Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia

Škrinjarić, Tihana; Orlović, Zrinka

doi:10.15179/ces.21.1.2

Cited by 7 publications

(10 citation statements)

References 23 publications

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“…The stock returns that reacted the most (when observing Figures 2-4) are wig, budapest, sbi, and px, which is in line with findings in [97,98], where these markets were found to be most responsive to systematic shocks, as well as bad news reactions to the Brexit vote in [35]. The reaction of sbi and wig is in line with [72] as well, where negative shocks in economic uncertainties spilled over to those two returns in a great manner (i.e., the return series of sbi and wig were found to be net receivers of outside shocks). Furthermore, the least reactions found regarding returns on pfts, birs, and sax are in line with [97], in which the author found that systematic outside-country shocks had the least effects on the mentioned markets, and as [72] found that uncertainties, especially for the pfts series, were found not to affect certain country index returns in a significant manner.…”

Section: Main Analysis: Esm Estimation Resultssupporting

confidence: 83%

“…The reaction of sbi and wig is in line with [72] as well, where negative shocks in economic uncertainties spilled over to those two returns in a great manner (i.e., the return series of sbi and wig were found to be net receivers of outside shocks). Furthermore, the least reactions found regarding returns on pfts, birs, and sax are in line with [97], in which the author found that systematic outside-country shocks had the least effects on the mentioned markets, and as [72] found that uncertainties, especially for the pfts series, were found not to affect certain country index returns in a significant manner. Some of the reasoning on why certain index returns reacted so strongly and some had almost no reaction at all to certain events is as follows.…”

Section: Main Analysis: Esm Estimation Resultssupporting

confidence: 66%

“…Since stock markets react very quickly to different (un)expected announcements, the ESM methodology is very useful to detect abnormal changes in return or volatility series a few days before and after the announcement. ESM has been extensively used over the last couple of decades to estimate the effects of announcements on stock markets (examples include [68][69][70][71][72][73]. Within this methodology, it is assumed that the markets are efficient and new information will be observed quickly, which was happening on major stock markets, mentioned in the previous section.…”

Section: Event Study Methodologymentioning

confidence: 99%

See 2 more Smart Citations

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Škrinjarić

2021

Mathematics

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This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

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Section: Main Analysis: Esm Estimation Resultssupporting

confidence: 83%

Section: Main Analysis: Esm Estimation Resultssupporting

confidence: 66%

Section: Event Study Methodologymentioning

confidence: 99%

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Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Škrinjarić

2021

Mathematics

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“…In the Hungarian case, the RV and GSV variables were, for the majority of the time, net givers of shocks. In Croatia, the financial crisis of 2008 shows that the GSV was the net emitter of shocks (similar was true for 2017, when a local crisis caused by the Agrokor concern was happening, for details please see Škrinjarić (2018b) and Škrinjarić and Orlović (2019)). In the rest of the observed period, there was an interchangeability of net emitters and receivers of shocks.…”

Section: Spillover Indices Resultsmentioning

confidence: 74%

Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets

Škrinjarić¹

2019

IJFS

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This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between stock returns, volatilities and the investor’s attention variable (captured by the online search volume). Moreover, the relationship is assumed to be time varying due to changing market conditions. Previous research does not deal with the time-varying multi-directional relationship. Thus, the contribution to existing research consists of estimating the aforementioned relationship between return, volatility and the search volume series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression) model framework. The results indicate that the Google search volume affects the risk series more than the return series on the selected markets.

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“…Results confirmed that an increase or decrease in a dividend significantly affected the stock price in the same direction, while a dividend retention had no effect on the stock price. Škrinjarić and Orlović (2019) applied the event study methodology in order to test whether political events regarding the Agrokor group of companies affected stock prices. Their results indicate that stocks which belonged to Agrokor suffered from lowering returns, while other liquid stocks on the Zagreb Stock Exchange were not affected.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of the Covid-19 Pandemic on the Croatian Tourist Sector

Bogdan¹,

Šikić²,

Bareša³

2021

Tourism in Southern and Eastern Europe

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Purpose – The COVID-19 pandemic, unprecedented in terms of the speed at which it spread globally, affected the whole world swiftly after the initial outbreak and has produced heterogeneous effects on various industrial sectors and particularly pronounced effects on the tourism industry. This paper analyses the effect of the spread of the COVID-19 pandemic through Europe on the tourist stocks in Croatia by means of application of the event study methodology. Methodology – The analysis starts with a descriptive overview of the market-wide performance of different sectors in the period before, during and after the initial pandemic outbreak and subsequently explicitly tests for the COVID-19 outbreak effects on the tourist sector. First, a 35- day event window is specified so that important events related to the pandemic can be identified. Second, the first officially reported COVID-19 incidence in Italy and the World Health Organization’s declaration of a global pandemic are used as identified events in a shorter 10day window event study estimation. Findings – The results robustly point to the significant negative effect of the COVID-19 pandemic on the returns of tourist stocks on the Zagreb Stock Exchange. However, the overall results do not provide evidence of the relatively stronger COVID-19 effects on the tourist sector, but rather equal effects across different sectors. Contribution – This research offers a novel comprehensive review of the literature regarding the research topic and provides insights into the sectoral effects of the global financial shock caused by the COVID-19 pandemic on the local market. As this pandemic is increasing the market volatility, this research will be of importance to fund managers and carries implications for economic policy in terms of sectoral stimulus distribution and debt refinancing.

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Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia

Cited by 7 publications

References 23 publications

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets

The Effect of the Covid-19 Pandemic on the Croatian Tourist Sector

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