scholarly journals STOCK MARKET REACTIONS TO MERGERS ANNOUNCEMENT: AN EMPIRICAL STUDY ON RECENT 2020’S INDIAN MEGA BANK MERGER

2020 ◽  
pp. 93-106
Author(s):  
Rajashree Upadhyay ◽  
Dr. Mahesh Kumar Kurmi
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Banking Sector ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Cross Sectional ◽  
Event Window ◽  
Bank Merger ◽  
Long Run

Mergers and acquisitions are being used as strategic tools by Indian Corporate houses especially by Indian banking sector during last three decades of post liberalization era. Banking Sector in India has witnessed a mega merger of 10 Indian public banks into four big banks with effect from 1st April 2020 which definitely attract attention of different stakeholder who are interested to know whether these tie up events are really helpful for improving present scenario of banking industry as well as economic condition of the country in long run. But our concern in this study is to figure out the changes that occurred in shareholders wealth of the acquiring firm in short run around the announcement of merger event by detecting the responses of the share prices of acquiring bank through the procedure of event study methodology. For this study, company specific and market specific secondary data have been collected from the official website of National Stock Exchange as these companies are actively traded on said exchange. To accomplish the objective of this study we relied on figure of Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) for an event window of 41 days from day -20 to day +20. Return values have been statistically tested through cross sectional t-test. The notable finding of the research is that an under-reaction of market is observed before the announcement but the moment the announcement information becomes effective, investors start reacting from day +2 and the stock price jumps up, providing positive AARs to the investors. But after the positive respond to the merger information, finally investors have under-reacted to the event. CAARs figures also indicate the positive pattern of returns in the beginning of the event window but rapidly it becomes negative from day -16 to the last day of window that might be due to pandemic situation running throughout the world. KEYWORDS: Merger & Acquisition, Event Study, Stock Return, Abnormal Return, Banking Sector

scholarly journals The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

2021 ◽  
Vol 2 (2) ◽  
pp. 136-146
Author(s):  
Syamsuddin Syamsuddin ◽  
Versiandika Yudha Pratama
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Secondary Data ◽  
T Test ◽  
Event Window ◽  
Paired Sample ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This study aims to determine there is a difference in average abnormal return of BRI Syariah before and after the signing of the Conditional Merger Agreement (CMA), which is on October 12th, 2020. This research used event study for method and the data in this study are secondary data in the form of stock price data of BRI Syariah. The event window in this study for 11 (eleven) working days which is 5 (five) days before the event, 1 (one) day when the event occurs and 5 (five) days after the signing of the Conditional Merger Agreement (CMA) BUMN sharia bank. Meanwhile, the estimated period is set for 120 exchange days, namely at t-125 to t-6. Test conducted by paired sample t-test. The results of the paired sample t-test showed that there is no significant difference between the average abnormal return of BRI Syariah shares before and after the signing of the Conditional Merger Agreement. It can be concluded that neither the market nor investors reacted to the signing of the Conditional Merger Agreement (CMA) that occurred at BRI Syariah Bank.

scholarly journals The Determinants of the Stock Price Performance of Analyst Recommendations

2019 ◽  
Vol 15 (11) ◽  
pp. 25
Author(s):  
Yaling Lin ◽  
Liang-Chien Lee ◽  
Tsung-Li Chi ◽  
Chen-Chang Lo ◽  
Wai-Shen Chung
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Firm Characteristics ◽  
Cross Sectional ◽  
Insider Ownership ◽  
Taiwan Stock Exchange ◽  
Price Performance ◽  
Abnormal Performance

This study examines the cross-sectional determinants of the price reaction to analysts’ recommendations disseminated through various type of media and for firms listed in Taiwan stock markets. We measure abnormal returns using the market model of event study. Based on the type of media (traditional media/social media) and the type of exchange (Taiwan Stock Exchange (TWSE)/Taipei Exchange (TPEx)), we classify the combined sample observations into four samples and run quantile regressions to investigate whether the relation will be uniform across various quantile levels. Our results show that the relation between firm characteristics and cumulative abnormal returns is not homogeneous across various quantiles of abnormal returns. Our evidence indicates that in general the relation tends to be stronger for firms at higher performance quantile levels and tends to be more pronounced for TWSE firms. The strongest relation is found for the Traditional/TWSE sample, where the abnormal returns are positively related to insider ownership and prior-period earnings, and negatively related to institutional shareholding and price-to-book ratio for firms in the highest abnormal performance quantile.

scholarly journals Analysis of Covid-19 Impact on Stock’s Abnormal Return in Sub Cigarette Sector Companies Listed on BEI

2021 ◽  
Vol 03 (01) ◽  
Author(s):  
May Mulyaningsih ◽  
◽  
Sri Hartini Sri Hartini ◽  
Resta Anggraeni ◽  
Denis Putra Mahendra ◽  
...  
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Analysis Data ◽  
Test Analysis ◽  
Significant Difference ◽  
The Impact

