Topic : Stock Market
Author : Prashant Khilari
Roll No : 0222091 (MMS’ B)
Business research Method
Kohinoor Business school
Literature Review
Measuring the Real-Time Stock Market Impact of Firm-Generated Content.
Kannan, P.K et al. (Sep 2022) says that examines the impact of firm-generated content (FGC) on stock markets characterized by ultra-high-frequency trading. The authors argue that current marketing methodologies are inadequate for capturing the impact of FGC that is disseminated intermittently throughout the day. The authors employ a market microstructure approach to estimate the permanent and temporary price impacts of firm-generated Twitter content of S&P 500 information technology firms. They find that FGC induces both permanent and temporary price impacts, which are linked to tweet attributes of valence and subject matter. Tweets embodying both attributes generate permanent price impacts, while negative-valence tweets about competitors generate the largest permanent price impacts. The authors offer suggestions to marketing managers regarding the design of intraday FGC based on these findings.
Disutility of Stock Market Losses: Evidence From Domestic Violence.
Pursiainen, Vesa et al. (Apr 2023) says that examines the association between domestic violence and stock market returns during the week. The authors find a negative association between the reported incidence of domestic violence during the weekend and stock returns during the week. This relationship is primarily driven by negative returns, and the incidence of domestic violence increases with the magnitude of losses. The effect also increases with local stock market participation. The authors suggest that negative wealth shocks caused by stock market crashes can affect stress levels within intimate relationships, escalate arguments, and trigger domestic violence. They argue that stock market losses may reduce household utility beyond the shock to financial wealth, supporting gain-loss models where disutility from losses outweighs the utility from gains of a similar magnitude.
Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity.
Sokolovski, Valeri et al. (2022) says that the short selling of equity exchange-traded funds (ETFs) using the 2008 short-sale ban. The authors find a significant increase in short sales of the largest and most liquid ETF, the S&P 500 Spider, during the ban period, contrary to the previously documented contractions in bearish strategies. They offer evidence suggesting that this increase was primarily driven by investors circumventing the ban. The authors also find that the ban’s detrimental effect on stock liquidity was around 30% less severe for the Spider’s constituents. Their results suggest that ETF shorts can substitute for short sales of individual stocks, thereby alleviating the adverse effect of short-sale constraints on liquidity.
The Risk Spillover Effect of COVID-19 Breaking News on the Stock Market.
YangDespite et al (2022) says that its relatively short duration, COVID-19 breaking news has a significant impact on the Chinese stock market. The effect is more pronounced in industries that experienced shutdowns and travel restrictions during the pandemic. This suggests that sectors directly affected by containment measures are more sensitive to pandemic-related news. The COVID-19 pandemic significantly influences the spillover of risks across different industries. The direction of these spillovers reflects the “flight-to-quality” behavior of investors. This means that investors tend to shift their investments towards safer assets during times of uncertainty and increased risk.
Informed Trading in the Stock Market nad Option-Price Discovery.
Muravyev, Dmitry et al ( 2021) This research paper focuses on the impact of activist shareholders filing Schedule 13D filings on stock-price volatility. The study finds that, on average, there is a decrease of approximately 10% in stock-price volatility following such filings. The authors also analyze the behavior of option prices prior to the filing days and provide insights into the relationship between volatility and informed trading.Using a comprehensive dataset of trades made by Schedule 13D filers, the researchers observe that on days when activists accumulate shares, there are specific changes in option-implied volatility. Specifically, implied volatility decreases, implied volatility skew increases, and implied volatility time slope increases.
Impact of Institutional Investors on Indian Stock Market Performance.
Jain, Aashish et al. (2022) says tha influence of Foreign Institutional Investors (FIIs) and Domestic Institutional Investors (DIIs) on the Indian stock market. The study utilizes various statistical tools such as Vector Error Correction Model (VECM), Granger Causality, Variance Decomposition Analysis, and Impulse Response Function.Given the high volatility experienced in global markets during the Covid-19 pandemic, the paper emphasizes the importance of analyzing the behavior of the Indian stock market concerning the inflows and outflows of institutional investors on a daily basis.The findings indicate that the return of the Indian stock market, specifically the Nifty 50 index, has a more significant impact on FIIs compared to DIIs. This suggests that the activities and investment decisions of foreign institutional investors have a greater influence on the Indian stock market compared domestic institutional investors
An analysis of stock market prices by using extended Kalman filter: The US and China cases.
