Event Study

In this study, we attempt to shed some light on the effects of SWF investment activities by analyzing the short-term impact of SWF investments on the performance of those companies in which they invest. We collect both direct and indirect data on equity investments for ...

This study aims to examine the effect of monetary policy announcements on returns in the Indian stock market. An event study methodology is employed to evaluate the influence of such announcements. The research utilises daily time series data from broad market indices like the Nifty 50, Nifty 100, Nifty 200, and Nifty 500 to represent the Indian stock market, alongside sectoral indices including Nifty Auto, Nifty Bank, Nifty Financial Services, Nifty FMCG, Nifty IT, Nifty Media, Nifty Metal, Nifty Pharma, Nifty Private Bank, Nifty PSU Bank, and Nifty Realty. The results reveal that a reduction in the repo rate announcement leads to a negative effect on broad market indices on the announcement day. Similarly, an announcement of an unchanged repo rate also causes a negative impact, while an increase in the repo rate initially has a positive effect, although this impact diminishes as the stock composition of the indices grows. Overall, the study suggests that stock market returns are largely unaffected by changes in monetary policy rates or reserve requirements.

While prior research on the Covid-19 effects on stock markets focused on developed countries, this study aims to examine the impact of Covid-19 on Iran’s emerging and developing market. The study sample comprised 245 companies listed on the Tehran Stock Exchange (TSE). This study uses panel-data regression models to evaluate the influence of the Covid-19 announcement on stock returns from February 12th to February 26th, 2020. The study results indicate that the announcement of the Coronavirus outbreak in Iran had not caused an abnormal return on the TSE. In examining the impact of this event on various industries, we have observed that other sectors did not show abnormal reactions through the news except for the three groups of banks, base metals, and pharmaceutical companies. Discussion and conclusion: the findings of this study suggest the poor market efficiency of TSE. Considering TSE is subject to macro-variables in the country, we have found that the metal industry in Iran conv...

The present study aims to examine the impact of two economic shocks i.e., COVID-19 and Ukraine-Russia war in the Indian equity market using 3 broad market indices and 14 sectoral indices of National Stock Exchange of India (NSE). Four events concerned with COVID-19 i.e., WHO announcement of COVID-19 as global pandemic, first lockdown in India, start of the second wave of COVID-19, peak of second wave and one event of Ukraine-Russia war have been selected for the analysis. In this study, daily stock returns have been used to compile abnormal returns and cumulative abnormal returns and event study methodology has been applied. It has been found that the selected indices show high volatility during various events, however, failed to generate abnormal returns.

Purpose -The objective of this study is to analyze the impact of changes in credit ratings on the long-term return of Brazilian firms. Design/methodology/approach -We conducted an event study to measure how stock prices in the Brazilian stock exchange (B3) react to rating upgrades and downgrades by Moody's and S&P. Findings -Our sample presents positive and significant returns measured by the BHAR for ratings downgrades and non-significant ones for upgrades. Our data also show the important role of the previous rating in explaining these results in a non-linear fashion. Originality/value -Our research makes an important contribution to the theory of market efficiency, analyzing the degree of information present in the announcements of credit ratings changes. We also present results for Brazilian companies, correcting gaps pointed out in previous methodologies.

Since 2000 the South African rand has been among the most volatile emerging market currencies, occasionally experiencing sharp depreciations. These sharp fluctuations in the value of the currency cannot be adequately explained by models of flow-supply and flow-demand of currency or by movements in fundamental factors, yet few studies have employed an asset pricing approach to explain exchange rate variability in emerging markets. To remedy this gap, we use an event study methodology to measure the impact of monetary policy announcements and political events on the exchange value of the South African rand. Using daily exchange rate data over the period March 1, 2000 to December 31, 2014, we find that the rand is highly responsive to both monetary policy announcements and political events. A total of 28 out of 43 monetary policy announcements displayed significant cumulative abnormal returns, while four political events, most notably the Marikana massacre, had significant impact on th...

