Stock Market Crash.
Author: Onkar Korpe
Roll No: 93
Class: MMS 2023-25
Kohinoor Business School.
The stock market crash and boom in 1929.
Beaudreau, B. C. (2018). examines the relationship between electrification, the Smoot-Hawley Tariff Bill, and the stock market boom and crash of 1929. The introduction of electrification in the 1920s increased America’s wealth production capacity. The Smoot-Hawley Tariff Bill aimed to address weak product markets but led to a stock market crash in 1929 when it was expected to be defeated. The paper uses longitudinal data to show how stock prices of firms in industries affected by electrification responded to tariff news. The results suggest that good tariff news explained up to 76% of stock price appreciation in the 1928-1929 period. This shows that the stock market boom and crash of 1929 can be understood in terms of political developments and improved fundamentals.
India’s Markets Aren’t Merely Emerging.
Iyer, S. (2007) Unifying branding, swaps wires trade events top 1 million. Products popular among traders migrate to retail market. American Enterprise Institute recommends reducing litigation costs for overseas listings. Technology updates in trading, clearing, and settlement. NYSE taking stake in NSE, India’s market growing but still has room for improvement, potential for global consolidation.
Stock market Crash of 2008.
Kaizoji, T., & Miyano, M. (2019) Study investigates the 2008 stock market crash, finding share prices deviated from company fundamentals due to panic. The data for this article were collected from the OSIRIS database provided by Bureau van Dijk containing company financial statements and reports for nearly 80,000 companies listed around the world. One difficulty with international comparisons of financial statements collected from multiple sources is that the formats of the statements tend to be different by source and country. investigate the distribution of the divergence rate. Figure 6(a) shows the distribution for the period from 2006 to 2008, which includes the period before and during the global financial crisis. The figure shows clearly that the distribution of the divergence rate shifted drastically towards the minus side from 2007 to 2008. the deviation of share price from company fundamentals. Using company balance sheet data, we propose a panel regression model of share prices for 7796 companies listed worldwide over the 10-year period from 2004 to 2013. We find that a two-way fixed effects model of share price that uses three financial indicators – dividends per share, cash flow per share and book value per share – as the explanatory variables fits very well to the panel share price data. We estimate company fundamentals by removing the time fixed effects from the two-way fixed effects model, recognizing that the time fixed effects represent the effect of temporary shocks on share price.
Informed Trading in the Stock Market and Option-Price Discovery.
Collin-Dufresne, P., Fos, V., & Muravyev, D. (2021) explores the impact of Schedule 13D filings on stock market and option prices, finding that informed trading occurs in the stock market and influences option prices. The study also examines the usage of derivatives by informed traders, finding that they trade primarily in the stock market. Theoretical models are used to explain how information is reflected in option prices through stock-market dynamics and order flow.
Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity.
Karmaziene, E., & Sokolovski, V. (2022) Examines short selling of ETFs during a short-sale ban, finding an increase in SPY short sales that helped alleviate liquidity constraints on banned stocks. The Spider ETF was used to bypass the ban and indirectly short its constituents. The banned constituents experienced less severe liquidity deterioration during the ban, suggesting that ETF short sales can offset the detrimental effects of short-sale constraints. The results contribute to the understanding of how ETFs affect liquidity in the stock market.
Business-Bankruptcy After the BAPCPA: Evidence From the Stock Market.
Serra Coelho, L. M. (2021). Examines the impact of the BAPCPA on stock prices of firms filing for Chapter 11 bankruptcy. It finds that shareholders of firms under the new Act lose more value than those under the 1978 Code. The market perceives the BAPCPA as more creditor-friendly.
Measuring the Real-Time Stock Market Impact of Firm-Generated Content.
Lacka, E., Boyd, D. E., Ibikunle, G., & Kannan, P. K. (2022) Article discusses the impact of firm-generated content on stock markets using a high-frequency approach, identifying attributes that influence price impact.
Does stock market liberalization improve stock price efficiency? Evidence from China.