Covid-19 is an international pandemic that has paralyzed the national economic sector. This study aims to analyze the impact of Covid-19 on stock’s abnormal return in cigarette sub sector companies listed on the Indonesia Stock Exchange in the January to May 2020 period. The population of this study is 5 cigarette sub sector companies listed on the Indonesia Stock Exchange in 2020. The research sample selection uses census method so as to obtain 5 sample companies with an observation period of 5 months (January to May 2020). Secondary data in this study regarding stock’s abnormal returns with actual return and market return proxies. Data obtained from the company's daily stock price and composite stock price index. Descriptive statistical analysis, data normality test analysis and hypothesis test analysis are processed using SPSS 25. Statistical test with paired sample t test showed no significant difference in abnormal return between the period of 52 days before and when WFH with a significant level of 95% (α = 0.05). From the SPSS test results it is known that the significance value obtained is equal to 0.911. When compared with the significance value that has been set. The value is greater (α> 0.05). So H1 which states there are differences in stock’s abnormal returns before and during the WFH Covid-19 is rejected.

scholarly journals The Post-IPO Performance in the PRC

2019 ◽  
Vol 14 (11) ◽  
pp. 109
Author(s):  
Zhang Hanbing ◽  
Jeffrey E. Jarrett ◽  
Xia Pan
Keyword(s):  
Initial Public Offerings ◽  
Information Disclosure ◽  
Stock Exchange ◽  
Intrinsic Value ◽  
Emerging Market ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Regression Result ◽  
Cross Sectional ◽  
Long Run

The long-run underperformance of IPOs (Initial Public Offerings) is one of the three “New Issues Puzzles” It indicates that if investors buy IPOs and hold for more than three years they will get negative abnormal returns It is necessary to examine the long-run performance of IPOs in China because it benefits how to enhance the efficiency of IPOs market and provides insight of emerging market This paper empirically examines the performance for three years after listing of 76 Shanghai Stock Exchange IPOs form 2002 to 2007, the matched company as the benchmark, the matched company comes from the same industry and similar circulated stock value with listed companies. First it computes the long-run excess returns of the IPOs with types of models. Then it examines whether the underperformance has statistical significance or not. After that, it analyzes the relationship between the variables and long-run performance of IPOs. Research documents that the IPOs significantly underperformed the matched companies. The cumulative abnormal returns over the three years listing are -0.18446. The buy and hold abnormal returns over three years after listing are-0.01284. At last, using the cross-sectional analysis to analyze the factors that affect the long-run performance of IPOs, the regression result shows that EPS is the basic reason; the intrinsic value, issue characteristics and the investors’ sentiment (overoptimistic) are the main reason for long-run performance of IPOs. This paper analyzes the reason of this phenomenon, then from the reason puts forward relevant suggestions: firstly, improving the information disclosure; secondly, evaluating the rational investors; thirdly, strengthening market supervision.

scholarly journals Lombok’s Tsunami and Stock Abnormal Returns

2021 ◽  
Vol 10 (1) ◽  
pp. 1-8
Author(s):  
Ani Wilujeng Suryani ◽  
Karina Dian Pertiwi
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Insurance Companies ◽  
Study Approach ◽  
Cumulative Abnormal Returns ◽  
Tsunami Earthquakes ◽  
Tsunami Earthquake

Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss. Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory

scholarly journals THE PHENOMENON OF RATIFYING REVISION OF THE KPK LAW: HOW INVESTOR REACTED?

2021 ◽  
Vol 11 (1) ◽  
pp. 51-63
Author(s):  
Versiandika Yudha Pratama ◽  
Happy Sista Devy
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
T Test ◽  
Average Abnormal Return ◽  
Significant Difference ◽  
Before And After

This research aimed to determine there are difference in average abnormal returns of companies in the Jakarta Islamic Index (JII) before and after phenomenon the revised Corruption Eradication Commission Act, which is on September 17th, 2019. This research use event study for method and the data in this study are secondary data in the form of stock price. Sampling technique uses purposive sampling method. Determined sampling technique, 27 companies were obtained as research samples. Tests conducted are one sample t-test and paired sample t-test. The result of the one sample t-test showed that the phenomenon of ratifying the revision of the KPK law becomes meaningful information to investors and investors show that reactions to these event. It showed by the result of significant and negative abnormal returns in the few day before and several days after phenomenon. The result of the second hypothesis testing indicate that there is no significant difference the average abnormal return before and after the ratification of revised Corruption Eradication Commission Act   Keywords: Revision of KPK Law, Average Abnormal Return, Event Study

Is Indonesia Stock Exchange Semi-Strong Form Efficiency?