Levent;Canbaloglu, et al. (2023) Says that investigates the trend-cycle components of stock market indices in the United States and China. The study covers the period of 1980-2021 for the US market and 1992-2021 for the Chinese market. The authors utilize the extended Kalman filter (EKF) method to analyze the changing dynamics of stock market prices. The EKF is chosen because it can effectively handle the nonlinear patterns often observed in stock market prices and allows for time-varying parameter estimation under a nonlinear state-space model. By employing the EKF, the study demonstrates that the impacts of shocks to the trend and cycle of the stock market can be observed more efficiently. The flexibility of the EKF in estimating time-varying parameters leads to more reasonable results compared to other decomposition tools.
Business-Bankruptcy After the BAPCPA: Evidence From the Stock Market.
Luís M et al. (2021) says that the impact of the Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA) on the business-bankruptcy landscape in the United States. The study addresses the lack of knowledge regarding how the BAPCPA affects firms filing for Chapter 11 bankruptcy. By analyzing the stock price dynamics of such firms under both the 1978 Bankruptcy Act and the BAPCPA, the paper aims to fill this gap in the literature. The study finds that, on average, shareholders of firms filing for Chapter 11 under the new Act experience significantly greater losses compared to their counterparts under the 1978 Act. This loss is observed both at the time of the bankruptcy event and shortly afterward. The empirical evidence suggests that the market perceives the BAPCPA to be more creditor-friendly than its predecessor.
Stock market, credit market, and heterogeneous innovations.
Wang, Xun et al. (2023) says that the debate surrounding the role of credit market development and stock market development in fostering innovation. The study examines the impact of different types of financial market development on various forms of innovation. Using a comprehensive dataset covering 42 developed and emerging economies, the authors employ a generalized difference-in-differences identification strategy The findings reveal that stock market development has a positive effect on substantive innovation, particularly for young and small firms. However, it has a negative impact on incremental innovation. On the other hand, credit market development promotes incremental innovation, especially for mature and large firms, but hampers substantive innovation.
Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices.
Satyanarayana et al. (2022) says that The research paper focuses on examining the market efficiency of the Indian stock market, specifically regarding the weak-form efficiency of the market. The study analyzes nine broad market indices of the Bombay Stock Exchange (BSE) from January 2011 to December 2020. Daily open, high, low, and closing prices of these indices are collected for the analysis Various statistical tools are employed, including unit root tests, descriptive statistics, autocorrelation analysis, and runs tests. The empirical findings indicate that the BSE broad market indices do not follow a random walk, suggesting that the Indian stock market is weak-form inefficient The research highlights the need for further exploration in explaining the anomalies found in the statistical results by different researchers in the finance field.
Conclusion
In conclusion, the selected research papers shed light on various aspects of the stock market and its relationship with different factors. “Measuring the Real-Time Stock Market Impact of Firm-Generated Content” highlights the importance of firm-generated content and its impact on stock prices, providing insights for marketing managers. “Disutility of Stock Market Losses: Evidence From Domestic Violence” reveals the association between stock market losses and domestic violence, emphasizing the broader implications of financial shocks. “Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity” examines the impact of short selling on ETFs and its implications for stock market liquidity.
“The Risk Spillover Effect of COVID-19 Breaking News on the Stock Market” explores the significant influence of pandemic-related news on the Chinese stock market and the flight-to-quality behavior of investors. “Informed Trading in the Stock Market and Option-Price Discovery” analyzes the impact of activist shareholders on stock-price volatility and option prices, revealing the relationship between informed trading and market dynamics. “Impact of Institutional Investors on Indian Stock Market Performance” investigates the influence of foreign and domestic institutional investors on the Indian stock market, highlighting the differential impact of these investors.
“An analysis of stock market prices by using extended Kalman filter: The US and China cases” employs the extended Kalman filter to analyze stock market trends and dynamics in the US and China. “Business-Bankruptcy After the BAPCPA: Evidence From the Stock Market” examines the impact of the Bankruptcy Abuse Prevention and Consumer Protection Act on firms filing for Chapter 11 bankruptcy, revealing the market’s perception of the new Act. “Stock market, credit market, and heterogeneous innovations” explores the relationship between credit market and stock market development and their impact on different forms of innovation.
