Based on the concept of Informational Cities, which are the highly developed prototypical cities of the 21st century, we conducted a regional comparison of four Japanese cities in terms of their “cityness” and “informativeness”. The purpose of our articles is to specify the theoretical framework for measuring the informativeness and cityness level of any desired city, to quantify the chosen indicators in order to compare the investigated cities, and finally, to conclude what is their advancement level in terms of a (...) modern city of the knowledge society. Our methodology is based on a new approach to measure the position of a city in a national or a global scale, originating from information science and its indicators of the knowledge society. It includes such procedures as desktop research and bibliometrics, ethnographic field study, or grounded theory method. The investigated aspects under the notion of the informativeness level are the distinct labour market and mix of companies located in the city, as well as the progressive e-governance and advanced e-government. The notion of cityness level oscillates around the concept of space of flows in the city, including the flow of money, power, information, and human capital. In order to make our model practical and grounded on available evidence, we have chosen four Japanese cities to undergo the process. Tokyo, Yokohama, Osaka and Kyoto are big and economically significant Japanese metropolises. However, our results show that they differ from each other regarding many important aspects. We were able to quantify their performances and create a ranking. The limitation of our approach appears to be the strict quantification method that makes the cityness and informativeness levels of the cities dependent on other cities’ performances, and that does not precisely reflect the actual dimension of the differences between them. Hence, in the future work we will develop a more flexible and independent approach, enabling us to make more accurate statements on cities’ advancement unregarded the advancement level of the other metropolises. (shrink)

This paper is about the development of a face-to-face collaborative technology to support shifting attitudes of participants in conflict via a narration task. The work is based on two cultural elements: conflict resolution theory and the design of a collaboration enforcing interface designed specifically for the task. The general claim is that participants may achieve a greater understanding of and appreciation for the other’s viewpoint under conditions that support partaking in a tangible joint task and creating a shared narration. Specifically, (...) a co-located interface for producing a joint narration as a tool for favoring reconciliation is presented and discussed. The process based on this technology implicitly includes classical steps in conflict resolution approaches, such as escalation and de-escalation. Our goal is to show that this interface is effective and constitutes an alternative to a typical face-to-face moderated discussion. (shrink)

This paper is about the development of a face-to-face collaborative technology to support shifting attitudes of participants in conflict via a narration task. The work is based on two cultural elements: conflict resolution theory and the design of a collaboration enforcing interface designed specifically for the task. The general claim is that participants may achieve a greater understanding of and appreciation for the other’s viewpoint under conditions that support partaking in a tangible joint task and creating a shared narration. Specifically, (...) a co-located interface for producing a joint narration as a tool for favoring reconciliation is presented and discussed. The process based on this technology implicitly includes classical steps in conflict resolution approaches, such as escalation and de-escalation. Our goal is to show that this interface is effective and constitutes an alternative to a typical face-to-face moderated discussion. (shrink)

Extending the work of Davidson and Worrell, we further investigate the stock market''s reaction to announced corporate illegalities. We examine a sample of 535 announcements of corporate crime and obtain an overall insignificant stock market reaction. However, when the sample is divided by type of crime, we find that the stock market reacts significantly to announcements of bribery, tax evasion, and violations of government contracts. We also find a significantly negative reaction to announcements of (...) corporate crime when the company had been previously accused of other illegal activity. For companies accused of crime in the 1970s, 51% of them were accused again in the 1980s. (shrink)

The stock market’s reaction to information disclosure of environmental violation events (EVEs) is investigated multi-dimensionally for Chinese listed companies, including variables such as pollution types, information disclosure sources, information disclosure levels, modernization levels of the region where the company locates, ultimate ownership of the company, and ownership held by the largest shareholder. Using the method of event study, daily abnormal return (AR) and accumulative abnormal return (CAR) are calculated under different event window for examining the extent to which (...) the stock market responds to the EVEs. Furthermore, statistical significance of the difference in stock market reaction is compared between event firms with different characteristics. The relationship between CAR and its impact factors is examined by multivariate analysis. The findings reveal that the average reduction in market value is estimated to be much lower than the estimated changes in market value for similar events in other countries, demonstrating that the negative environmental events of Chinese listed companies currently have weak impact on the stock market. (shrink)

