Motivated by the risen linkage between events and Bitcoin return, this paper first defines Bitcoin-related events (BREs) based on the change points analysis and then divides these events into two ...categories. Furthermore, we model the impact of BREs on the Bitcoin market activities, using an event study methodology and a GARCH-X model. Empirical results show that the shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events. Additionally, there is a significant positive influence of domestic events on reaction volatility, whereas the foreign events impose their influences on both the expectations of market reactions and volatility.
•This paper firstly identifies the Bitcoin-related events based on the change points analysis and divided these events into two categories.•We further explore the Bitcoin price reactions to Bitcoin-related events.•Bitcoin-related events, views as a real change of Bitcoin return, are very frequent in the year 2013 or 2017.•The shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events.•The role of Bitcoin-related events information in influencing market reactions are significant and heterogeneous.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This paper investigates the relationship between political connections and firm value, as well as the moderating effect of internal control under exogenous shocks. By manually collecting 20 staggered ...downfall events during China's anti-corruption campaign since 2012, we observe that the termination of political connections results in an approximately 2% decline in equity value for private firms at the point of event, and effective internal control attenuates the negative price reaction to the loss of linkage. These findings infer the existence of benefits from maintaining political ties in business operations. Despite the value decline for connected firms, we further conclude that internal control system can be a useful channel of value protection in political shocks. Finally, our results survive a battery of sensitivity tests.
•The termination of political connections during anti-corruption campaign leads to a decline in equity value for private firms•Internal control is an effective mechanism to mitigate the loss of economic value in negative events•The exogenous shock provides a quasi-natural experiment to examine the causal effect of political connections on firm value
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK, ZRSKP
Stakeholders have long pressured firms to provide societal benefits in addition to generating shareholder wealth. Such benefits have traditionally come in the form of corporate social responsibility. ...However, many stakeholders now expect firms to demonstrate their values by expressing public support for or opposition to one side of a partisan sociopolitical issue, a phenomenon the authors call “corporate sociopolitical activism” (CSA). Such activities differ from commonly favored corporate social responsibility and have the potential to both strengthen and sever stakeholder relationships, thus making their impact on firm value uncertain. Using signaling and screening theories, the authors analyze 293 CSA events initiated by 149 firms across 39 industries, and find that, on average, CSA elicits an adverse reaction from investors. Investors evaluate CSA as a signal of a firm’s allocation of resources away from profit-oriented objectives and toward a risky activity with uncertain outcomes. The authors further identify two sets of moderators: (1) CSA’s deviation from key stakeholders’ values and brand image and (2) characteristics of CSA’s resource implementation, which affect investor and customer responses. The findings provide new and important implications for marketing theory and practice.
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IZUM, KILJ, NUK, OILJ, PILJ, SAZU, UKNU, UL, UM, UPUK
lCOVID-19 outbreak causes widespread negative abnormal returns in Chinese stock market during the post-event window of 36 trading days.lThe overall individual sentiment effect during the merging ...window of event and post-event is positive and stronger than usual.lStocks with high PB, PE and CMV, low institutional shareholding ratio and low net assets are found to be more sensitive to the turbulence.lOnly 7 industries related to Pharmacy, Digitalization, and Agriculture are boosted during the merging window of event and post-event.