This paper investigates the reputational risk measurement in banking using a simple model that integrates random effects and Logit models. The pricing theory is outlined to include risk determinant factors as well as negative news for banks. The environment under which the quantitative model is applied corresponds to the perfect macroeconomic storm of Brazil that represents its weak oil prices, faint domestic economic activity and huge political problems. These aspects can increase risk in Brazilian banks, particularly by creating rumors that may trigger bank runs or other reputational problems. The results indicate that the large banks in the sample have the capacity to absorb the problems related to reputational risk with small variance and probability. One large investment bank suffered reputational problems.

This paper analyzes the impact of 130 strategic alliance announcements involving European telecommunications firms on capital markets. We use the event study methodology. We define the event as the public announcement of an alliance initiative by a firm in the media. Specifically, the data was collected from alliance-related news items posted in the Press Release pages in corporate websites. Our findings indicate that investors appreciate the importance of alliance initiatives by European telecommunications firms, and this is reflected in their effect on the volatility of share prices surrounding announcement date. In view of the null effect of alliances on returns, however, it would seem that the expectations generated in the market are mixed. On considering the influence of firm-specific characteristics on the effects of alliances disclosure in capital markets, our results show that in young companies, with a smaller size, less profitable, and with growth perspectives more uncertain, the effect of announcements of alliances is negative. Comparison of our results with the evidence for the US market reveals a smaller reaction in European markets which could be explained by both differences in the legislative, economic and social environment and the specific features of the firms operating in the two markets.

Abstrak Dalam dunia investasi baik dalam bisnis apapun pasti terdapat risiko, salah satunya yaitu risiko spekulatif,orang yang berinvestasi akan mendapat 2 kemungkinan, kemungkian pertama yaitu investasinya untung dan yang kedua yaitu rugi. Risiko investasi dapat disebabkan oleh beberapa faktor salahsatunya yaitu  pertistiwa politik seperti pemilu, meskipun pemilu tidak langsung menorobos BEI tetapi ini akan menjadi suatu pertimbangan bagi para investor dalam berinvestasi. Penelitian ini bertujuan untuk mengetahui apakah peristiwa politik pemilu dapat mempengaruhi pasar modal indonesia. Dalam penelitian ini penulis menggunakan metode deskriptif dan merupakan penelitian event study yang menguji ada atau tidaknya suatu reaksi pasar akibat adanya suatu peristiwa, serta data sekunder dari berbagai referensi. Data yang di ambil berasal dari perusahaan yang tergabung dalam saham  indexs LQ45 pada periode pemilu 2009,2014 dan 2019 yang telah di olah oleh peneliti sebelumnya. Dari hasil pen...

Employing the standard event study methodology and the OLS market model to examine how the global pandemic announcement impacted cryptocurrencies, we test the null hypotheses that "the global pandemic declaration did not significantly impact the abnormal returns of the cryptocurrencies", and "during the global pandemic declaration, the cryptocurrencies did not experience any significant abnormal volatilities". The average abnormal return on t-2 was nearly minus 40 percent, which is the highest negative value during the 61-day event window. The cumulative average returns are significantly negative during the event window. The global pandemic news has significantly impacted cryptocurrencies and are more volatile during the outbreak. The study's findings will empower the investors to implement proper investment strategies during emergencies.

PurposeWith a sample of 22 banks, this study examines the significance of the news contents about the privatization of two public sector banks in India. New information does impact the stock markets. This study provides evidence on how the privatization of public sector banks impacted the returns of the Indian banking sector.Design/methodology/approachThis study employs the standard event study methodology with the market model for estimating the normal returns.FindingsThe statistical results indicate that while the private sector banks experienced positive average abnormal returns on the event day, the cumulative effect of the announcement is negatively significant for both private and public sector banks. The statistical results also provide evidence of information leakage, with significant results before the announcement date. The shorter event windows analysis exhibits significant positive returns in the 5-days [−2, +2] window for the private sector banks and the entire sample, ...

We study market reaction to the announcements of the selected country hosting the Summer and Winter Olympic Games, the World Football Cup, the European Football Cup and World and Specialized Exhibitions. We generalize previous results analyzing a large number and different types of mega-events, evaluate the effects for winning and losing countries, investigate the determinants of the observed market reaction and control for the ex ante probability of a country being a successful bidder. Average abnormal returns measured at the announcement date and around the event are not significantly different from zero. Further, we find no evidence supporting that industries, that a priori were more likely to extract direct benefits from the event, observe positive significant effects. Yet, when we control for anticipation, the stock price reactions around the announcements are significant.