A highly transmittable and pathogenic viral infection, COVID-19, has dramatically changed the world with a tragically large number of human lives being lost. The epidemic has created psychological resilience and unbearable psychological pressure among patients and health professionals. The objective of this study is to analyze investor psychology and stock market behavior during COVID-19. The psychological behavior of investors, whether positive or negative, toward the stock market can change the picture of the economy. This research explores (...) Shanghai, Nikkei 225, and Dow Jones stock markets from January 20, 2020, to April 27, 2020, by employing principal component analysis. The results showed that investor psychology was negatively related to three selected stock markets under psychological resilience and pandemic pressure. The negative emotions and pessimism urge investors to cease financial investment in the stock market, and consequently, the stock market returns decreased. In a deadly pandemic, the masses were more concerned about their lives and livelihood and less about wealth and leisure. This research contributes to the literature gap of investors’ psychological behavior during a pandemic outbreak. The study suggests that policy-makers should design a plan to fight against COVID-19. The government should manage the health sector’s budget to overcome future crises. (shrink)

We study the impact of COVID-19 on Chinese stock market which can be seen as a complex system. We use the event study method to evaluate its performance change in terms of the return rate, turnover rate, etc. We show that the abnormal return of stock market was significantly negative after the outbreak of COVID-19 and did not turn positive until May 2020. Moreover, the five-factor model is used to estimate the ordinary returns of different industries (...) and show that abnormal returns for medical and food industries were significantly positive, while energy and public utility industries had significantly negative abnormal returns which persisted for a long time. COVID-19 had lag effects on clothes industry, finance industry, transportation industry, and IT industry. We also find that energy and finance industries had negative abnormal turnover rates during the sample period, while other industries, such as healthcare and telecommunications service industries, had positive abnormal turnover rates. (shrink)

As the world’s population grows and urbanization continues, the global waste crisis is becoming more severe, especially in developing countries. Without proper waste management, they may encounter various environmental and health risks. Biological technologies are regarded as promising waste management and recycling approaches in developing countries due to their cost-effectiveness and capability to handle diverse waste categories. One prominent technology in this aspect is the vermicomposting of organic waste utilizing the black soldier fly larvae. Nevertheless, significant financial resources are still (...) necessary to advance and expand biological waste treatment, which requires the participation of businesses. By examining waste management companies listed on the Vietnamese stock market, we highlight two challenges that hinder the adoption and scaling of the waste treatment system using black soldier flies and potentially other biological technologies in Vietnam. Specifically, the business regards the environmental services they offer primarily as a means to generate profit rather than as a genuine commitment to environmental preservation, and the values of companies operating in the environmental sector, particularly in waste management, have been significantly undervalued by the Vietnamese investing public. Therefore, we advocate for societal shifts toward the eco-surplus culture and apply the semiconducting principle of monetary and environmental values exchange to address the problem. (shrink)

In the midst of the ultra modernity of stock exchanges and financial markets, certain practitioners are increasingly using forecasting models of changes in rates whose scientific rationality is particularly contested. We refer to ‘technical analysis’, or, in the jargon of finance, of ‘chartism’. The adherents of this practice affirm that their models offer the possibility of detecting and of reading, by means of stereotyped graphical configurations, rising or falling market trends. Now, for a large number of people who (...) hold scientific economic and financial theories to describe the ‘nature’ of changes in rates as so many random and unpredictable phenomena, these models arise above all from the sphere of ‘superstition’ and ‘beliefs’, in the worst sense of the term. To listen to them, one would think there was hardly any difference between sorcery, prophecy, and chartism, since in short: “it works because people believe in it”. These are remarks that can only arouse the curiosity of the anthropologist, because they actually serve merely to recall epistemologica! controversies that depend on the rationality and the irrationality of observed practices and debates in various cultures. At the heart of these contradictory debates, it is precisely prophecy as a cultural mode of managing unforeseen events that has been the subject of multiple anthropological, historical, and epistemological studies which can, in a comparative perspective, clarify the structure and functioning of forecasting tools employed by the chartists in the context of financial speculation. (shrink)

