Sectoral and industrial performance during a stock market crisis

Ranjeeni, Kumari

doi:10.1016/j.ecosys.2013.12.002

Cited by 17 publications

(4 citation statements)

References 31 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Since our sample period includes the period of global financial crisis, in our final sensitivity analysis, we replicate the analyses in Table 6 by excluding 2007–2008 (Ranjeeni, 2014) from our sample. Our untabulated results continue to show a negative and significant coefficient on net stock issuance for 1-year (parameter = −0.0937; t -statistic = −3.23) and 2-year (parameter = −0.1029; t -statistic = −4.28) ahead stock returns.…”

Section: Resultsmentioning

confidence: 99%

Net stock issuance anomaly and cash flow explanation: A research note

Naidu²,

Navissi³

et al. 2017

Australian Journal of Management

Self Cite

View full text Add to dashboard Cite

Prior studies show that net stock issuance is negatively associated with the cross section of future stock returns, reflecting a market anomaly. Our study provides empirical evidence on whether cash flow can mitigate such anomaly. Consistent with prior research, we initially provide evidence of the anomaly in our sample and that the anomaly persists in the presence of cash flow. We then decompose net stock issuance into stock issues and stock repurchases and find that the anomaly is only driven by stock issues but not stock repurchases and that the stock issues’ anomaly persists even in the presence of cash flow. JEL Classification: G12, G14

show abstract

Section: Resultsmentioning

confidence: 99%

Net stock issuance anomaly and cash flow explanation: A research note

Naidu²,

Navissi³

et al. 2017

Australian Journal of Management

Self Cite

View full text Add to dashboard Cite

show abstract

“…The "event study" method is widely used in economics and finance to examine security price behavior around an event (see Binder 1998;Brown and Warner 1985;MacKinlay 1997). Additionally, this method has been widely applied to crises, such as the bankruptcy of Lehman Brothers that caused the financial crisis of 2007-2008, an announcement that affected security performance during the U.S. subprime crisis, and others (see Aizenman et al 2016;Becchetti and Ciciretti 2011;Cimini 2015;Dimovski 2009;Dooley and Hutchison 2009;Fiordelisi et al 2014;Miyajima and Yafeh 2007;Miyanoya 1999;Ranjeeni 2014;Ricci 2015;Wilson et al 2000). In addition, the event study is used to examine the reaction of the stock market to the COVID-19 pandemic by Harjoto et al (2021), Størdal et al (2020), andLiu et al (2020).…”

Section: Methodsmentioning

confidence: 99%

How Does Market Cap Play Its Role in Returns during COVID-19? The Case of Norway

Dinh

2023

JRFM

View full text Add to dashboard Cite

This research investigates the role of the large, medium, and small market cap portfolios in returns during the COVID-19 pandemic, around the ‘lockdown’ policy in March 2020 based on the Norwegian market. The main results suggest that during the event window, the medium and small portfolios are impacted more negatively than the large. During the before-event days, the large portfolio is slightly negatively affected, but it tends to be better after the event. The medium and small portfolios are not adversely affected during before the event, but they are considerably negatively affected after the event. The small portfolio is affected more severely negatively than the medium. The small portfolio is the most volatile of the three during the event window. In addition, there are opportunities to earn extremely positive abnormal returns (from 2.5%) after the event by holding the small and medium portfolios, but not for the large. It seems that more opportunities to earn extremely positive abnormal returns for the small portfolio than the medium.

show abstract

“…A better understanding of the connectedness among business sectors can help to avoid potential risk across different business sectors and may provide effective government policy response mechanisms towards major events in financial market. In fact, studies such as Ali et al (2011), Ranjeeni (2014), Yang et al (2016), Lee and Goh (2016) and Wu et al (2019) have all shown how different business sectors and international trade (Duasa, 2009) exhibit varied reactions to market shocks and sectoral heterogeneity. As an example, Lim (2008) made a comparison across eight economic sectors on the Malaysian stock market and found that the 1997 Asian financial crisis had caused impacts to cascade across each of the eight economic sectors, except for the mining and tin sector, respectively.…”

Section: Introductionmentioning

confidence: 99%

Connectedness analysis of price return index among Malaysian economic sectors

Ahmad

Shahiri

Nor

et al. 2023

IMEFM

View full text Add to dashboard Cite

Purpose This study aims to explore the connectedness of price return index spillovers across eight economic sectors in the Malaysian stock market (Bursa Malaysia). Design/methodology/approach The analysis uses daily data of sectoral price index from 10 May 2005 to 24 February 2021. The study uses Bayesian time-varying parameter vector autoregressive. Findings The degree of price return index spillovers varies over time, reaching unprecedented heights during the COVID-19 pandemic in 2020. The industrial economic sector is the main transmitter of price index return shock, whereas the utilities economic sector is the dominant receiver of index return spillovers. Originality/value The findings are critical for investors, market participants, businesses and policymakers in developing action plans for the vulnerable sectors. It further enhances investors’ confidence in making investment decisions.

show abstract

Sectoral and industrial performance during a stock market crisis

Cited by 17 publications

References 31 publications

Net stock issuance anomaly and cash flow explanation: A research note

Net stock issuance anomaly and cash flow explanation: A research note

How Does Market Cap Play Its Role in Returns during COVID-19? The Case of Norway

Connectedness analysis of price return index among Malaysian economic sectors

Contact Info

Product

Resources

About