The impact of US news on the German stock market—An event study analysis

2011 ◽  
Vol 51 (4) ◽  
pp. 389-398 ◽  
Author(s):  
Thomas Dimpfl
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Study Analysis ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

scholarly journals The Impact of Investor Sentiment on the German Stock Market

2010 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

scholarly journals How Does Financial Sector Reacts After Special Events? An Event Study Analysis of Tunisia after the Revolution of 2011.

2014 ◽  
Vol 4 (2) ◽  
pp. 584-599
Author(s):  
Amira KADDOUR ◽  
Mourad ZMAMI
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Event Study ◽  
Banking Sector ◽  
Financial Sector ◽  
Study Analysis ◽  
Special Events ◽  
Egarch Model ◽  
The Exchange Rate ◽  
The Impact

Using an event study analysis, we aim to investigate the impact of political, economic, social and terrorism events, on the Tunisian financial sector, over the period of the Tunisian Revolution; from (12)2010 to (04)2014. Based on a daily data analysis using three selected variables ; Sectoral index of performance of Tunisian banks ,Index of Tunisian stock market and the exchange rate Euro/ Dinar,  the EGARCH model results have highlighted that general events decrease the return of our variables, and increase their volatility. More, results have shown that stock market is very sensitive to political and terrorism events, bad economic events increase the volatility of the exchange rate, and decrease the performance of banking sector. Political events remain the more important component, they affect negatively all the endogenous variables; coefficients in the mean equation show an important decline in term of the return of banking sector ,the stock market and the exchange rate.

scholarly journals The impact of investor sentiment on the German stock market

2012 ◽  
Vol 82 (2) ◽  
pp. 133-163 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

INDUSTRY IMPACT OF CARTELS: EVIDENCE FROM THE STOCK MARKET1

2019 ◽  
Vol 15 (2-3) ◽  
pp. 358-379
Author(s):  
Iwan Bos ◽  
Wilko Letterie ◽  
Nina Scherl
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Value ◽  
Final Decision ◽  
Study Analysis ◽  
The Impact

ABSTRACT This paper conducts an event study analysis to empirically assess the industry-wide impact of cartels. Using a sample of recent European cartel cases, we estimate the effect of the surprise inspection and final decision on the stock market value of cartel and noncartel firms. The overall effect of both events is negative for cartel members and statistically insignificant for noncartel members. However, the impact of the inspection is significantly negative for European noncartel suppliers and for noncartel suppliers in nonchemicals industries. This is consistent with the theory that cartels can create additional damages through positively affecting the performance of their competitors.

scholarly journals The Efficient Market Hypothesis, Price Multiples, And The German Stock Market

2011 ◽  
Vol 8 (1) ◽  
Author(s):  
Darrol J. Stanley ◽  
Michael D. Kinsman
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Sharpe Ratio ◽  
High Price ◽  
Efficient Market ◽  
Investment Style ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

One of the great exercises of financial research is to examine the efficiency of the stock markets. There are many reasons for this endeavor. One is due to the importance efficiency has on the allocation of capital and the impact on economic activity. Others center on the desire to find an exploitable anomaly for active investment management. This paper sought to do both. The paper explores the German stock market over a five year period ending December 31, 2007. The objective was to examine the value of price multiples in developing portfolios that would not only question the efficient market hypothesis for the market but provide an investment tool to achieve above market risk adjusted returns for an active investment style. The paper explored this by creating portfolios of (1) top ranked (low) price multiples and (2) bottom ranked (high) price multiples. Three multiples were chosen. These were (1) Price to Book (PBK); (2) Price to Current Earnings (PEC), and (3) Price to Normalized Earnings (PER). The hypotheses were that low price multiples would outperform, on a risk adjusted basis, high price multiples, and hedged (long/short) would likewise outperform the market on a risk adjusted basis. Support for either of these hypotheses questions the efficiency of the markets and could provide a pragmatic investment strategy. The results of the study suggest not only that the efficiency of the German stock market can be questioned but that a workable investment strategy involving price multiples could be implemented. The results noted that low price multiples outperformed high price multiples in all cases but not necessarily on a risk adjusted basis. Hedged portfolios likewise outperformed the universe and population. Hedged PBK had an Adjusted Sharpe Ratio of 0.50; the Hedged PEC had an Adjusted Sharpe Ratio of 0.30; and the Hedged PER had an Adjusted Sharpe Ratio of 0.23. These should be compared against an Adjusted Sharpe Ratio for the market of 0. Finally, an equally-weighted Hedged position of PBK, PEC, and PER had an Adjusted Sharpe Ratio of 0.44.