This paper examines the impact of corporate crime on the stock market in South Korea. Specifically, we examine the effect of crime type, industry type, business group affiliation, and corporate governance on the relationship between corporate crime announcement and stock market reaction. We find negative reactions to stock prices around the announcements of corporate crimes but no significant difference in reactions between announcements of individual and organizational crimes. Individual white-collar crimes have a stronger negative impact (...) on stock prices than do individual street crimes on average, while financial crimes have a significantly greater negative impact than do operational crimes in organizations. Moreover, financial sector firms are impacted more significantly by the announcement of corporate crimes than are non-financial firms. In addition, the stock prices of chaebol-affiliated firms decrease less than do those of non-chaebol-affiliated firms, and those with a higher board committee subindex seem to be influenced less by news of corporate crimes if the size control variable is excluded. Multivariate cross-sectional analyses show consistent findings after controlling for firm-specific factors, crime-type effect, and industry and year effects. The results of this study provide valuable insights because it covers several types of corporate crime, including those committed by individuals and those perpetrated by firms. (shrink)

We analyze investors’ perception and long-term effects of board gender diversity on firms’ stock market performance in an international setting. Our results, controlling for the endogenous nature of board compositions, indicate that female board representation neither improves nor reduces firms’ long-term stock performance. Hence, we argue that it is imperative to go beyond the conventional thinking in terms of the business case for gender diversity and broaden the perspective also to incorporate societal and ethical aspects in the (...) strive to board gender equality. Even more so, as our results show that it does not entail reduced shareholder value, which the literature on mandatory gender quotas commonly seems to suggest. (shrink)

The purpose of the study is to investigate the impact of stock market development on economic growth for nine developed European countries. In many countries, the stock market (SM), is considered. one of the crucial elements for promoting sustainable economic growth and development. By analysing data from nine developed European countries over 21 years, from 2000 to 2020, including Germany, the United Kingdom, France, Italy, Spain, the Netherlands, Switzerland, Turkey, and Poland, this study seeks to determine (...) the effect of the stock. market. on economic growth. The years 2021 and 2022 are not included due to the lack of data, mainly as a result of the pandemic period. The dataset, extracted from the World Bank database, is used to generate results by applying different econometric models such as OLS, OLS Robust, Fixed, and the Random Effect, which turned out to be more suitable in this study. According to research, macroeconomic factors such as stock. market development (SMD), and inflation (INF), have a significant positive impact while, domestic credit to the private sector (DC), has a negative significant impact on economic growth, in respective periods and countries. Therefore, new research on this topic could help better understand the stock market’s impact on economic growth, and new conclusions might greatly benefit developed European countries. (shrink)

Daily returns of stock markets in 27 emerging markets in Asia, Africa, South America, and Eastern Europe from the early 1990s through 2006 are analyzed for the possible presence of nonlinear speculative bubbles. The absence of these is tested for by studying residuals of VAR-based fundamentals, using the Hamilton regime-switching model and the rescaled range analysis of Hurst. For the first test absence of bubbles is rejected for 24 countries (except Mexico, Sri Lanka, and Taiwan), and for the second (...) it is rejected for 26 (except Malaysia). BDS testing on residuals after ARCH effects are removed fails to reject further nonlinearity in the residual series for all countries. (shrink)

In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression (...) analysis. (shrink)

This study examines how the reference-point effect and sunk-cost fallacy interact with stakeholder theory and influence how investors evaluate corporate social performance. We propose that ex-ante (pre-IPO) corporate social performance influences ex-post (post-IPO) perceived riskiness and that this relationship is U-shaped. We also evaluate how CEO duality and company age moderate this U-shaped relationship. Using young and newly public entrepreneurial firms in China, and focusing on stock returns in the secondary market, empirical results and robustness tests provide strong (...) support for our hypotheses. (shrink)

