial test results were accepted and Ho was rejected, i.e. the exchange rate was partially significant and affected the stock price. The R square results of 79.8 percent that the exchange rate .

Modelling the Impact of Crude Oil Prices and Stock Price Index on Indonesia’s Exchange Rates

Abstract This paper employs various GARCH-type models and the daily data from 3 July 2006 to 30 June 2021 to examine the effect of crude oil prices and stock price index on exchange rates for Indonesia, the largest oil producer in Southeast Asia. Since the share markets and oil prices are very volatile, testing the stability of the parameters or system is desirable. We achieve this by using the Nyblom’s fluctuations test and account for the structural break associated with the fluctuations. Findings reveal that lower oil price return leads the Indonesian currency per US dollar to depreciate. In addition, we find that stock return has negative and significant relation with exchange rates. This lends support to the portfolio balance effect in which a decrease in stock prices leads to a depreciation of Indonesian Rupiah against the US dollar. Evidence from EGARCH model shows that shocks to the volatility of exchange rate have a symmetrical effect. Our results suggest that as lower oil prices and stock prices contributes to depreciation of Indonesia rupiah against USD, an appropriate monetary policy may require adjustment of interest rates to resist the exchange rate fluctuations without being detrimental to the banking system.

The Business Analysis of Pop Mart

Beijing POP MART is a leading cultural and entertainment company in China. Over the past decade, POP MART has built an integrated platform covering the whole industry chain of pop toys. In 2019, the company combined with blind boxes economy. It has become popular in the toy market. At the end of 2020, the Pop Marts shares are listed. Based on the pandemic background, the article uses some strange financial indicators collected from the companys annual and semi-annual reports to figure out why its stock price decrease in recent years. The research finally concludes about this phenomenon.

Pengaruh Harga Minyak Dunia dan Dow Jones Islamic Market Index (DJIM) terhadap Jakarta Islamic Index (JII)

The Jakarta Islamic Index (JII) is one of the indices on the Indonesia Stock Exchange (IDX). The index, which was launched on July 3, 2000, is intended to accommodate investors who wish to invest in the stock market in sharia-compliant stocks. As for the increase and decrease in stock prices, of course there are several indicators that influence it, one of which is macroeconomic factors. Macroeconomic factors are the factors that become the center of attention of investors, these factors are the occurrence of World Oil Prices, the Dow Jones Islamic Market Index, and the Jakarta Islamic Index. So these factors have the potential to increase profits or reduce risks. The aim of the research is to determine the effect of world oil prices and the Dow Jones Islamic Index (DJIM) on the Jakarta Islamic Index (JII). This research is a quantitative research using secondary data from the annual reports of related variables. The samples in this study were taken during the 2016-2020 period. The statistical test used in this study used the Eviews 10 program with quantitative analysis. The results of the study show that the first hypothesis, World Oil Prices have a positive and significant effect on the Jakarta Islamic Index. The second hypothesis, the Dow Jones Islamic Market Index has no effect on the Jakarta Islamic Index. The third hypothesis, simultaneously the two independent variables have a positive and significant effect on the Jakarta Islamic Index.

A Pilot Study to Assess the Effects of News Coverage Articles about Security Incidents on Stock Prices in Korea

This study was conducted to assess the effects of security incidents on the stock prices of firms in Korea. A content analysis of news coverage articles about security incidents was performed. The research questions (RQs) of the current study were as follows: RQ1: this study evaluated whether the news coverage of a security incident can influence an investor’s decision to buy or sell a stock; and RQ2: the study also analyzed whether the type of industry, the amount of damage caused by the incident, and the specific security incident itself would affect how investors assessed a stock’s value. The results of the study indicate the following: (1) news coverage articles about security incidents have a significant effect on stock prices; and (2) the degree of such an effect varies depending on the tone, theme, and category of the news coverage. A more negative tone was associated with a decrease in stock prices. Less negative and neutral tones were associated with an increase in stock prices. In particular, a neutral tone was associated with an increase in stock prices, which was commonly seen in most of the firms experiencing security incidents. Furthermore, the number of news coverage articles about security incidents had no relationship to variations in stock prices. In firms experiencing security incidents, variations in stock prices varied depending on the types of industry, the types of damages, and the type of incident. In conclusion, the current study used an event study and a content analysis of news coverage articles about security incidents to assess their effects on the stock prices of firms. Further studies are warranted to establish the feasibility of this approach in a real-world setting.