This study examined the signalling theory about how the market / investors respond to dividend announcements made by companies listed on the Indonesia Stock Exchange during the period 2008-2012. This period was chosen because the economy and economic growth of Indonesia is relatively stable. In general, the objective of this research is to develop new theoretical approaches, in an effort to resolve the conceptual controversies regarding the impact of dividend policy on firm value. That in detail, in particular, objective: To analyze and empirically test the market reaction to the announcement dividend omissions, as well as Analyze and test empirically the firm-specific characteristics variables that affect the market reaction. The samples are all companies that announced dividend policy for 5 years as many as 242 companies with 729 event announcements. The results showed that in events dividend announcement found a significant reaction from the market. At the announcement of dividen...

Theoretically, corporate restructuring is meant to remove firms' operating and financial constraints and improve jimz perfonnance. However, corporate restructuring announcement might be interpreted differently by the market. Using event-study method, this study examines the impact of corporate restructuring announcements made by selected ./inns on their stock prices.

The capital market is an investment place that is developing quite rapidly today. When investing in the capital market, investors are facing a trade off between return and risk. The purpose of this study is to analyze the reaction of the capital market to news related to the Covid-19 case in the early stages of the pandemic by using an event study, part of the theory of market efficiency. The announcements that were studied were the reactions: 1) Announcement of the initial appearance of Covid-19, 2). WHO announcement has declared Covid19 a global pandemic, 3). Announcement of spike in Covid-19 cases to reach 10,000. This study used stocks that join the LQ45 index as the population. Furthermore, the technique of determining the sample is a saturated sample. The results show that the capital market reacts to the 3 series of events studied. In addition, there is an abnormal return. This shows that the market is working efficiently in a semi-strong form. Furthermore, based on the paire...

This study analyzes the reaction of the Indonesian capital market to the Covid-19 incident by using the Liquid-45 market index . The method used to analyze abnormal returns is the event study method. The research period used is 111 stock exchange days consisting of an estimation period and a window period. The results showed that during the Covid-19 pandemic, the Indonesian capital market was said to be efficient in a half-strong form both in information and decisions. Information efficiency means that the market responds quickly and efficiently in a decision meaning that the market responds appropriately. The negative and significant Average Abnormal Return also reflects the Covid-19 Pandemic has had a negative impact on the Indonesian capital market.

In this study analysis are made by giving empirical evidence on the stock prices reaction to the declaration of first time inclusion/exclusion of firms from KSE-100 index. The study has covered the sample period of 10 years from 2001 to 2010 by taking 207 firms ...

Current and projected (up to 2050 A.D.) concentrations of boundary layer trace gases, including NO,, CO, CH,, and several nonmethane hydrocarbons were redistributed throughout the troposphere in a simulation of a central U.S. squall line using the Goddard Cumulus Ensemble (GCE) convective cloud model. Vertical profiles of the redistributed trace gases were used in a one-dimensional photochemical model to determine the vertical profile of the potential production of 0,. Several different emission scenarios were considered. In the case where NO, emissions were doubled along with an increase in CO, CH,, and NMHC's, the middle troposphere showed an enhancement of 41% for 0, production relative to the 1985 case. For the reduction scenario, where NO, emissions were decreased by a factor of two, the 0, produced in the middle troposphere was reduced by 50%. Given the role of convection in the regional 0, budget of the central U.S. during the summertime, our results suggest that substantial changes in emissions could bring about changes in mid-tropospheric O3 large enough to be observed by satellite remote sensing.

There are two types of stock price manipulation examined in the theoretical literature: 1) insider trading, which involves private information that is true; and 2) the public spreading of fraudulent false information. While there is a large empirical literature on insider trading, this is the first empirical paper to examine the impact of false, fraudulent public information on stock prices and trading volume. We find that such false information, even after being denied by a credible source such as the SEC, generates both abnormal returns and abnormal trading volume. We also find that the effects of the false information on security returns and volume can be persistent for at least two weeks. In addition, we show that perpetrators of false news attacks can make potentially large profits from such market manipulations.