A time series of the Shanghai stock index in China for the 1990s is studied for the possible existence of nonlinear speculative bubbles. Three alternative specifications of fundamentals are estimated using VAR models of domestic and international variables. These are subjected to regime switching tests and rescaled range analysis tests. Nulls of no persistence were mostly rejected, suggesting the strong possibility of bubbles. Nonlinearities beyond ARCH effects using the BDS test could not be rejected. The paper also discusses the (...) special circumstances of the stock market in an emerging transition economy. (shrink)

This paper further extends the existing GARCH-MIDAS model to deal with the effect of microstructure noise in mixed frequency data. This paper has two highlights. First, according to the estimation of the long-term volatility components of the GARCH-MIDAS model, rAVGRV is adopted to substitute for the RV estimator. rAVGRV uses the rich data sources in tick-by-tick data and significantly corrects the impact of the microstructure noise on volatility estimation. Second, besides introducing macroeconomic variables, deposits in financial institutions, industrial value-added, and (...) M2), Chinese Economic Policy Uncertainty index and Infectious Disease Equity Market Volatility Tracker are introduced in the long-run volatility component of the GARCH-MIDAS model. As indicated by the results of this paper, the rAVGRV-based GARCH-MIDAS is slightly better than the RV model-based GARCH-MIDAS. In addition to the common macroeconomic variables significantly impacting stock market volatility, CEPU also substantially impacts stock market volatility. Nevertheless, the effect of EMV on the stock market is insignificant. (shrink)

This study investigates the relationship between the ethical, educational, and disciplinary development of professional accountancy organizations in a given country and the development of that country’s stock market. Using a comprehensive measure based on the responses of the major PAOs in 36 countries to a questionnaire designed by the International Federation of Accountants to assess the development of PAOs internationally, we find a significantly positive association between the development of PAOs and stock market development. In addition, (...) we find the positive association between the development of PAOs and stock market development to be more pronounced in countries with higher levels of investor protection, a stronger public enforcement environment, or lower levels of corruption, suggesting the importance of complementary institutions in the relationship between PAOs and stock market development. We also find that better-developed PAOs are associated with better-quality financial reporting. Finally, our result also shows that relative to the investigation and discipline mechanism and educational requirements imposed by PAOs, the ethical development of a country’s professional accountants appears to have the strongest positive association with a country’s stock market development. (shrink)

The COVID-19 outbreak has disturbed the victims' economic conditions and posed a significant threat to economies worldwide and their respective financial markets. The majority of the world stock markets have suffered losses in the trillions of dollars, and international financial institutions were forced to reduce their forecasted growth for 2020 and the years to come. The current research deals with the impact of the COVID-19 pandemic on the global stock markets. It has focused on the contingent effects of (...) previous and current pandemics on the financial markets. It has also elaborated on the pandemic impact on diverse pillars of the economy. Irrespective of all these destructive effects of the pandemic, still hopes are there for a sharp rise and speedy improvement in global stock markets' performance. (shrink)

As a most important component of capital market, stock market has always been regarded as the “barometer” of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is also different for the corresponding sectors. From the perspective of a comparison between mature market and emerging market at sectoral level, this paper utilizes the thermal (...) optimal method to examine the dynamic lead-lag relationships between stock sector indices and macroeconomic variables for the USA and China. The results show that, for the US stock market, three sector indices including consumption, industry, and real estate have been leading the corresponding macroeconomic variables since 2013; for the Chinese stock market, the lead-lag relationships are different for these sectors. The real estate sector index and the industry sector index have been leading the corresponding macroeconomic variables since 2010, and the lead-lag relationship between the consumption sector index and the total retail sales is not always positive or negative, which means that the consumption sector index does not always lead the total retail sales. The empirical results confirm that the “barometer function” of immature stock market is still weak and easier to be disabled by factors such as irrational market sentiment. (shrink)