We investigate the impact of COVID-19 on Chinese stock market by an event study and examine the effect of individual investor sentiment on returns. The pandemic has an overall negative effect on stock market during the post-event window, which can't be explained by real losses. Results show a stronger positive correlation between individual investor sentiment and stock returns than usual. The impact on individual investor sentiment on stock returns is more significant for enterprises with high PB, PE and CMV, low net asset, and low institutional shareholding. Only 7 industries related to pharmacy, digitalization, and agriculture are boosted.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
In this article, we consider identification, estimation, and inference procedures for treatment effect parameters using Difference-in-Differences (DiD) with (i) multiple time periods, (ii) variation ...in treatment timing, and (iii) when the “parallel trends assumption” holds potentially only after conditioning on observed covariates. We show that a family of causal effect parameters are identified in staggered DiD setups, even if differences in observed characteristics create non-parallel outcome dynamics between groups. Our identification results allow one to use outcome regression, inverse probability weighting, or doubly-robust estimands. We also propose different aggregation schemes that can be used to highlight treatment effect heterogeneity across different dimensions as well as to summarize the overall effect of participating in the treatment. We establish the asymptotic properties of the proposed estimators and prove the validity of a computationally convenient bootstrap procedure to conduct asymptotically valid simultaneous (instead of pointwise) inference. Finally, we illustrate the relevance of our proposed tools by analyzing the effect of the minimum wage on teen employment from 2001–2007. Open-source software is available for implementing the proposed methods.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Russia–Ukraine crisis: The effects on the European stock market Ahmed, Shaker; Hasan, Mostafa M.; Kamal, Md Rajib
European financial management : the journal of the European Financial Management Association,
September 2023, Volume:
29, Issue:
4
Journal Article
Peer reviewed
Open access
We examine the effect of the Russia–Ukraine crisis on the European stock markets. Because of increased political uncertainty, geographic proximity and the ramifications of the fresh sanctions imposed ...on Russia, the European stock markets tended to react negatively to this crisis. We find that on 21 February 2022, when Russia recognized two Ukrainian states as autonomous regions, European stocks incurred a significant negative abnormal return. Moreover, the negative stock price reactions continued in the post‐event period. The magnitude of the stock price reactions to this crisis exhibits considerable variation across industries, countries and size of the company.
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FZAB, GIS, IJS, IZUM, KILJ, NLZOH, NUK, OILJ, PILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
We investigate whether politically connected independent directors (PCIDs), compared with other independent directors, create or destroy firm value and the channels through which they create or ...destroy firm value. Based on an exogenous regulatory change, we find that PCIDs—especially high level PCIDs—destroy firm value compared with non-PCIDs. The value-destroying effect is a net effect of: (i) PCIDs are less effective than non-PCIDs in monitoring managers, (ii) PCIDs do not differ from non-PCIDs in monitoring controlling shareholders, and (iii) PCIDs can divert political resources to a firm. However, PCIDs' value-destroying effect can be attenuated by effective external governance mechanisms (i.e., high levels of marketization and analyst coverage). Our results make a significant contribution to the literature and have important policy implications.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK, ZRSKP
In this paper, we study the impact of high-speed internet access on student performance. Our empirical analysis leverages a unique dataset that combines information on ultra-broadband (UBB) diffusion ...in Italy with data on student performance in 2nd, 5th, and 8th grades for the period 2012–2017. We exploit the staggered roll-out of UBB, starting from 2015. Through an event study approach, we find evidence of endogeneity between student performance and UBB diffusion. We deal with this issue through an instrumental variable approach that exploits plausibly exogenous variation in the diffusion of the essential UBB input. Our results suggest that advanced internet connections significantly decrease student performance in Mathematics and Italian language in the 8th grade. In contrast, we do not find any significant effect in the 2nd and 5th grades. Male students from low-educated parental backgrounds are those more adversely affected, especially if they attend schools with a low IT usage.
•We study the impact of high-speed internet access on student performance.•We use a unique dataset that combines information on ultra-broadband (UBB) diffusion in Italy with data on student performance in 2nd, 5th, and 8th grades.•We deal with the endogeneity of UBB roll-out through an instrumental variable approach that exploits the diffusion of the essential UBB input.•Our results suggest that advanced internet connections significantly decrease student performance in Mathematics and Italian language in the 8th grade.•Male students from low-educated parental backgrounds are those more adversely affected, especially if they attend schools with a low IT usage.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
20.
Measuring euro area monetary policy Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S. ...
Journal of monetary economics,
12/2019, Volume:
108
Journal Article
Peer reviewed
Open access
•We map ECB policy communication into yield curve configurations using factor analysis.•Target, forward guidance and QE factors are estimated to influence the short-, medium-, and long-term segments ...of the yield curve, respectively.•Stock market response to monetary surprises depended on whether the announcements are perceived to reveal information about the state of the economy.•We show how to implement our methodology for any policy-related news release.•As a by-product, we present the Euro Area Monetary Policy Event-Study Database (EA-MPD).
We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having time-varying variance shares. We study sovereign yields, exchange rates, stock prices, persistence of effects and response asymmetry. Our methodology can be implemented for any policy-related event.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
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