Finally, “Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices” examines the weak-form efficiency of the Indian stock market, providing insights into its market dynamics. Overall, these research papers contribute to our understanding of the complexities and interconnections within the stock market.
References
ALP, Ö. S.; ÖZBEK, L.; CANBALOGLU, B. An analysis of stock market prices by using extended Kalman filter: The US and China cases. Investment Analysts Journal, [s. l.], v. 52, n. 1, p. 67–82, 2023. DOI 10.1080/10293523.2023.2179160. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=7d8f2710-b76e-3800-8d92-eeca5cc1b149. Acesso em: 23 maio. 2023.
COLLIN-DUFRESNE, P.; FOS, V.; MURAVYEV, D. Informed Trading in the Stock Market and Option-Price Discovery. Journal of Financial & Quantitative Analysis, [s. l.], v. 56, n. 6, p. 1945–1984, 2021. DOI 10.1017/S0022109020000629. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=a5dee17c-38e3-34ed-b17e-fed846e7f845. Acesso em: 22 maio. 2023.
ELANGOVAN, R.; IRUDAYASAMY, F. G.; PARAYITAM, S. Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices. Journal of Economics, Finance & Administrative Science, [s. l.], v. 27, n. 54, p. 313–327, 2022. DOI 10.1108/JEFAS-04-2021-0040. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=10a2aada-8306-32a0-b488-ac501d145549. Acesso em: 23 maio. 2023.
JAIN, A. Impact of Institutional Investors on Indian Stock Market Performance. IUP Journal of Applied Finance, [s. l.], v. 28, n. 4, p. 5–29, 2022. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=83c55c0b-1b16-3009-9cd8-8df6b9dc2e9e. Acesso em: 22 maio. 2023.
KARMAZIENE, E.; SOKOLOVSKI, V. Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity. Journal of Financial & Quantitative Analysis, [s. l.], v. 57, n. 3, p. 923–956, 2022. DOI 10.1017/S0022109021000181. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=3ed9d521-b007-35e5-a9d7-af0955228c2c. Acesso em: 14 maio. 2023.
LACKA, E. et al. Measuring the Real-Time Stock Market Impact of Firm-Generated Content. Journal of Marketing, [s. l.], v. 86, n. 5, p. 58–78, 2022. DOI 10.1177/00222429211042848. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=5e9d45fa-13ed-32d3-b74e-316ab26f99da. Acesso em: 14 maio. 2023.
LIN, T.-C.; PURSIAINEN, V. Disutility of Stock Market Losses: Evidence From Domestic Violence. Review of Financial Studies, [s. l.], v. 36, n. 4, p. 1703–1736, 2023. DOI 10.1093/rfs/hhac049. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=fead0b75-c253-3a3f-81fa-3dcb223bd582. Acesso em: 14 maio. 2023.
LONG, Z.; ZHAO, Y. The Risk Spillover Effect of COVID-19 Breaking News on the Stock Market. Emerging Markets Finance & Trade, [s. l.], v. 58, n. 15, p. 4321–4337, 2022. DOI 10.1080/1540496X.2022.2065917. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=9783d53e-2667-3fff-a548-820739838bec. Acesso em: 22 maio. 2023.
SERRA COELHO, L. M. Business-Bankruptcy After the BAPCPA: Evidence From the Stock Market. Journal of Accounting, Auditing & Finance, [s. l.], v. 36, n. 2, p. 304–328, 2021. DOI 10.1177/0148558X19832173. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=aaaa63eb-fd27-3151-96ad-f6a410c1440e. Acesso em: 23 maio. 2023.
WANG, X. Stock market, credit market, and heterogeneous innovations. International Review of Finance, [s. l.], v. 23, n. 1, p. 103–129, 2023. DOI 10.1111/irfi.12390. Disponível em: https://discovery.ebsco.com/linkprocessor/plink?id=e58cfe33-be45-3957-9f6e-9639d904ceaa. Acesso em: 23 maio. 2023.
