scholarly journals The Impact of the US Political Pressure on RMB Exchange Rate: An Event Study Analysis

2016 ◽  
Vol 07 (09) ◽  
pp. 996-1006
Author(s):  
Wei Guo
Keyword(s):  
Exchange Rate ◽  
Event Study ◽  
Study Analysis ◽  
Political Pressure ◽  
Rmb Exchange Rate ◽  
The Us ◽  
The Impact

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 An Empirical Study of the Impact of RMB Exchange Rate Fluctuations on Sino-US Trade

2021 ◽  
Vol 235 ◽  
pp. 01040
Author(s):  
Yatong Ni
Keyword(s):  
Exchange Rate ◽  
Trade Deficit ◽  
Measurement Model ◽  
The United States ◽  
Rmb Exchange Rate ◽  
Exchange Rate Fluctuations ◽  
The Us ◽  
Import And Export ◽  
Exchange Rate Changes ◽  
The Impact

In recent years, the US has urged the yuan to appreciate in order to resolve its trade deficit with China. This article systematically analyzes the basic situation of the RMB exchange rate changes and the development of Sino-US import and export trade in the past 20 years, and uses Eviews to construct a measurement model to confirm that the impact of the RMB exchange rate on Sino-US trade is not as good as the economic development of the importing country The impact is significant, and the intention of the United States to improve the trade deficit by prompting the appreciation of the renminbi is ineffective. It also puts forward the policy recommendations that attach importance to the impact of excessive US consumption on Sino-US trade volume. The US should liberalize strict controls on China’s exports, further optimize the product structure of China’s imports and exports, and establish exchange rate risk prevention mechanisms.

Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence

2021 ◽  
pp. 0258042X2199101
Author(s):  
Prabhdeep Kaur ◽  
Jaspal Singh
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Price Impact ◽  
Exchange Traded Funds ◽  
Study Analysis ◽  
Jel Codes ◽  
Securities Transaction Tax ◽  
Underlying Stocks ◽  
Transaction Tax ◽  
The Impact

The advent of exchange traded funds (ETFs) has rendered index trading much affordable compared to their futures counterparts. The present study attempts to examine the impact of ETF listing on the price of the constituent securities of the index that it aims to track. The sample comprises of all the equity ETFs listed in India from 1 January 2002 to 31 March 2019. Event study analysis has been used to examine whether listing of ETFs bore any price impact on the constituent stocks of ETFs. To account for robustness, both parametric and non-parametric tests have been employed. The estimates obtained from event study analysis revealed that the constituent stocks generated insignificant returns for the period extending from January 2002 to March 2009 and April 2009 to March 2013 but positive and significant cumulative average abnormal returns (CAARs) post ETF listing for the period ranging from April 2013 to March 2019, thus providing evidence in support of positive price impact. The permission granted to pension funds, insurers and Employees’ Provident Fund Organisation (EPFO) to invest their funds in ETFs as well as reduction in Securities Transaction Tax (STT) account for the observed price differential. An analysis of the factors accounting for the variation in valuation effects ascertained that the stocks that were traded thinly prior to ETF listing and those forming part of ETFs with larger asset base experienced positive price impact following ETF listing. JEL Codes: G11, G14

THE IMPACT OF TERRORISM ON TURKISH BANKS’ STOCKS AND CROSS-BANK VARIATION OF ABNORMAL RETURNS

2020 ◽  
Vol 20 (02) ◽  
pp. 2050011
Author(s):  
EDA ORHUN
Keyword(s):  
Regression Analysis ◽  
Event Study ◽  
Banking Sector ◽  
Terrorist Attack ◽  
Abnormal Returns ◽  
Income Level ◽  
The Other ◽  
Terrorist Attacks ◽  
Study Analysis ◽  
The Impact

This paper investigates the impact of the recent terrorist attacks on the Turkish banking sector. Specifically, an event study analysis is executed to estimate the abnormal returns of banks’ stocks in Turkey. According to the results, negative and significant abnormal returns were observed on the event dates of terrorist attacks, those of which especially occurred at international points and touristic places. The study continues with a regression analysis that looks into the cross-bank variation of abnormal returns by using important bank characteristics as predictors. The regression analysis exhibits that banks with higher leverage and larger size are prone to getting more negatively affected by the terrorist attack. On the other hand, banks with higher liquidity and higher income level are likely to have less negative abnormal returns.

scholarly journals Monetary spillovers and real exchange rate misalignments in emerging markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Krittika Banerjee ◽  
Ashima Goyal
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Fixed Effects ◽  
Emerging Market ◽  
Content Type ◽  
Portfolio Flows ◽  
The Us ◽  
Common Correlated Effects ◽  
Monetary Neutrality ◽  
The Impact

PurposeAfter the adoption of unconventional monetary policies (UMPs) in advanced economies (AEs) there were many studies of monetary spillovers to asset prices in emerging market economies (EMEs) but the extent of contribution of EMEs and AEs, respectively, in real exchange rate (RER) misalignments has not been addressed. This paper addresses the gap in a cross-country panel set-up with country specific controls.Design/methodology/approachFixed effects, pooled mean group (Pesaran et al., 1999) and common correlated effects (Pesaran, 2006) estimations are used to examine the relationship. Multiway clustering is taken into account to ensure robust statistical inferences.FindingsRobust evidence is found for significant monetary spillovers over 1998–2017 in the form of RER overvaluation of EMEs against AEs, especially through the portfolio rebalancing channel. EME RER against the US saw significantly more overvaluation in UMP years indicating greater role of the US in monetary spillovers. However, in the long-run monetary neutrality holds. EMEs did pursue mercantilist and precautionary policies that undervalued their RERs. Precautionary undervaluation is more evident with bilateral EME US RER.Research limitations/implicationsIt may be useful for large EMEs to monitor the impact of foreign portfolio flows on short-run deviations in RER. Export diversification reduces EME mercantilist motives against the US. That AE monetary policy significantly appreciates EME RER has implications for future policy cooperation between EMEs and AEs.Originality/valueTo the best of the author's knowledge such a comparative analysis between AE and EME policy variables on RER misalignment has not been done previously.

scholarly journals Using rival effects to identify synergies and improve merger typologies

2011 ◽  
Vol 9 (4) ◽  
pp. 310-335 ◽  
Author(s):  
Joseph A. Clougherty ◽  
Tomaso Duso
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Methodological Approach ◽  
Horizontal Mergers ◽  
European Continent ◽  
Market Data ◽  
Merger Activity ◽  
The Us ◽  
Anglo American ◽  
The Impact

Differentiation of collusive and efficiency-based synergies in horizontal mergers has proven difficult. The authors propose a theory-backed methodological approach to classify mergers that yields greater information on merger types and merger effects. Moreover, the methodological approach distinguishes between mergers characterized largely by collusion-based synergies and those characterized largely by efficiency-based synergies. Crucial to the proposed method is that it considers the impact of merger events not only on merging firms, as is common in the literature, but also on non-merging rivals. The authors demonstrate how the proposed approach clarifies the nature of merger activity through an event-study procedure based on stock market data on samples of large horizontal mergers drawn from the US and UK (an Anglo-American sub-sample) and from the European continent the authors demonstrate how the proposed schematic clarifies the nature of merger activity.

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