Publication date: 28 April 2021 Source: International Letters of Social and Humanistic Sciences Vol. 90 Author: Sarah Kinya Mburugu Listing of a company in the securities exchange has been observed to be followed by underpricing in the first day and long term period of underperformance in terms of pricing in the subsequent days. Consequently, there has been a considerable curiosity from stakeholders, investors and academics to comprehend the assessments of why companies go public and the issues surrounding the short and (...) long-run performance of newly issued equities. Underpricing is necessary to induce uninformed investors to participate in IPO offering when faced with adverse selection from informed investors. This often leads to first day price not reflecting a fair value of the IPO. The objective of the study was to determine the long-run performance IPOs and effects in the Kenyan stock market for the period 2007-2014. A descriptive survey research design was employed in the study. The population of the study encompassed all the 64 listed companies at the NSE as at 2016. The study employed a non-probability purposive sampling technique. Data collected for this study was secondary data obtained from NSE website, NSE price lists and the Central Bank of Kenya website for the period 2007 to 2014. The data obtained was analyzed using Statistical Package for Social Science. Mean Average Buy and Hold Returns, Abnormal Returns and Cumulative Abnormal Returns were used to calculate the performance of the stocks. T-statistic for CAR was computed to the test for its significance. T-test was conducted at 95% confidence level to find if MABHR and CAR were statistically significant after IPOs announcement. (shrink)

Stories about corporate social responsibility have become very frequent over the past decade, and managers can no longer ignore their impact on firm value. In this paper, we investigate the extent and the determinants of the stock market’s reaction following ordinary news related to environmental, social and governance issues—the so-called ESG factors. To that purpose, we use an original database provided by Covalence EthicalQuote. Our empirical analysis is based on about 33,000 ESG news, targeting one hundred listed companies (...) over the period 2002–2010. On average, firms facing negative events experience a drop in their market value of 0.1%, whereas companies gain nothing on average from positive announcements. We find also that market participants are responsive to the media, but they do not react to firms’ press releases or to NGOs’ disclosures. Moreover, our results indicate that sector’s reputation mitigates the loss and that cultural proximity and lexical contents of ESG disclosures play a significant role in the magnitude of the impact. (shrink)

Business and Society Review, Volume 127, Issue 2, Page 437-460, Summer 2022.

The stronger the level of economic integration between countries, the greater the need to study the formation patterns of the stock market reaction to the financial information signals. This concerns the Ukrainian stock market, which is now in its infancy, and which reaction to financial information signals is sometimes ambiguous. The research aims to identify the formation patterns of return and volatility indicators of the Ukrainian stock market reaction to the US financial information signals. (...) To assess the direct nature of US financial information signals effect on the PFTS stock index, the GARCH econometric modeling toolkit was applied. The research information base is the PFTS stock index and the Federal Reserve System financial information signals at the discount rate for 2000–2019. The fetch is divided into intervals corresponded to the ascent and decline phases of the financial cycle. It was found that an unforeseen increase in the discount rate at the financial cycle decline phase by 25 basis points decreases the PFTS stock index return, on average by 2.9%. Besides, the hypothesis about the general change stabilizing effect in the discount rate on the Ukrainian stock market volatility at the financial cycle growth phase was confirmed. Nevertheless, for investors, the most essential is the regulator’s monetary signals in the discount rate at the financial cycle decline phases rather than at the ascent phases because there is a more significant increase in the volatility level. (shrink)

The present paper explores, theoretically, and empirically, whether compliance with the International Code of marketing of breast-milk substitutes impacts on financial performance measured by stock markets. The empirical analysis, which considers a 20-year period, shows that stock markets are indifferent to the level of compliance by manufacturers with the International Code. Two important issues emerge from this result. Based on our finding that financial performance as measured by stock markets cannot explain the level of compliance, the first (...) issue refers to what alternative types of mechanisms drive manufacturers who comply the least with voluntary codes such as the International Code. Conversely, from our finding that stock markets do not reward the most compliant, the second issue raised is an inherent weakness of stock markets to fully incorporate social and environmental values. (shrink)

The spread of the COVID-19 pandemic has severely impacted all aspects of social and economic life, including the evolution of stock markets. Thus, we advance a methodological framework suitable for assessing 2020 year-long shifts in markets’ statistical complexity, and we apply such framework to ten major international developed or emerging stock markets. Our research reveals that this crisis had considerably altered markets’ evolutionary patterns. The network description of markets’ multivocal transmission of complex responses changed in 2020, European and (...) Asian markets playing a pivotal role. Nevertheless, an important regional and time heterogeneity emerges. In addition, we find that the total number of worldwide confirmed COVID-19 cases plays a leading role in the changes in markets’ complexity. (shrink)