Effect of Audit Opinion, Audit Tenure and Office of Public Accountant (OPA) size on Stock Price (Study of Properties & Real Estate Companies listed on the IDX)

During the Covid-19 Pandemic, investment is increasingly becoming the public's choice to support financial health. This research provides information and an overview of the three variables that are taken into consideration by investors when deciding to invest in the capital market, which in turn will also have an influence on the increase and decrease in stock prices in the capital market. This research aims to see whether there is an effect of audit opinion, audit tenure and Office of Public Accountant (OPA) size on stock prices both partially and simultaneously. This research uses quantitative methods and uses a descriptive analysis approach. With a population of property and real estate companies listed on the Indonesia Stock Exchange (IDX) in 2019-2021. This research sample withdrawal technique used purposive sampling technique and a sample of 30 companies was selected. The conclusion of this research shows that audit opinion and Audit Tenure have no significant effect on stock prices partially, but the OPA size variable displays the results of a significant effect on stock prices. Simultaneously, audit opinion, Audit Tenure, and OPA size have a significant effect on stock prices with a coefficient of determination of 29.7%

Comparative Analysis of Sharia Stock Prices and Returns in the Health Sector Before and During the Covid-19 Pandemic

Determining the Covid-19 pandemic as a national non-natural disaster in Indonesia impacts all sectors, including the Islamic capital market. The covid-19 pandemic can send a negative signal to investors, it is expected to cause a decrease in stock prices, trading volume, and abnormal stock returns. This study aims to analyze the impact of the Covid-19 pandemic on price changes and Islamic stock returns of PT. Kalbe Farma, Tbk. The analysis technique used is the paired sample T test for normally distributed data and the Wilcoxon signed rank test for abnormally distributed data. The results of the study show that the price of sharia stocks in the health sector did not experience a significant difference either before or during the Covid-19 pandemic. Likewise, the statistical test results show that Islamic stock returns did not experience a significant difference before and during the Covid-19 pandemic, meaning that this variable did not react negatively to the Covid-19 pandemic. The implication of this research is that PT. Kalbe Farma, Tbk is expected to try to maintain stock price stability in order to maintain investor confidence and interest because a stable stock price value can increase stock returns. Share prices are influenced by the demand and supply of services or products traded by the company so PT. Kalbe Farma, Tbk can maximize performance, product innovation, and momentum to achieve optimal returns. It is hoped that this research can become additional literature material on the topic of Islamic stock analysis during the Covid-19 pandemic.

Stock Price Reaction Following Corporate Press Releases: Evidence from Dhaka Stock Exchange (DSE), Bangladesh

This study examines the correlation between corporate press releases and stock prices in the Dhaka Stock Exchange. The authors collected data and used statistical analysis to determine if there was a relationship between press releases and the subsequent movement of stock prices. The results of the study showed that press releases had a significant impact on the stock prices in the exchange. The authors found that positive press releases resulted in an increase in stock prices, while negative press releases led to a decrease in stock prices. Additionally, the effect of press releases on stock prices was more significant for small and medium-sized firms compared to large firms. These findings suggest that press releases are an essential communication tool for firms to communicate with investors and can have a significant impact on their stock prices. This study provides valuable insights into the effects of press releases on stock prices in the Dhaka Stock Exchange. The findings can help firms to better understand the impact of press releases on their stock prices and to make more informed decisions about their communication strategies. It can also help investors to make better-informed decisions about their investment portfolios.

Racial Diversity Exposure and Firm Responses Following the Murder of George Floyd

ABSTRACTGeorge Floyd's murder caused many firms to reveal how exposed they are to racial diversity issues. We examine investor and firm behaviors after this socially significant event to provide evidence on the valuation effects of the exposure and ensuing corporate responses. We develop a text‐based measure of a firm's exposure to racial diversity issues from conference call transcripts and find that, after the murder of George Floyd, firms with diversity exposure experience a stock price decrease of approximately 0.7% around the date of the conference call. We provide evidence that this effect is attributable to race‐related exposure and not gender‐related exposure. Initiatives taken by firms mitigate the negative market reaction. We document that firms with racial diversity exposure respond by appointing Black directors. The stock market views appointments of Black directors more favorably after George Floyd's murder, except when they are perceived as symbolic. We also find that firms with greater exposure to racial diversity are more likely to establish diversity, equity, and inclusion (DEI) departments, appoint DEI leaders, specify diversity goals, increase supply chain diversity, and donate to racial justice causes. Our paper provides evidence that exposure to racial diversity issues adversely affects firm value, and companies address the exposure by taking actions.