Purpose Focusing on two beer festivals held in Nottingham, England, this study aims to evaluate their indirect impact on the performance of city hotels. This study builds on theoretical insights from the revenue management literature to shed empirical light on the potentially beneficial effects of events on the hotels’ performance. This study investigates the impact of the differential support offered by the destination management organisation (DMO) over two years. Design/methodology/approach Using online prices posted in advance of the events on an online travel agent, the authors assess hotel performance for each day of the events relative to the same day of the week in a week with no event. A similar comparison is made to assess the impact across two different years. In both cases, an ordinary least squares methodology was used. Findings Both events appear not to have had a strong impact on hotel prices and occupancy in 2016, i.e. when the DMO’s promotional effort was more proact...

There is a substantial theoretical literature on the potential effects of loyalty contracts, but relatively little empirical work. We employ the event study methodology to examine the competitive effects of exclusionary contracts in the ocean shipping industry, where they were the subject of an extended legal and political struggle. We find that some of the most important events in this conflict caused significant changes in shipping firms' stock returns, indicating exclusive contracts increased their profits. We then examine the effect of these events on net exporting industries' stock returns, and provide evidence that these contracts contributed to carriers' market power. THE USE OF EXCLUSIVE CONTRACTS and other loyalty-inducing instruments is one of the most controversial issues in competition policy. Despite the existence of a considerable theoretical literature, there is still much disagreement about the key question of whether the primary effect of exclusive contracts is to enhance efficiency or to contribute to market power. 1 Moreover, much of the literature has focused on exclusive dealing relationships between manufacturers and retailers, although this is but one example of loyalty-based pricing policies employed by firms. 2 *We would like to thank George Deltas, Herb Emery, Walter Garcı´a-Fontes, Aidan Hollis, Ricardo Mora, Victor Stango, and seminar participants at the University of Calgary, the Universidade de Vigo, the Jornadas de Economı´a Industrial and the 27 th EARIE conferences. We would also like to thank the editor and two anonymous referees for helpful comments.

This research was conducted to determine the effect of the Covid-19 Pandemic of the 45 top stocks (LQ-45) listed on the IDX. In this study, the authors used 45 stock samples that were members of the LQ-45 in the 2020 period. The research method used was the Paired Samples T-Test and the Wilcoxon Signed Ranks Test. Based on the results of the tests that have been carried out, it can be concluded that before and after the Covid-19 Pandemic had a significant influence on LQ-45 shares listed on the Indonesia Stock Exchange in 2020. The test results using the Paired Samples T-Test showed that the average variable The abnormal return (AAR) between before and during the Covid-19 pandemic had a significant effect. Meanwhile, the variable Average trading volume activity (ATVA) shows a significant positive effect between before and during the Covid-19 pandemic.Keyword : Social Events, Pandemic Covid-19, Abnormal Return, Trading Volume Activity, Event Study

This study aims to find out how investors react to stock price movements before and after the COVID-19 pandemic. This study uses an event study on food and beverage sub-sector companies listed on the Indonesia Stock Exchange in 2020. The time of the study lasted for 10 days, namely 5 days before the covid-19 pandemic and 5 days after the covid-19 pandemic. Samples obtained as many as 30 companies. In this study using a different test. The results of this study are based on the results of the Wilcoxon test, there is no difference in abnormal returns before and after the announcement of the covid-19 pandemic and there is no difference in investor reactions before and after the announcement of the covid-19 pandemic.Keywords: Investor reaction, abnormal return, TVA

The purpose of this study was to determine the effect of the co-19 pandemic on the composite stock price index on the Indonesia Stock Exchange. The research method used in this study is quantitative. This study uses secondary data obtained through data collection techniques on documents. The sample in this study were all companies listed on the Indonesia Stock Exchange (IDX) using purposive sampling technique.             The paired sample t-Test results show the t value of the Composite Stock Price Index before and after the Covid-19 Pandemic in 2020 t count of 8,176 with sig.t 0,000 <α 0.05 then H0 is rejected and H1 is accepted, meaning there is a ISHG (Composite Stock Price Index) difference between before and after the pandemic covid-19. Keywords: Covid-19 pandemic events, Composite Stock Price Index

This study documents the effect of the Super Bowl on the stock returns of firms that are geographically associated with the competing teams. We find significant upward return drift in the 9 trading days leading up to the Super Bowl, a pattern consistent with investors trading in anticipation of the game itself. The ''anticipatory behavior'' among investors leads to widespread pregame returns, which is not documented in prior studies. These pre-event abnormal returns are positive and statistically and economically significant for all firms, and the size of pre-event returns varies according to each team's favored status. In addition, firms associated with the winning team exhibit significant positive return drift over the 10-day period after their win. Firms associated with the losing team exhibit moderate downward drift. Our findings are strongest among the smallest quintile of firms and are robust to various risk adjustments and using a matched sample control group. The collective findings suggest that only by standing on the sideline will investors avoid winning around the Super Bowl.