Sometimes we believe that others receive harmful information. However, Marschak’s value of information framework always assigns non-negative value under expected utility: it starts from the decision maker’s beliefs – and one can never anticipate information’s harmfulness for oneself. The impact of decision makers’ capabilities to process information and of their expectations remains hidden behind the individual and subjective perspective Marschak’s framework assumes. By introducing a second decision maker as a point of reference, this paper introduces a way for evaluating others’ (...) information from a cross-individual, imperfect expectations perspective for agents maximising expected utility. We define the cross-value of information that can become negative – then the information is “harmful” from a cross-individual perspective – and we define (mutual) cost of limited information processing capabilities and imperfect expectations as an opportunity cost from this same point of reference. The simple relationship between these two expected utility-based concepts and Marschak’s framework is shown, and we discuss evaluating short-term reactions of stock market prices to new information as an important domain of valuing others’ information. (shrink)

In the past two decades, especially after the financial crisis of 2007–09, the literature for examining the availability of integration between the stock exchanges in developed and developing markets has grown. The importance of this topic stems from the significant implications of the linkage between exchange markets on various decisions taken by interested parties, such as policymakers and investors, in the decisions for portfolio diversification. This study examines the relationship between a developing stock exchange index, Amman Stock (...) Exchange Index, and the number of international indices, including S&P 500, NASDAQ, Nikkei, DAX, CAC, and HSI for 2008-2019. To validate the availability of the linkage between the indices, the author includes various tests of a correlation coefficient, stepwise regression analysis, and artificial neural network. Despite the results indicating that the ANN is more efficient than linear regression in investigating the availability of the relationship between ASEI and international indices, stepwise regression and neural network support this relationship. Furthermore, ANN results revealed that the S&P 500 index and year have the most substantial relationship with ASEI. Our research is theoretically and practically important; policymakers and investors can benefit from our findings. Future studies may explore the effect of different international stock market indices on ASEI or other developing markets. Further studies can use macroeconomic factors to build prediction models for stock market indices. (shrink)

Since the late 1990s, the number of apologies being offered by CEOs of large companies has exploded. Communication and management scholars have analyzed whether and why some of these apologies are more effective or more ethical than others. Most of these analyses, however, have remained at the anecdotal level. Moreover, the practical, economic consequences of apologies have not been examined. Almost no rigorous or systematic empirical work exists that examines whether stakeholders reward firms whose CEOs give apologies that are more, (...) rather than less, ethical; and punish firms whose corporate apologies are not ethically sound. This lacuna is surprising given that the whole purpose of an apology is to restore trust between the apologizer and the recipients of the apology. It is also surprising, given that stock market participants do appear, in at least some cases, to evaluate and respond to apologies by CEOs. When Johnson and Johnson was hit by the Tylenol poisonings, its stock price plummeted. One day after CEO James Burke’s apology—an apology widely praised for being ethically sound—approximately a half billion dollars of its previously lost stock value was restored. It appears, then, that a good CEO apology may lead to an increased stock value ceteris paribus. But is the Johnson and Johnson case representative of how the market responds in general to CEO apologies? (shrink)

In a crisis, managers are confronted with a dilemma between their ethical responsibility to respond to victims and their fiduciary responsibility to protect shareholder value. In this study, we use a unique and comprehensive dataset of 223 non-financial crises between 1983 and 2013 to investigate how corporate apologies affect stock prices. Our empirical evidence shows that the stock price response from apologizing depends on the firm’s level of responsibility for the crisis. We find that to protect shareholder value, (...) management needs to match its formal response strategy with the degree of its responsibility for the crisis. Further, failing to match the proper response is harmful to shareholders: Both apologizing when the firm is not directly responsible for the crisis and failing to apologize when the firm is directly responsible reduce shareholder wealth. However, apologizing for a crisis when the firm is directly responsible mitigates losses to shareholder value that arise because of the crisis, as does refraining from apologizing when the firm is not directly responsible. (shrink)

