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Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

Firm-specific news and idiosyncratic volatility anomalies : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot … fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after …

Persistent link: https://www.econbiz.de/10014500235

Policy Uncertainty, Bad News Disclosure, and Stock Price Crash Risk

Kim, Jeong-Bon; Tseng, Kevin; Wang, Jundong (Jeff); Xi, … - 2021

This paper documents that policy uncertainty reduces future stock price crash risk. Our tests show that this negative relation is more pronounced among firms with more short-sale constraints, with no actively traded credit default swap contracts, or with higher firm-level political risks. The...

Persistent link: https://www.econbiz.de/10013243260

Earnings Announcements in China : Overnight-Intraday Disparity

Liu, Junhao; Hope, Ole-Kristian; Hu, Danqi - 2023

Based on a unique arrangement of trading and disclosure times around earnings announcements in the Chinese stock market, we provide evidence of a striking overnight-intraday disparity in terms of the reaction to earnings news. Specifically, we find that the overnight period exhibits a strong and...

Persistent link: https://www.econbiz.de/10014348722

Insider Stock Pledges and Shareholder Wealth

Pan, Xiaofei; Qian, Meijun - 2021

While pledging shares as collateral for personal loans is commonly practiced in many countries that protect minority shareholders, the empirical evidence has shown only its value destruction to shareholders. This paper offers an (partial) explanation of this puzzle by documenting a positive...

Persistent link: https://www.econbiz.de/10013245042

Do Investors See Value in Ethically Sound CEO Apologies? Investigating Stock Market Reaction to CEO Apologies

Koehn, Daryl; Goranova, Maria L. - 2017

Since the late 1990s, the number of apologies being offered by CEOs of large companies has exploded. Communication and management scholars have analyzed whether and why some of these apologies are more effective or more ethical than others. Most of these analyses, however, have remained at the...

Persistent link: https://www.econbiz.de/10014121225

Announcements effect of corporate bond issuance and its determinants

Chin, Sze Kim; Abdullah, Nur Adiana Hiau - In: Contemporary economics 7 (2013) 1, pp. 5-18

This study aims to investigate the effect of bond issuance announcements and to determine the company characteristics that could influence this effect. The findings reveal positive cumulative average abnormal returns following bond issuances, indicating that the market considers bond offers to...

Persistent link: https://www.econbiz.de/10009770381

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Asgharian, Hossein - 2019

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...

Persistent link: https://www.econbiz.de/10012899727

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Asgharian, Hossein - 2020

We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...

Persistent link: https://www.econbiz.de/10012855094

The Investor-Base Hypothesis of Stock Return Volatility : Empirical Evidence

Jankensgård, Håkan - 2016

A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving … does not support the conjecture. Instead, volatility increases in the number of investors and in the size of the firm … implications for stock return volatility …

Persistent link: https://www.econbiz.de/10013004842

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