When war breaks out on a weekend, stock exchanges are closed but Bitcoin is not. This paper studies what happens in that gap, and in the weeks that follow. We examine five discrete conflict escalations across three ongoing wars: Russia's full-scale invasion of Ukraine (February 2022), the Hamas attack on Israel (October 2023), two rounds of Iranian strikes on Israel (April and October 2024), and the US-Israeli strikes on Iran that began Operation Epic Fury on 28 February 2026. Using event study methodology across short [-2,+2], medium [-5,+30], and long [-30,+180] windows, we find that Bitcoin drops 5-8% at or around conflict onset in most events and recovers within days, behaving nothing like a safe haven in the short run yet outperforming gold over medium horizons in three of five events. The January 2024 spot ETF approval marks a structural break: post-ETF shocks are roughly 3 percentage points smaller and recovery time fell from 18 days to 4. Perhaps the clearest finding is on-chain rather than price-based: USDT transfer volumes on conflict-zone exchanges surged between 200% and 700% across events, dwarfing Bitcoin's role; people under fire want dollars, not Bitcoin. VAR analysis confirms that geopolitical risk shocks depress Bitcoin returns by around 0.42% per standard deviation, with oil prices accounting for approximately 43% of that transmission. As a robustness check we trained XGBoost and LSTM classifiers to predict next-day Bitcoin return direction during conflict windows. XGBoost underperformed random (AUC = 0.41), while LSTM marginally exceeded it (AUC = 0.54), suggesting some sequential structure in conflict-period returns that tree-based models cannot capture but that is too weak to generate exploitable signals at daily frequency. E5 data run through 15 March 2026: Bitcoin is up approximately 5.9% from its pre-strike level at $70,982, trading above equities (S&P 500 down 3.1% year-to-date) with Brent crude at $101.68/barrel and the Strait of Hormuz blockaded.

The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of the release of all monthly USDA WASDE reports for corn and soybeans from 1985 through 1998. The WASDE reports during the sample period are divided into two groups: one that represents "pure" outlook information and one that represents a "mix" of situation and outlook information. The statistical tests can be placed into two categories: mean price reaction and volatility reaction. Overall, the results suggest that USDA outlook information has a significant impact in corn and soybean markets. The most notable impact is found in options markets, where implied volatility consistently declines after the release of WASDE reports. For the group of monthly reports contai...

Purpose of this research is to unearth the effect of significant political events on stock market performance and volatility of Pakistan during the period 2013 to 2018.Event study methodology is employed to investigate the stock market behaviour in response to major political events i.e. the China Pakistan Economic Corridor CPEC (MOU), Prime Minister Nawaz Sharif disqualification, and the Elections held on 25 th July 2018,in terms of four indexes (i.e. KSE 100 index, KSE all share indexes, KSE-30 index and KMI 30 index).Findings demonstrated that political events influence the stock market according to their nature.The contribution of this study is two folds. The effect of political events on stock market

This article applies the event study approach to assess the immediate impact of Euro on intra-regional trade among the European Union (EU) members. Here, the post-Euro intra-regional trade has been compared with the pre-Euro intra-regional trade, while the implementation of Euro has been considered as the event. The results show that the trade enhancement at the immediate post-event period is 1.2 times of the immediate pre-event period for France, Germany, Italy and Spain, while immediate trade enhancement for all Euro-members is 1.14 times. The estimation has been statistically justified by using the gravity model. This study thus provides the first empirical evidence on the assessment of currency union impact on intra-regional trade by using the alternative method, the event study approach.