Source: Author: Mohsen Mehrara, Yazdan Gudarzi Farahani, Farzan Faninam, Abbas Rezazadeh Karsalari This paper examines the relationship between stock market index and macroeconomic policies on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a (...) slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns. ]]>. (shrink)

The stock market is an indicator of investor sentiment when it comes to new information or innovative firm-level products. Green bonds are both innovative and unique in terms of their higher information disclosures and understanding the impact of sustainable finance on investor outlook for a company’s stock. Using the comparative case of Mainland China and Hong Kong’s stock market, we examine whether green bond announcements from 2016 to 2019 can create significant investor reactions. By employing (...) the event study methodology, we confirm that both markets react in a positive way toward green bond announcements. This reinforces the reputational and financial benefits of green bonds. We find that issuers that are non-banks, environmentally friendly firms as well as those issuing non-general bonds, create a more positive reaction, whereas ownership aspects do not matter as much for investors. However, even among those issuers listed in both markets, certain institutional dynamics like strategic framing and source credibility tend to reinforce a firm’s institutional legitimacy and are seen as being more prominent for investor reaction. The policy implications of our study show that the stock market reaction among two connected economies, where previously varying institutional contexts have resulted in regional differences, are now equally supportive of sustainable financial markets like the green bond. As seen with the positive stock market sentiment, governments and listed issuers can now better align their policies and internal strategies, allowing the low-carbon transition to be a financially attractive opportunity for all investors. (shrink)

Ensuring access to clean water is one of the most important development and health challenges of the twenty-first century. Given the manifold impacts of business activities on water resources, corporate water actions should be of central concern to business ethics researchers. Yet so far we know too little about whether business activities that impact on water resources are noticed or how corporate water actions are valued by a firm’s stakeholders, including by financial markets. In response, we conduct an event study (...) to investigate the shareholder wealth effect of reports of corporate water actions. We explore stock market reactions to water actions by S&P 500 firms from 2005 to 2017, showing that the market reacts positively to reports of responsible water actions and negatively to irresponsible actions. We further explain that these abnormal returns to water actions are associated with a firm’s past performance on ethical issues, arguing that the reputational effects from prior corporate social responsibility and irresponsibility influence market reactions. Our analysis provides evidence that there are diminishing marginal returns to responsible water actions for firms with records of past responsibility and an offsetting effect for those with past irresponsibility. Similarly, we demonstrate an insurance effect that limits punishment for irresponsible water actions for firms with responsible performance records and diminishing negative marginal returns for those already seen to be irresponsible. This study is the first to show that shareholders recognize market value in corporate water actions and are prepared to award or punish firms in stock markets based on their impacts on water. (shrink)

Introducing the concept of Crisis Solution Marketing, this research explores how metaphor pre-packages information, proposing “solutions” to “problems” they discursively construct in the media. These conceptual frameworks are capable of influencing how readers perceive and interpret news events, ultimately influencing their behavior as consumers and the financial decisions they make. This article explores the relationship between editorial positioning and ideology in financial news and the types or ontologies of metaphors used to describe the nature of the stock market (...) via reporting on the stock market crash of 2008 in online news media. Results indicate a statistically significant preference for The New York Times and The Wall Street Journal, liberally positioned newspapers, for animate-biological metaphors which promote understanding of the stock market in terms of a living being that must be ‘nurtured’ through intervention as opposed to being ‘left alone’, which is more consistent with laissez-faire approaches to economic crisis scenarios. (shrink)

In this paper, we investigated the effectiveness of price limit on stock market with the correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect the asynchronous correlations of nonstationary time series. The stock market network is constructed with the threshold method based on time-migrated DCCA. The effectiveness of the price limit during the stock market crash period is studied based on the time-migrated DCCA stock (...) market network. The results indicate that the time-migrated DCCA ensures more relevant results than the equal-time DCCA method. An interesting finding is that the price limit has different effects on the stock market network at different stages of dynamic evolution. Market stabilization will be lowered and the systemic risk will be increased if the price limit is enhanced. Such studies are relevant for a better understanding of the stock market and have a significant contribution to the stock market in reality. (shrink)