2020 ◽  
Vol 24 (2) ◽  
pp. 313
Author(s):  
Nelmida .
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
Strong Form ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Analysis Technique ◽  
Before And After

This study aims to analyze the effect of the announcement of warrant listing on the stock price movement on the Indonesia Stock Exchange (IDX). The data used in this study is secondary data on companies that warrant listing from 2011 to 2018. The number of samples used is 10 with a purposive sampling technique. The analysis technique used in this study is the study of events, by using ten windows before and after the warrant listing. To prove the hypothesis proposed by conducting a t-statistic test. Based on the results of the analysis it was found that there were significant differences an abnormal returns and cumulative abnormal returns before and after the announcement date of the warrant listing on the Indonesia Stock Exchange, and it could be indicated that the Indonesia Stock Exchange was called the semi-strong form efficiency.

scholarly journals Behaviour of Follower Investor in the Formation of Stock’s Price on Market Crash

2017 ◽  
Vol 1 (1) ◽  
pp. 27
Author(s):  
I Gusti Ayu Nyoman Budiasih ◽  
Made Dewi Ayu Untari ◽  
I Made Sadha Suardikha ◽  
I Ketut Suryanawa
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Data ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Irrational Behavior ◽  
Analysis Technique ◽  
Significant Difference ◽  
The Difference

This study is aimed to get empirical evidence about the indications of behavior of follower investor in the formation of stock’s prices in the Indonesian Stock Exchange (BEI) when the event market crash occured. As well as aiming to analyze whether the behavior of follower investor can be called irrational behavior by looking at the difference in behavior of follower investor on each sector in IDX. This study uses secondary data in the form of stock’s closing price and Indonesia Composite Index (IHSG) companies listed on the BEI Stock Exchange during 2010-2013 by accessing the website www.idx.co.id, www.finance.yahoo.com, and www.ksei.co.id. Total populations are 507 companies, while the total samples are 350 companies. The analysis technique used is Cross-sectional Absolute Deviation (CSAD) to detect the behavior of follower investor in the formation of stock price and One Way ANOVA test with Post Hoc Test and Least Significant Difference (LSD) to analyze the irrationallity in follower investor’s behavior. The analysis showed that there were indications follower investor’s behavior in the stock’s price formation and proved that behavior of follower investor is an irrational behavior. 

Directors’ trades in UK rights issues: do firms sell overvalued new equity?

2019 ◽  
Vol 18 (1) ◽  
pp. 113-133
Author(s):  
Heba Ahmed Abbas Ali
Keyword(s):  
Insider Trading ◽  
Stock Price ◽  
Abnormal Returns ◽  
Seasoned Equity Offerings ◽  
Sign Test ◽  
Cross Sectional ◽  
Content Type ◽  
Long Run ◽  
Timing Hypothesis ◽  
Rights Issues

PurposeThis paper aims to examine the behavioral timing hypothesis in the context of UK rights issues by seeking to establish and investigate inter-relationships between directors’ trading around rights issues as a proxy for stock mis-valuation and post-issue stock price performance.Design/methodology/approachThe cumulative average abnormal returns, the buy and hold abnormal returns, the standardized residual cross-sectionalt-test and the generalized sign test techniques.FindingsThe directors do possess short-term timing ability as they can identify profitable trading situations by buying more often before stock outperformance and by selling more often before stock underperformance. In addition, directors trading prior to the rights offering is found to exert an influence on the long-run abnormal returns of the rights-issuing firm, which supports the story that mis-valuation and behavioral timing are empirical.Research limitations/implicationsOther types of seasoned equity offerings rather than rights issues should be included.Practical implicationsThe research provides a direct testing for the strong form of market efficiency hypothesis, which enables policymakers to take into account market reaction to directors’ trades and how it is affected by corporate events (e.g. rights issues) when addressing insider trading regulations.Originality/valueThis study extends available literature in the context of both developed and emerging equity markets to testing the behavioral timing hypothesis by testing the inter-relationships between directors’ trading around rights issues and post-issue short- and long-run performance. To the best of the author’s knowledge, this is the first study that examines these inter-relationships in the UK context.

scholarly journals Coronavirus Information Spread and Banks’ Stock Returns in Nigeria: An Event Study Approach

2021 ◽  
Vol 04 (01) ◽  
Author(s):  
Ikwuagwu, Henry Chinedu ◽  
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Banking Sector ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Share Prices ◽  
Study Approach ◽  
Corona Virus ◽  
Daily Data ◽  
Information Spread

This research study empirically assessed the corona virus information spread and banks’ stock returns in Nigeria. The study adopted event study approach which suites the research because of its descriptive nature. The daily data of closing share prices of the selected banks listed in Nigerian Stock Exchange (NSE) was collected from NSE website for a period of 146 days. Using 124 days estimation window, the result shows that the Intercept (C) and Market Returns (MKTR) has a coefficient of -0.00125 and -0.00848 respectively. Analyzing the stock of commercial banks in the Nigerian stock exchange during the first 100 days of COVID-19 contagious infectious disease outbreak in Nigeria, we find that the pandemic disease interacts positively with stock returns which is against the expectation. Specifically, banking firms’ abnormal returns on the corona virus information spread at 100th day are positive but insignificant. We therefore conclude that COVID-19 information into the Nigerian banking sector triggers positive investment in the sector with desirable abnormal returns. We therefore call the relevant authorities to adequately consider policy responses implemented in the sector, and to further analyze information about the COVID-19.

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