Purpose The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015. Findings In the environment where there is an absence of capital gain and income tax, the authors find some evidence for the stock price reaction that partly supports the signaling hypothesis. The findings show that the Gulf Cooperation Council (GCC) market is inefficient because of the leakage information before the announcement in bad news, and the delay of share price adjustment in good news. In addition, the authors report significant trading volume (TV) reaction in all the three announcements clusters, where dividends increase, decrease, and are constant, lending support to the hypothesis that the dividend change announcements have an impact on the TV response due to different investors’ preferences. O...

This research examines the effect of political events on the Nifty Transportation and Logistics Index by employing event study methodology. Focusing on market reactions to significant political developments, particularly election result announcements, the study aims to measure abnormal returns and volatility within a defined event window. The analysis utilizes the market model to estimate abnormal returns for a sample of 31 companies listed in the Nifty Transportation and Logistics Index. Results indicate that election outcomes have a notable influence on the abnormal returns of firms in this sector, demonstrating the transportation and logistics industry's vulnerability to political shifts. These findings emphasize the critical role political risk plays in shaping financial market behavior and offer important insights for investors and policymakers seeking to manage uncertainty in this sector.

This research examines the effect of political events on the Nifty Transportation and Logistics Index by employing event study methodology. Focusing on market reactions to significant political developments, particularly election result announcements, the study aims to measure abnormal returns and volatility within a defined event window. The analysis utilizes the market model to estimate abnormal returns for a sample of 31 companies listed in the Nifty Transportation and Logistics Index. Results indicate that election outcomes have a notable influence on the abnormal returns of firms in this sector, demonstrating the transportation and logistics industry's vulnerability to political shifts. These findings emphasize the critical role political risk plays in shaping financial market behavior and offer important insights for investors and policymakers seeking to manage uncertainty in this sector.

Through analysis of stock responses to two different types of banking M&A deals, specifying M&A and diversifying M&A, we find that specifying M&A deals incur positive cumulative abnormal returns (CAR) in both two-day and three-day windows without controlling for firm size. Diversifying M&A deals incur positive CAR in two different event windows. However, the differences between the two windows are not statistically significant. Contrary to previous studies on M&A in the banking industry of developed markets, the results of our study indicate that markets do not distinguish among various types of M&A deals in the banking industry around the date of announcement. Diversifying M&A generate positive three-day CARs but they are not significantly better than specifying M&A.

The number of mergers and acquisitions (M&A) in emerging markets is growing at a rapid pace partly as a result of their usefulness as a corporate tool to pursue strategic growth. In this study, we investigate abnormal returns to shareholders of bidder firms around the day of M&A announcement for ten emerging Asian markets: China, India,

Through analysis of stock responses to two different types of banking M&A deals, specifying M&A and diversifying M&A, we find that specifying M&A deals incur positive cumulative abnormal returns (CAR) in both two-day and three-day windows without controlling for firm size. Diversifying M&A deals incur positive CAR in two different event windows. However, the differences between the two windows are not statistically significant. Contrary to previous studies on M&A in the banking industry of developed markets, the results of our study indicate that markets do not distinguish among various types of M&A deals in the banking industry around the date of announcement. Diversifying M&A generate positive three-day CARs but they are not significantly better than specifying M&A.

The number of mergers and acquisitions (M&A) in emerging markets is growing at a rapid pace partly as a result of their usefulness as a corporate tool to pursue strategic growth. In this study, we investigate abnormal returns to shareholders of bidder firms around the day of M&A announcement for ten emerging Asian markets: China, India,

This paper aims to the measurement of returns on takeovers on firms listed in the Spanish stock market in the period 1990 to 1993. Using several estimation and testing methods, abnormal positive returns are found for the targets. Some evidence of insider trading is presented and its implications for market regulation are addressed.

We investigate the stock market reaction to 447 announcements of business relocation decisions in the 1978-1990 period. We find that the stock market reaction to such decisions is tied to the motive for the relocation and the implied prospects for the firm, with the type of facility being relocated playing an insignificant role. Our finding reconciles several results in the literature concemmg the stock market reaction to announcements of capital investment decisions.

