Islamic Calendar Anomalies: Pakistani Practitioners' Perspective

Studies on Islamic calendar anomalies in financial markets tend to apply quantitative analysis to historic share prices. Surprisingly, there is a lack of research investigating whether the participants of such markets are aware of these anomalies and whether these anomalies affect their investment practice. Or is it a case that these practitioners are completely unaware of the anomalies present in these markets and are missing out on profitable opportunities? The purpose of this paper is to analyse the views of influential participants within the Pakistani stock market

Has the Chinese Housing Boom Truly Impacted the U.S. Stock Market? Investigating the Potential Relationship Between China\u27s Housing Price Dynamics and the U.S. Stock Market

In this paper, we review the effect that the boom of China\u27s housing prices has had on the U.S. stock market and the potential connection between the two markets. Looking at it more in-depth, the U.S. stock market focus is on the S&P 500 and the eleven sectors of the stock market (Industrial, Healthcare, Real Estate, Utilities, Materials, Industrials, Information Technology, Financials, Consumer Discretionary, Consumer Staples, and Communication Services) while the housing prices are dictated by the residential housing price index within China. Given the relatively recent disaster in September 2021 regarding the Evergrande Group and their potential for failure, the connection between the two markets has come more into focus now than in recent history. The Evergrande Group crisis combined with the housing boom has potentially created a bubble primed to burst and has set the stage for a collapse. Using data from April 2005 to October 2021 and running OLS regressions, I conclude that there should be a significant linear positive relationship between the housing prices of China and the U.S. stock market. If this turns out to be a positive relationship, investors should be wary of the potential effects the housing market would have on their portfolio if it were to continue to boom or abruptly burst

The Persistence of Pricing Differentials in Dual-listed Companies in Hong Kong and China

Over the past two decades a number of Chinese companies have issued shares on both the Hong Kong Stock Exchange and on one of the Chinese stock exchanges. The Hong Kong-listed H-shares of Chinese dual-listed companies have traded at a persistent discount rate relative to the China-listed A-shares. As these shares represent the same ownership rights and cash flows, the shares should theoretically trade at the same price. The price differential between H-shares and A-shares should decrease as international markets continue to converge. The paper analyzes the persistence of the discount rates and the effects of both market and investor sentiment on the price disparity between the two shares. The paper also examines whether certain sectors consistently trade at larger discount rates relative to others

An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries

Studies on investor sentiment are mostly focused on the stock market, but little attention has been paid to the effect of investor sentiment on the return of a specific industry. This paper constructs a proxy variable to examine the relationship between investor sentiment and the return of a specific industry, using the Principle Component Analysis, and finds that investor sentiment is positively correlated with the industry return of the current period and negatively correlated with that of one lag period; we classify investor sentiment as optimistic state and pessimistic state and find that optimistic investor sentiment has a positive effect on stock returns of most industries, while pessimistic investor sentiment has no effect on them; this paper further builds a two-state Markov regime switching model and finds that sentiment has different effect on different industries returns on different states of market

Analysis into IPO underpricing and clustering in Hong Kong equity market

This paper focuses on the time series properties of the level of underpricing of IPO shares and volume of initial selling in Hong Kong equity market. Strong autocorrelation among the level of underpricing has been identified. Evidence suggests that the initial selling volume plays an important role in the relationship. The links between underpricing and clustering of IPOs within different industries are weak, suggesting the reasons for underpricing are rather related to the market liquidity than industry specific risk characteristics.Underpricing of IPO shares, Hong Kong equity market, the volume of initial selling, Market liquidity

Covid-19: Stock market reaction to government interventions in the UK : Industrial analysis

