Abstract:Purpose
The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs.
Design/methodology/approach
The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy v… Show more
“…Na primeira etapa do estudo empí rico adoptamos a abordagem econome trica padra o onde as rendibilidades do mercado sa o regredidas contra um conjunto de varia veis bina rias que representam cada uma das semanas do ano (Darrat et al, 2011;Zhang e Jacobsen, 2013;Loba o, 2018Loba o, , 2019. Seguindo a literatura sobre o tema, as regresso es sa o calculadas de acordo com a metodologia dos mí nimos quadrados (OLS) segundo o seu acro nimo em ingle s, considerando o estimador de Newey-West para correcça o de problemas de heterocedasticidade e autocorrelaça o dos resí duos.…”
Neste artigo estudamos pela primeira vez a anomalia de calendário designada de efeito semana do ano no mercado de acções português. O efeito semana do ano foi identificado originalmente por Levy e Yagil (2012) e refere-se à verificação de rendibilidades de mercado significativamente diferentes em algumas semanas do ano. A amostra utilizada foi construída a partir de uma nova base de dados histórica que cobre cerca de 120 anos de história do mercado accionista português. Verificou-se que a primeira e a última semanas do ano geraram rendibilidades significativamente mais elevadas do que as restantes semanas do ano. Além disso, a análise de subamostras revelou que o efeito semana do ano evoluiu de forma adaptativa ao longo do tempo. Em geral, os nossos resultados sugerem que a Hipótese dos Mercados Adaptativos proporciona uma melhor explicação para a dinâmica do mercado de acções português.
“…Na primeira etapa do estudo empí rico adoptamos a abordagem econome trica padra o onde as rendibilidades do mercado sa o regredidas contra um conjunto de varia veis bina rias que representam cada uma das semanas do ano (Darrat et al, 2011;Zhang e Jacobsen, 2013;Loba o, 2018Loba o, , 2019. Seguindo a literatura sobre o tema, as regresso es sa o calculadas de acordo com a metodologia dos mí nimos quadrados (OLS) segundo o seu acro nimo em ingle s, considerando o estimador de Newey-West para correcça o de problemas de heterocedasticidade e autocorrelaça o dos resí duos.…”
Neste artigo estudamos pela primeira vez a anomalia de calendário designada de efeito semana do ano no mercado de acções português. O efeito semana do ano foi identificado originalmente por Levy e Yagil (2012) e refere-se à verificação de rendibilidades de mercado significativamente diferentes em algumas semanas do ano. A amostra utilizada foi construída a partir de uma nova base de dados histórica que cobre cerca de 120 anos de história do mercado accionista português. Verificou-se que a primeira e a última semanas do ano geraram rendibilidades significativamente mais elevadas do que as restantes semanas do ano. Além disso, a análise de subamostras revelou que o efeito semana do ano evoluiu de forma adaptativa ao longo do tempo. Em geral, os nossos resultados sugerem que a Hipótese dos Mercados Adaptativos proporciona uma melhor explicação para a dinâmica do mercado de acções português.
“…Weigerding dan Hanke (2018) mengidentifikasi likuiditas pasar sebagai pendorong utama musiman return saham di Jerman daripada berita makro ekonomi Amerika Serikat. Lobão (2019), menemukan adanya efek pra-liburan yang sangat signifikan terhadap return, selain itu, efek pergantian bulan, efek bulanan dan hari dalam seminggu efek terdeteksi di beberapa pada American Depository Receipt (ADR). Pola musiman yang dianalisis cenderung lebih kuat di ADR berbasis pasar yang muncul.…”
This Research aims to obtain empirical evidence about the existence of anomaly seasonal effects on market returns on a daily and monthly basis on the IHSG and the LQ-45 Index in Indonesia throughout January 2015 untill September 2020. The diversity of arguments and research results regarding the phenomenon of seasonal anomalies in stock returns derived from previous studies make this phenomenon interesting to study. We analyze daily stock returns by using the Kruskal Wallis test, while the average monthly return is analyzed using the one-way Anova. The findings show that the phenomenon of stock anomaly returns according to the daily pattern of the week (day of the week effect) and the monthly pattern (month of the year effect) on IHSG and the LQ-45 Index are not proven within the range research from January 2015 to September 2020. The results of stock price forecasting provide benefits in supporting investors to develop their investment strategies. Futhermore, this information is also important to choose and determine which stocks should be bought and sold. In addition to investors, this information is also useful for management to monitor the pattern of stock price movements, so that they can plan, formulate strategies and take anticipatory steps based on possible threats that could arise.Keywords :Anomaly Seasonal Effect, day of the week effect, month of the year effect, market Return
“…The results will also be essential for potential ADR firms as they can better communicate within the market. Finally, this study will be helpful for potential investors and academics with research interests in international finance and the connection between culture and business (Lobão, 2019).…”
PurposeWritten communication differences across cultures can set the tone for effective or disastrous business relationships. Although English has been the go-to language in business, managers from different countries can significantly differ in how they convey the firms' information. This study explored these differences by examining the documentation presented by foreign corporations as part of their initial public offering (IPO) in the USA, particularly Chinese firms.Design/methodology/approachThis work examined cultural-related differences in written communications by looking at foreign corporations' descriptions of their strengths, strategies and challenges included in F-1 documents submitted to the Securities and Exchange Commission (SEC) as part of the IPO process. The sample consisted of 97 American depositary receipts (ADRs) identified in the Bank of New York Mellon's ADR directory from 2003 to 2015.FindingsThis study found that Chinese firms significantly differ from other countries' firms in depicting their strengths, strategies and challenges.Research limitations/implicationsLimitations have to do with the sample size. Future research may address this by considering other depositary markets, not just the USA.Originality/valueThe results will be significant for potential ADRs investors; they must be conscious of these differences in the written documentation submitted by Chinese firms compared to other foreign firms. The market should also be aware of these differences, as the Chinese seem less open to sharing information about the under spinning of their operations and financial prospects.
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