The goal of this study is to examine the intricate connections between industry-specific capital market responses in a developing country such as Pakistan. In particular, the analysis focuses on the Pakistan-GCC bilateral trade agreement and its impact across different sectors. Using an event study methodology, this article analyzes how the Pakistan-GCC Bilateral Trade Agreement (BTA) has affected the Pakistani share market. Pakistan's textile, food, and petroleum and oil industries all show positive responses, while other sectors react unfavorably. These findings induced an immediate reaction from chosen Pakistani industries. The positive reactions of the industries are encouraging for the economy as well as for shareholders. Therefore, the Pakistan Stock Exchange was susceptible to this incident. To the best of my knowledge, this paper is unique in a sense that it will assist the stockholders and decision makers of trade policy. Moreover, the sectoral focus of the analysis represents an important contribution. The study also examines the unique context of the Pakistan-GCC relationship, which has received limited attention in the existing literature .

The papers collected in this volume were originally presented at a conference in February 2004, on the theme 'Beyond MIRAB: The Political Economy of Small Islands in the Twenty-First Century' . Several of the papers in the collection point towards the emergence of a new three-way taxonomy of small-island socioeconomic formations, comprising MIRAB, PROFIT and SITE idealtypes. The key economic flows in the first are remittances and aid; in the second, jurisdictionallyrelated flows such as tax-haven and money-laundering transactions; and in the third, tourism revenues. All three ideal-types correspond to potentially sustainable temporary equilibria, but in all cases the existing set-up is path-dependent, and subject to regime switch if disturbed. Conceptualisation of the small-island world as a field of multiple equilibria and path dependence points to the future importance of event studies by island researchers. The collection includes also new research on the theory of remittances, and case studies of the MIRAB process and the transnational migrant diaspora.

We challenge the common wisdom that stock-financed public firm acquisitions destroy value. A stock-financed acquisition announcement is, essentially, a joint announcement of a takeover and an equity issue. Using a sample of SEOs we estimate the share price drop that stock acquirers experience due to the implied equity issuance. Net of this effect, stock financed acquisitions are not value destructive, and the method of payment has no further explanatory power in a cross-section of acquirer returns. These results are consistent with the corporate finance principle of the value of an investment project being independent of the source of its financing, and inconsistent with the prevalence of the agency costs of overvalued equity.

Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004-2019 we study the changes in significance and in the strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On the basis of the event study analysis, we describe the reaction of the WIG20 index in the first few minutes after these kinds of announcements.

In this paper, we apply Bayesian hierarchical modelling and Markov Chain Monte Carlo (MCMC) techniques to primary data collected from interviews with 200 prominent historians, economists, politicians, government officials, investors, senior bankers, stock market analysts and other individuals involved in the Pakistani stock markets to measure Pakistan's political risk and its effect on the stock market from 1947 to 2001. We find that the probability of a major political event affecting the stock market in any year is high, averaging 1.5 events per year with a risk premium of between 11.725 and 16.725%. Interestingly, we also find that there is no time trend and thus, that political risk is neither increasing nor decreasing.

This study examined the signalling theory about how the market / investors respond to dividend announcements made by companies listed on the Indonesia Stock Exchange during the period 2008-2012. This period was chosen because the economy and economic growth of Indonesia is relatively stable. In general, the objective of this research is to develop new theoretical approaches, in an effort to resolve the conceptual controversies regarding the impact of dividend policy on firm value. That in detail, in particular, objective: To analyze and empirically test the market reaction to the announcement dividend omissions, as well as Analyze and test empirically the firm-specific characteristics variables that affect the market reaction. The samples are all companies that announced dividend policy for 5 years as many as 242 companies with 729 event announcements. The results showed that in events dividend announcement found a significant reaction from the market. At the announcement of dividend omissions, there are 5 significant observations with 2 observations fit in theory. The study also shows none of the significant characteristics of the company is able to explain the market reaction to dividend announcements.

This study examines the effect of government budget announcement on stock return of selected companies listed at Nepal Stock Exchange. For this purpose, secondary data of 48 companies are used over the study period from 5th November 2018 to 30th June 2019 and analyzed using the event study methodology with an estimation period of 120 days and event window of 41 days. The market model has been used to predict expected stock returns and use of regression technique helps to find the constant parameters of the regression equation. Calculations of AAR and CAAR are done to make sense of the aggregate effect of the government budget announcement on stock returns. Student's t-statistics of AAR and CAAR have provided the evidence that there is a positive effect of government budget announcement on stock returns of selected companies in Nepal.

