Efficient Market Hypothesis, Covid-19 and Accumulated Return of Common Shares – Event Study of The Top Chinese Financial Institutions by Market Value Criterion

Autores/as

  • José Odálio dos Santos Pontifícia Universidade Católica de São Paulo https://orcid.org/0000-0001-6428-723X
  • André Nardy Saint Paul Escola de Negócios
  • Alexandre Luzzi Las Casas Pontifícia Universidade Católica de São Paulo - PUC-SP https://orcid.org/0000-0003-2098-0969
  • Theresangela Giongo Flores Araes Pontifícia Universidade Católica de São Paulo - PUC-SP

DOI:

https://doi.org/10.23925/2178-0080.2023v25i1.90762

Palabras clave:

event study, Covid-19, return, efficient market

Resumen

This work analyzed, via event study methodology, the impact of the disclosure of two relevant decrees in 2020 (1. quarantine in the city of Wuhan by the Chinese government on January 22; 2. COVID-19 pandemic by the WHO on March 11 ) in the cumulative return of the common shares of the four largest Chinese banks by the market value criterion. Event 1 presented p-values greater than 0.05 in the estimation window, showing no statistically significant impact on the behavior of the abnormal cumulative return of selected common shares, characterizing informational inefficiency. For event 2, the opposite is in the days close to the disclosure (p-values lower than 0.05) under the expected behavior of price adjustment in efficient markets.

Métricas

Cargando métricas ...

Biografía del autor/a

José Odálio dos Santos, Pontifícia Universidade Católica de São Paulo

Professor Titular do Departamento de Administração

 

Área: Finanças

André Nardy, Saint Paul Escola de Negócios

Prof. Dr. da Saint Paul Escola de Negócios; Prof. Dr. da Fundação Instituto de Administração; Coordenador de cursos e projetos da Saint Paul Escola de Negócios

Alexandre Luzzi Las Casas, Pontifícia Universidade Católica de São Paulo - PUC-SP

Prof. Dr. Titular de disciplinas de marketing da graduação e pós-graduação da PUC-SP

Theresangela Giongo Flores Araes, Pontifícia Universidade Católica de São Paulo - PUC-SP

Mestre em Administração (Finanças) pela Pontifícia Universidade Católica de São Paulo - PUC-SP

Citas

Barberis, N, Shleifer, A., Vishny, R. (1998). “A model of investor sentiment”. Journal of financial economics 49(3), 307-343.

Barberis, N., Thaler, R. (2003). “A survey of behavioral finance”. Handbook of the Economics of Finance 1, 1053-1128.

Campbell, J. Y., Lo, A. W., Mackinlay, A. C. (1997). “The econometrics of financial markets. Princeton University Press, Princeton.

Cimini, R. (2015). “How has the financial crisis affected earnings management? A European study”. Applied economics, 47(3), 302-317.

Chowdhury, E. K., Adebin, M. Z. (2020). “Covid-19 effects on the US Stock Index Returns: An Event Study Approach”. Accounting, Auditing & Accountability Journal 1-31.

Chui, A. C. W., Titman, S., Wei, K. C. J. (2010). “Individualism and momentum around the world”. The Journal of Finance 65(1), 361-392.

Combs, J. G., Ketchen Jr, D. J., Perryman, A. A., Donahue, M. S. (2007). “The moderating effect of CEO power on the board composition–firm performance relationship. Journal of Management Studies 44(8), 1299-1323.

Copeland, T. E., Weston, J. F., Shastri, K. (2005). “Financial theory and corporate policy”, 4th Edition, Boston: Pearson Addison Wesley, 2005.

Donadelli, M., Kizys, R., Riedel, M. (2017). “Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street?” Journal of Financial Markets, 35, 84-103.

Donadelli, M., Kizys, R., Riedel, M. (2020). “Globally dangerous diseases, sentiment and pharmaceutical stock prices”. Retrieved from http://sfm.finance.nsysu.edu.tw/php/Papers/CompletePaper/038-1674094255.pdf date: 01.20. 2020.

Fama, E. F. (1970). “Efficient capital markets: a review of theory and empirical work”. The Journal of Finance, 25(2), 383-417.

Fama, E. F., French, K. R. (2012). “Size, value, and momentum in international stock returns”. Journal of financial economics, 105(3), 457-472.

Fama, E. F. (1991) Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.

Fan, G., Wang, X, Zhu, H. (2011). “ NERI index of Marketization of China’s provinces: 2011 report”. Beijing: Economic Science Press. 2011.

Ferstl, R., Utz, S, Wimmer, M. (2012). “The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study”. Business Research 5(1), 25-41. 2012.

Heyden, K. J., Heyden, T. (2020). “Market reactions to the arrival and containment of Covid-19: an event study”. Finance Research Letters, 38.

Lin, C., Morck, R., Yeung, B., Zhao, X. (2016). “Anti-corruption reforms and shareholder valuations: Event study evidence from China”. National Bureau of Economic Research w22001.

Liu, F., Lin, H., Wu, H. (2018). “Political connections and firm value in China: An event study”. Journal of Business Ethics, 152(2), 551-571.

Mackinlay, A. C. (1997). “Event studies in economics and finance”. Journal of Economic Literature, 35(1), 13-39.

Miyajima, H., Yafeh, Y. (2007). “Japan’s banking crisis: An event-study perspective”. Journal of Banking & Finance, 31(9), 2866-2885.

Ozdurak, C., Alcan, G., Guvenbas, S. D. (2020). “The impact of Covid-19 to global pharmaceuticals and biotechnology company stock returns”. Journal of Business, Economics and Finance, 9(2), 68-79.

Ramelli, S., Wagner, A. F. (2020). “Feverish stock price reactions to Covid-19”. Review of Corporate Finance Studies, 9(3), 622-655.

Schell, D., Wang, M., Huynh, T. L. D. (2020). “This time is indeed different: A study on global market reactions to public health crisis”. Journal of Behavioral and Experimental Finance, 100349.

Sharpe, W. F. (1964). “Capital asset prices: A theory of market equilibrium under conditions of risk”. The Journal of Finance, 19(3), 425-442.

Zhao, X., Li, Y, Flynn, B. B. (2013). “The financial impact of product recall announcements in China”. International Journal of Production Economics, 142(1), 115-123.

Zhang, D., Hu, M., Ji, Q. (2020). “Financial markets under the global pandemic of Covid-19”. Finance Research Letters, 101528.

Descargas

Publicado

2023-01-02

Cómo citar

Santos, J. O. dos, Nardy, A., Las Casas, A. L., & Araes, T. G. F. (2023). Efficient Market Hypothesis, Covid-19 and Accumulated Return of Common Shares – Event Study of The Top Chinese Financial Institutions by Market Value Criterion. Revista Administração Em Diálogo - RAD, 25(1), 139–156. https://doi.org/10.23925/2178-0080.2023v25i1.90762