Chen, Y., Huang, J., Li, X., & Yuan, Q. (2022). Examines the impact of stock market liberalization on stock price efficiency in China. The study suggests that stock market liberalization increases price efficiency for investible firms, as evidenced by higher non-synchronicity in stock prices. The research identifies two channels through which price efficiency improves: better disclosure by firms
and the incorporation of more information into stock prices by foreign investors. The findings are robust and indicate that stock market liberalization can enhance the quality of information in stock prices. The study contributes to understanding the consequences of stock market liberalization and suggests that similar reforms in other developing countries may lead to improved price efficiency.
America’s decoupling from China: A perspective from stock markets.
Liu, K. (2023) Examines the decoupling of the Americas from China in terms of its impact on stock markets. Using Google Trends data, it finds that concern over decoupling leads to significant variations in stock market prices. The study also reviews related literature on the economic consequences of decoupling from China and introduces the data source and variables used in the analysis. The research aims to provide insights into the potential economic costs of decoupling by analysing stock market responses, which are considered important indicators of economic impacts.
Investment Performance of Value Investing Strategies in Indian Stock Market: An Empirical Study.
Saini, P., & Chander, R. (2023) Examines the performance of value investing strategies in the Indian stock market from 2005 to 2020. Piotroski’s strategy showed better returns compared to Graham and Greenblatt. Value investing involves identifying undervalued stocks. Graham emphasized buying stocks with a margin of safety, while Piotroski focused on high book-to-market ratio stocks. Greenblatt’s strategy, known as the ‘magic formula’, is based on return on capital and earnings yield. Previous studies have shown that value investing generates superior returns globally, with some exceptions. The study collected data on 500 sample stocks from NSE for analysis.
Reference:
BEAUDREAU, B. C. Electrification, the Smoot-Hawley tariff bill and the stock market boom and crash of 1929: evidence from longitudinal data. Journal of Economics & Finance, [s. l.], v. 42, n. 4, p. 631–650, 2018. DOI 10.1007/s12197-017-9418-6. Disponível em: https://research.ebsco.com/linkprocessor/plink?id=b90133f2-bbed-388b-a67a-59aa41b22eb6. Acesso em: 25 fev. 2024.
References
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KAIZOJI, T.; MIYANO, M. Stock market crash of 2008: an empirical study of the deviation of share prices from company fundamentals. Applied Economics Letters, [s. l.], v. 26, n. 5, p. 362–369, 2019. DOI 10.1080/13504851.2018.1486004. Disponível em: https://research.ebsco.com/linkprocessor/plink?id=50233d6d-8497-3a0b-a9eb-266aca704a58. Acesso em: 25 fev. 2024.
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://research.ebsco.com/linkprocessor/plink?id=b8287652-0381-3aa1-ba6e-ba9d09ccc85a. Acesso em: 25 fev. 2024.
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://research.ebsco.com/linkprocessor/plink?id=c7b00efb-2b4e-328f-8ff0-40e5cff1f6c8. Acesso em: 25 fev. 2024.
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://research.ebsco.com/linkprocessor/plink?id=4d1be37c-cd2e-3484-80c0-d997e22e20a9. Acesso em: 25 fev. 2024.
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CHEN, Y. et al. Does stock market liberalization improve stock price efficiency? Evidence from China. Journal of Business Finance & Accounting, [s. l.], v. 49, n. 5, p. 1175–1210, 2022. DOI 10.1111/jbfa.12586. Disponível em: https://research.ebsco.com/linkprocessor/plink?id=8f66a57f-209f-3cfb-82a1-390979a11f00. Acesso em: 25 fev. 2024.
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SAINI, P.; CHANDER, R. Investment Performance of Value Investing Strategies in Indian Stock Market: An Empirical Study. IUP Journal of Applied Finance, [s. l.], v. 29, n. 4, p. 33–51, 2023. Disponível em: https://research.ebsco.com/linkprocessor/plink?id=52d58643-53bf-3230-838a-a80c521e6b51. Acesso em: 25 fev. 2024.