During the Covid-19 pandemic, governments around the globe have carried out unforeseen actions to stabilize the economy and to prevent the virus from spreading. This thesis aims to examine the short-term impact of these government interventions on different stock market sectors in the UK. In addition, interest lies in whether the stock market reaction is more prevalent in the early stages of the pandemic than in the late stages. An Event study methodology is employed to test the semi-strong form of the Efficient Market Hypothesis, which states that all available information, including historic, is already incorporated in the market prices. The data consists of FTSE All-Share index, and ten industry indices that are selected accordingly to the ICB recommendations. The results show that it is clear that the impact of these discussed government interventions is more prevalent in the early stages of the pandemic than what it is later, to similar announcements. Social distancing intervention announcements have a negative impact on all investigated industries except for Oil & Gas, Health care, Telecommunications and Financials industries. Government economic support packages do not have an immediate impact on the stock market, although significant and positive impact is observed in the post-event period. When the UK stock market is compared to the ACWI All-Country index, the impact of these government announcement is negative and significant for all investigated events. The results indicate that industries that are dependent on real economic activity, react negatively and significantly to government imposed social distancing measures. This negative reaction can be alleviated by government support packages, but the effect is not always present. As the epidemic progresses, the negative impacts of government interventions become less negative while the positive impacts become more positive.Covid-19 pandemian aikana valtiot ovat määränneet ennennäkemättömän määrän eristämistoimenpiteitä viruksen leviämisen estämiseksi sekä valtiontukia talouselämän tukemiseksi. Tämä tutkimus pyrkii selvittämään, millainen vaikutus näillä vastatoimenpiteillä on Iso-Britannian osakemarkkinoihin ja miten eri sektorit näihin reagoivat. Tämän lisäksi tarkastellaan, onko markkinareaktio erilainen pandemian alkupuolella kuin mitä se on myöhemmin pandemian edetessä. Tässä tutkimuksessa käytetään Event study -metodologiaa ja testataan Tehokkaiden markkinoiden keskivahvoja ehtoja, joiden mukaan kaikki saatavilla oleva informaatio, sekä historiallinen informaatio on jo sisällytettynä markkinahintoihin. Aineisto koostuu FTSE All-share osakeindeksistä sekä sen kymmenestä eri sektori-indeksistä, jotka on valittu ICB-suositusten mukaisesti. Tulokset osoittavat, että pandemian alussa markkinat reagoivat huomattavasti voimakkaammin valtion väliintuloihin kuin myöhemmässä vaiheessa. Viruksen leviämistä hidastavat toimenpiteet, kuten ulkonaliikkumiskiellot, vaikuttavat negatiivisesti kaikkiin toimialoihin, lukuun ottamatta öljyn & kaasun, terveydenhuollon, tietoliikenteen sekä rahoituksen toimialoja. Valtion taloustukiin osakemarkkinat eivät reagoi välittömästi, mutta merkitseviä ja positiivisia epänormaaleja tuottoja havaitaan tapahtuman jälkeisellä tarkkailujaksolla. Vastatoimenpiteiden vaikutus Iso-Britannian osakemarkkinaan suhteessa muun maailman osakemarkkinoihin on merkitsevästi negatiivinen kaikissa tutkituissa tapahtumissa. Tutkimustuloksista voi päätellä, että reaalitaloudesta riippuvaiset toimialat kuten yleishyödykkeet tai kuluttajien palvelut reagoivat voimakkaasti ja negatiivisesti tartuntojen ehkäisyyn määrättyihin toimenpiteisiin. Tätä negatiivista reaktiota voidaan yrittää lievittää valtion taloustukien muodossa. Pandemian edetessä valtion väliintulojen negatiiviset vaikutukset lievenevät ja positiiviset vaikutukset vahvistuvat

Comedy Movies and Stock Returns of Locally Headquartered Companies: Evidence from China

We utilize data on comedy moviegoers from 18 cities in China to investigate the impact of the positive mood triggered by these movies on the stock returns of locally headquartered listed companies. We find that although these movies have no relation to investment itself, the sentiment triggered by these movies could affect the risk decision making of investors. Moreover, the stock returns of locally headquartered companies become significantly negative after comedy movies are screened in their respective cities. These results support the mood maintenance hypothesis. This research also provides new evidence for the presence of home bias in capital markets.JEL Classification: G11; G1

Is China's FDI Coming at the Expense of Other Countries?

We analyze how China's emergence as a destination for foreign direct investment is affecting the ability of other countries to attract FDI. We do so using an approach that accounts for the endogeneity of China's FDI. The impact turns out to vary by region. China's rapid growth and attractions as a destination for FDI also encourages FDI flows to other Asian countries, as if producers in these economies belong to a common supply chain. There is also evidence of FDI diversion from OECD recipients. We interpret this in terms of FDI motivated by the desire to produce close to the market where the final sale takes place. For whatever reason -- limits on their ability to raise finance for investment in multiple markets or limits on their ability to control operations in diverse locations -- firms more inclined to invest in China for this reason are corresponding less inclined to invest in the OECD. A detailed analysis of Japanese foreign direct investment outflows disaggregated by sector further supports these conclusions.

