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

José Odálio dos Santos; André Nardy; Alexandre Luzzi Las Casas; Theresangela Giongo Flores Araes

doi:10.23925/2178-0080.2023v25i1.90762

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

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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

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