The foremost aim of this research was to forecast the performance of three stock market indices using the multilayer perceptron, recurrent neural network, and autoregressive integrated moving average on historical data. Moreover, we compared the extrapolative abilities of a hybrid of ARIMA with MLP and RNN models, which are called ARIMA-MLP and ARIMA-RNN. Because of the complicated and noisy nature of financial data, we combine novel machine-learning techniques such as MLP and RNN with ARIMA model to predict the (...) three stock market data. The data used in this study are taken from the Pakistan Stock Exchange, National Stock Exchange India, and Sri Lanka Stock Exchange. In the case of Pakistan, the findings show that the ARIMA-MLP and ARIMA-RNN beat the individual ARIMA, MLP, and RNN models in terms of accuracy. Similarly, in the case of Sri Lanka and India, the hybrid models show more robustness in terms of forecasting than individual ARIMA, MLP, and RNN models based on root-mean-square error and mean absolute error. Apart from this, ARIMA-MLP outperformed the ARIMA-RNN in the case of Pakistan and India, while in the context of Sri Lanka, ARIMA-RNN beat the ARIMA-MLP in forecasting. Our findings reveal that the hybrid models can be regarded as a suitable option for financial time-series forecasting. (shrink)

This paper examines the spillover effect between bitcoin, gold, crude oil, and major stock markets by using the MSV model with dynamic correlation and Granger causality. The empirical results of the DC-GC-MSV model are logically correct and convergent. The DIC test result has proved that the DC-GC-MSV model is better and more accurate. Bitcoin has no significant Granger causality spillover effect than other assets. As a safe haven product for stock assets, gold price has one-way spillover effect from (...) stock market volatility. Moreover, crude oil has the highest correlation with the stock market. In the recent COVID-19 epidemic and the sluggish economic environment, investors need to consider a balanced asset allocation among low-correlation assets, medium-correlation assets, and high-correlation assets to reduce risks. (shrink)

In this paper, we investigate the impact of economic policy uncertainty on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling framework. In the case of EPU, we consider the global EPU, the American EPU, and the China EPU. The empirical analysis based on the Shanghai Stock Exchange Composite index in China and the S&P 500 index in the U.S. shows that the tail dependence between China and U.S. stock markets is symmetrical, (...) and the t Copula outperforms alternative Copulas in terms of in-sample goodness of fit. In particular, we find that the t Copula-MIDAS model with EPU dominates the traditional time-varying t Copula in terms of in-sample fitting. Moreover, we observe that both the GEPU and AEPU have a significantly positive impact on the conditional dependence between China and U.S. stock markets, whereas CEPU has no significant impact. The tail dependence between China and U.S. stock markets exhibits an increasing trend, particularly in the recent years. (shrink)

The purpose of this paper is to investigate the impact of crude oil market structure on stock market volatility in Asian countries in the period 2008–2017. We integrate network analysis with the SGMM estimation technique to achieve the research objective. Network analysis was conducted with 43 Asian countries, while analysis of the impact of crude oil market structure on stock markets was performed with a sample of 19 countries. The results show that the stock (...) market has a positive growth in countries with stronger export capacity while it is negatively affected in larger importing countries. In addition, the research results show that the stock market’s growth is greater in countries with a central position in the crude oil market. The study results will be useful for countries in reducing the undesirable impact of crude oil market on the stock market. (shrink)

The purpose of the Chinese Environmental Information Disclosure System is to protect the environment through public participation and public opinion. This paper uses data from listed Chinese companies in heavily polluted industries from 2008 to 2013 to examine the influence that corporate political connection has on corporate environmental information disclosure level. The results show that firstly, while environmental disclosure level has improved over time, negative information that reflects the real status of environmental management has also been concealed. Secondly, although corporate (...) political connection can influence companies to more actively disclose environmental information, it can also mask political rent-seeking in the guise of protecting the environment. This is especially prevalent in state-owned enterprises where political connection has a significant positive impact on CEID in the eastern and western parts of China. If political connections influence CEID, it will be difficult to improve the quality of environmental disclosure and provide useful information for decision makers. There is an urgent need to standardize and strictly regulate listed companies’ system for environmental information disclosure. (shrink)