SARIPATI
Penelitian ini bertujuan untuk menganalisis reaksi pasar modal Indonesia
terhadap peristiwa politik, khususnya Pemilihan dan Pelantikan Presiden Republik
Indonesia tahun 2024, dengan fokus pada pergerakan harga saham pada indeks
LQ45. Metode yang digunakan adalah pendekatan kuantitatif dengan event study
untuk mengukur abnormal return selama 10 hari sebelum dan sesudah pemungutan
suara serta pelantikan presiden. Sampel penelitian terdiri dari 45 perusahaan yang
tergabung dalam indeks LQ45. Teknik analisis data menggunakan uji paired
sample t-test dan wilcoxon signed ranks test untuk menguji perbedaan rata-rata
abnormal return. Hasil penelitian menunjukkan bahwa terdapat perbedaan rata-rata
abnormal return yang signifikan baik sebelum maupun sesudah pemungutan suara,
serta sebelum dan sesudah pelantikan Presiden. Temuan ini mengindikasikan
bahwa pasar modal Indonesia cukup responsif terhadap informasi politik, yang
sesuai dengan hipotesis pasar efisien bentuk setengah kuat. Penelitian ini
memberikan implikasi bahwa peristiwa politik dapat mempengaruhi keputusan
investasi dan fluktuasi harga saham di pasar modal Indonesia.
Kata Kunci: Event Study, Abnormal Return, Indeks LQ45, Pemilihan Presiden,
Pelantikan Presiden, Pasar Modal.
ABSTRACT
This study aims to analyze the reaction of the Indonesian capital market to
political events, specifically the 2024 Presidential Election and Inauguration, by
focusing on stock price movements in the LQ45 index. A quantitative approach was
used, applying an event study method to measure abnormal returns within a 10-day
window before and after both the election and the presidential inauguration. The
sample consisted of 45 companies listed in the LQ45 index. Data analysis
techniques included paired sample t-tests and Wilcoxon signed ranks tests to
examine differences in average abnormal returns. The results indicate significant
differences in average abnormal returns before and after the election, as well as
before and after the inauguration. These findings suggest that the Indonesian
capital market is responsive to political information, supporting the semi-strong
form of the efficient market hypothesis. The study implies that political events can
influence investment decisions and cause fluctuations in stock prices in the
Indonesian capital market.
Keywords: Event Study, Abnormal Return, LQ45 Index, Presidential Election,
Presidential Inauguration, Capital Market.

This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity funds. Currency speculators are shown to front-run these capital flows. Furthermore, they actively manage the portfolio risk of their speculative positions through hedging positions in correlated currencies. The exchange rate effect of separate risk hedging is economically significant and amounts to a return difference of 3.6 percent over a 5 day event window between currencies with high and low risk hedging value. The large price impact of hedging positions suggests that risk averse currency speculators contribute to the 'disconnect' between the fundamental news about individual exchange rates and their short-run returns.

Traditional portfolio balance theory derives a downward sloping currency demand function from limited international asset substitutability. Historically, this theory enjoyed little empirical support. We provide direct evidence by examining the exchange rate effect of a major redefinition of the MSCI Global Equity Index in 2001 and 2002. The index redefinition implied large changes in the representation of different countries in the MSCI Global Equity Index and therefore produced strong exogenous equity flows by index funds. Our event study reveals that countries with a relatively increasing equity representation experienced a relative currency appreciation upon announcement of the index change. Moreover, stock markets that are upweighted (downweighted) feature a higher (lower) permanent comovement of their currency with the basket of other MSCI currencies. (JEL F21, F31, G11, G15) To what extent do exogenous demand shocks move financial market prices? Can they propagate from one asset class to another? These are the questions we address in this article. The first question-commonly referred to as the resilience of a market-has been examined extensively for individual equity prices. 1 Much less is known about the resilience of macroeconomic prices such as exchange rates. 2 Yet exchange rates are particularly important and their Johann-Ruben Schaser provided outstanding research assistance. We also thank Tamas Calderwook from MSCI for his generous help with the MSCI data. Francis Breedon and Paolo Vitale assisted us with the orderflow data. Helpful comments were provided by seminar participants at the Western Finance Association Meetings (2005), Saïd Business