On the relationship between changes in consumer confidence and stock market returns : global analysis

Mestrado Bolonha em FinançasThis study provides new insights on the relationship between changes in global consumer confidence indexes and the performance of stock markets in China, Europe, and USA from 2007 to 2021. Besides the full sample we also look into the pre-pandemic and pandemic subperiods. Using contemporaneous correlation and Granger causality tests from the full-time period and pre-pandemic sub-period, generally, we find that the stock market returns are positively correlated with changes in consumer confidence indexes. There are significant two-way Granger causal impacts between the two variables in Europe and the United States. For the Chinese stock market, we find that changes in consumer confidence indexes worldwide can Granger cause Chinese stock returns, but not vice versa. Chinese stock returns only assist to predict changes in East Asian consumer confidence index. For the Covid pandemic sub-period, we find some negative correlations between stock market returns and changes in consumer confidence indexes. For the Chinese stock markets this more evident than for European or United States stock markets. Even so, the returns of the Health Care sector in the United States and Europe alter to be negatively connected with changes in consumer confidence indexes all over the world. Concerning Granger causality results, we find the impact from the stock market returns to the changes in consumer confidence indexes to be stronger during the pandemic sub-period. On the other hand, the causality running from changes in consumer confidence indexes to stock market returns reduced in terms of the number of significant outcomes.Este estudo analisa a relação entre alterações nos índices de confiança dos investidores a nível mundial e a performance dos mercados accionista Chinês, Europeu e Norte Americano, entre 2007 e 2021. Para além da amostra global também analisamos separadamente os sub-períodos de pré-pandemia e pandemia. Utilizando quer a correlação contemporânea, quer testes de causalidade de Granger, de uma maneira geral verificamos que, quer para a totalidade da amostra, quer como para o período pré-pandemia, os retornos do mercado de ações tendem a ser positivamente correlacionados com as mudanças nos índices de confiança do consumidor. É possível identificar impactos significativos, em termos de causalidade de Granger nas duas direcções na Europa e nos Estados Unidos. Para o mercado accionista Chinês, mostra-se que as alterações aos índices de confiança do consumidor em todo o mundo podem ajudar a explicar retornos no mercado de acionista Chinês, mas não vice-versa. De facto, a performance do mercado acionista Chinês apenas ajuda a prever alterações no índice de confiança do consumidor do Leste Asiático. Já durante a pandemia de Covid, encontramos algumas correlações negativas entre os retornos do mercado de ações e alterações dos índices de confiança dos consumidores. Este efeito bem evidente no caso do mercado acionista Chinês, verifica-se com menos intensidade nos mercados acionistas Europeu e America. Ainda assim, os retornos do setor da Saúde nos Estados Unidos e na Europa passam a estar negativamente relacionados com para as alterações de confiança dos consumidores a nível em todo o mundo. Em relação aos resultados de causalidade de Granger, verificamos um aumento do impacto dos retornos do mercado de ações nas alterações dos índices de confiança do consumidor durante a pandemia. Por outro lado, a causalidade entre as alterações nos índices de confiança dos consumidores e os retornos do mercado de ações reduziu em termos do número de resultados significativos.info:eu-repo/semantics/publishedVersio

Essays on American Depositary Receipts: New Fears, Investor Attention and Financial Bubbles

This dissertation consists of four chapters, focusing on American Depositary Receipts (ADRs) and how they are affected by new measures of investor sentiment, new proxies of investor attention, and financial bubble detection. ADRs are negotiable certificates of ownership in foreign companies that are traded in the U.S. financial markets. In Chapter I, I make a brief introduction of ADRs. The types of programs there are, the market capitalization and volume in general and to some specific countries. In Chapter II, I show that negative investor sentiment measures, derived from internet aggregate search indices, have a contemporaneous negative effect on ADR stock indices and a second-day reversal behavior. To build the sentiment measure, I apply a similar methodology developed in recent literature to construct the Financial and Economic Attitudes Revealed by Search (FEARS) index. Moreover, evidence shows that this effect is greater for Latin American ADR indices at the aggregate level and on a country-specific level than for other regions. After matching the sample during times of turmoil, the results are consistent with the literature that employs this sentiment proxy with U.S. stock indices. In Chapter III, I examine the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country profile receives on Wikipedia. A 2-Stage Least Squares (2SLS) model is employed to mitigate the potential endogeneity. Evidence shows that higher levels of investor attention have a negative impact on ADRs mispricing. In Chapter IV, I utilize the Generalized Supremum Augmented Dickey-Fuller test methodology to identify and time-stamp the beginning and the end of financial bubbles in ADR stock indices. Evidence shows that there are multiple bubble episodes in the general ADR index, which correspond to bubble episodes in the S&P 500 during the preceding months of the 2008-2009 financial crisis. Moreover, I also identify several bubble periods on Latin American, European, and Asian ADR indices