The Rise and Fall of the German IPO Market, 1870-1938

2018 ◽  
Vol 59 (1) ◽  
pp. 9-37
Author(s):  
Carsten Burhop ◽  
David Chambers ◽  
Brian Cheffins
Keyword(s):  
World War Ii ◽  
Stock Market ◽  
Initial Public Offerings ◽  
Stock Exchange ◽  
World War ◽  
Stock Market Development ◽  
Public Offerings ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

Abstract This study of over 1,000 initial public offerings (IPOs) on the Berlin stock exchange from German unification to the eve of World War II draws attention to the importance of regulation and deepens our understanding of German stock market development. An increasingly exacting regulatory environment from the early 1880s to 1914 made a vital contribution to the higher likelihood of firms going public surviving. In the inhospitable regulatory setting of the 1930s, IPO activity drew to a halt and the development in the German stock market over the preceding decades reversed. As a complement to our analysis of the impact of regulation, we document the increased involvement of leading universal banks (D-banks) in the IPO market over the whole period.

scholarly journals The Effect of China-U.S. Trade Dispute on Chinese Stock Market: New Evidence from the Event Study Analysis

2020 ◽  
pp. 105-117
Author(s):  
Fuzhong Chen ◽  
Di Yu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Banking Sector ◽  
Abnormal Returns ◽  
The United States ◽  
Chinese Stock Market ◽  
Study Analysis ◽  
Trade Dispute ◽  
The Impact

In 2018, the China-U.S. trade dispute started, which brings heterogeneous impacts on the global economy. The purpose of this paper is to examine the effects of tariffs targeting Chinese exporting commodities imposed by the U.S. on the Chinese stock market by utilizing the event study analysis. 10 industries' stock returns between Jan. 3rd , 2017, and Apr. 3rd , 2020 were selected as the research objectives from the WIND database, according to the Chinese Shen Wan's classification standard. Results based on event study analysis show that: First, the China-U.S. trade dispute causes significant fluctuations to Chinese stock returns. Second, the impacts of the trade dispute are mainly negative, showing by the negative cumulative average abnormal returns in the export-oriented sectors when they are encountered with new tariffs imposed by the United States. However, the effects can also be positive because of the various situations of targeted industries, and the defensive measures taken by China. Third, the trade dispute also affects investors' views on the macro economy, in which the impact on the real economy can be transferred to other non-export-oriented industries, such as the banking sector. This study provides empirical evidence for China's policymakers to take measures in strengthening the independence of innovation, protecting intellectual property rights. Investors also need to equip themselves with more financial knowledge.

scholarly journals Does Weather Still Affect The Stock Market?

2021 ◽  
Author(s):  
Nils Muhlack ◽  
Christian Soost ◽  
Christian Johannes Henrich
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Cloud Cover ◽  
Air Pressure ◽  
Historical Research ◽  
Garch Models ◽  
Weather Variables ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

AbstractThis paper examines the impact of weather phenomena on the German stock market, evaluating cloud cover, humidity, air pressure, precipitation, temperature, and wind speed as weather variables. We use stock market data (returns, trading volume, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time-series (GARCH) models that air pressure is the only weather variable that exerts a potentially consistent effect on the stock market. Air pressure reduces the trading volume on the SDAX and TecDAX, and changes in air pressure lead to increases in returns on the DAX, MDAX and SDAX. The effects of the other weather variables show no clear pattern and are critically discussed. In addition, this article contains an overview of the historical research results on the effects of weather on stock markets.

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