Performance of IPOs During Covid-19 Pandemic and Factors Affecting Investors' Perception

Initial Public Offering (IPO) is a fund-raising tool through which a company gets listed for the first time under SEBI regulation and issues IPOs to raise funds from the public. The shift from a privately-owned to a publicly-owned firm via an IPO is the most significant event in a company's life (Pagano et al., 1998). In an IPO investment, there is limited historical data to analyze and predict the future performance of the company;hence it becomes a risky investment for the investors as they cannot predict how the shares will perform in the future. Most companies that go for an IPO are in the growth or expansion phase so it becomes more difficult to predict their market position and performance in the future, which leads to uncertainty in deriving their future value. Also, most IPOs are of companies going through a transitory growth period, and are therefore subject to additional uncertainty regarding their future value. This study analyzes the performance of the IPOs issued during the Covid-19 pandemic, when the markets across the world faced massive disruptions. The IPOs from various sectors like finance, technology, service, infrastructure, food, pharmaceutical and information technology were considered for the study. The study also analyzes the factors affecting investor perception towards investment in an IPO. The study considered the IPOs issued during the pandemic, and their performance on the listing day was measured by considering issue price, listing price and closing price. It was observed that 90% of the IPOs selected performed well during the listing day and 10% underperformed. It was also found that factors like company brand, company sector, fundamental analysis, company ratings, expert opinion and stock market conditions had a positive impact on the investors' decision to invest in an IPO. The study also revealed that factors like risk factor in primary market, returns on IPO on the listing day and Gray Market Premium have no significant impact on the investors' perception.

The Relationship Between Financial Indicators and Financial Intermediaries' Stock Price Volatility Listed on the BM&FBOVESPA Index in the Crisis Period of 2008 and 2020 (Covid-19): GCG

The study goal was to verify the relationship among financial indicators and intermediaries' volatility stock price listed on the BM&FBovespa Index in the crisis period from 2008 and 2020 (COVID-19). The methods used for analysis were Spearman's correlation, multiple linear regression, and Test T. The analyzed period refers to the year 2008, the second semester of 2019 and the first semester of 2020, which include the periods before and during the crises of 2008 and 2020. The results found show that only the indicator of the assets total turnover rate has a significant relationship with the stock price volatility.Alternate :O estudo tem como objetivo verificar a relação entre os indicadores com a volatilidade das ações das intermediadoras financeiras listadas no Índice BM&FBovespa no período das crises de 2008 e 2020 (COVID-19). Os métodos utilizados para análise foram de correlação de Spearman, regressão linear múltipla e Teste T. O período analisado refere-se ao ano de 2008, segundo semestre de 2019 e primeiro semestre de 2020, onde englobam os períodos pré e durante as crises de 2008 e 2020. Os resultados encontrados apontam que apenas o indicador taxa total de rotatividade dos ativos possui relação significativa com a volatilidade do preço das ações.Alternate :El estudio tiene como objetivo verificar la relación entre los indicadores y la volatilidad de las acciones de los intermediarios financieros listados en el Índice BM&FBovespa en el período de las crisis de 2008 y 2020 (COVID-19). Los métodos utilizados para el análisis fueron la correlación de Spearman, la regresión lineal múltiple y la prueba T. El período analizado se refiere al año 2008, la segunda mitad de 2019 y la primera mitad de 2020, que incluyen los períodos antes y durante las crisis de 2008 y 2020. Los resultados encontrados indican que solo el indicador de tasa de rotación de activos totales tiene una relación significativa con la volatilidad del precio de las acciones.

Dynamics of Volatility Spillover and Connectedness Among Sectors of Indian Stock Market

This paper investigates the dynamic volatility spillover and connectedness among different sectors of the Indian stock market during the Covid-19 pandemic. The study considers 18 sectors listed on the National Stock Exchange. Diebold-Yilmaz Volatility spillover model and Baruník and Křehlík frequency connectedness methodology are used to investigate the time varying dynamics of the spillover during the turbulence period. Daily market prices of 18 sectors, from March 15, 2019, to February 28, 2022, are considered for the present study. The results reveal that the spillover from infra, commodities, services, MNC, oil and gas, financial services, private bank, energy, and PSE is more, and this clearly indicates that during the pandemic, these sectors mostly had a spillover effect on other sectors.

Research on Chinese Stock Market during COVID-19—Based on Random Matrix Theory

This paper focuses on the three industries that are greatly impacted by COVID-19, including the consumption industry, the pharmaceutical industry, and the financial industry. The daily returns of 98 stocks in the consumption industry, the pharmaceutical industry, and the financial industry in the 100 trading days from January 2, 2020, to June 3, 2020, are selected. Based on the random matrix theory, it first analyzes whether the stock market conforms to the efficient market hypothesis during the epidemic period, and second it further studies the linkage between the three industries. The results show that (1) the correlation coefficient is approximately a normal distribution, but the mean value is greater than 0, which is greater than that of the more mature markets such as the United States. (2) There are three eigenvalues greater than the prediction value, of which the maximum eigenvalue is about 11.18 times larger than the largest eigenvalue of the RMT. (3) There is a significant positive relationship between the maximum eigenvalue and the correlation coefficient. The specific market performance is that the stock price fluctuations show a high degree of consistency. (4) In the sample interval, the financial industry has a restraining effect on the consumption industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the consumption industry in the short term. The consumption industry has a promoting effect on the financial industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the financial industry in the short term. The consumption industry has a promoting and then restraining effect on the pharmaceutical industry in the short term, and the financial industry has a promoting and then restraining effect on the pharmaceutical industry in the short term. (5) In the sample interval, the consumption industry is mainly affected by itself, while the role of the pharmaceutical industry and the financial industry is very small. The pharmaceutical industry is mainly affected by itself and the consumption industry, while the role of the financial industry is very small. The financial industry is mainly affected by itself and the consumption industry, while the role of the pharmaceutical industry is very small. This situation has consequences for individual investors and institutional investors, since some stock returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency. The research on the correlation between asset returns will help to accurately price assets and avoid losses caused by price fluctuations during the epidemic.

Venture Capital and Chinese Firms’ Technological Innovation Capability: Effective Evaluation and Mechanism Verification

Making the financial industry a solider mainstay of the real economy is of great concern for China in the midst of economic reform. For China, leveraging venture capital (VC) to enhance a firm’s technological innovation capability (TIC) is an important means of actualising its innovation and development strategy, as well as a must-do to realise sustainable development. In this study, firms that went public from 2010 to 2020 on the A-stock market were used as samples to study the effects of VC on TIC and the relevant mechanism based on the difference-in-differences (DID) method. As research findings show, VC can improve TIC through the medium of the internal incentive and external constraint easing effects. The contributory role of VC in TIC varies with firm size, ownership, and industry type. A range of robustness tests, including the PSM, variable substitution, and instrumental variable methods, further strengthened the reliability of the conclusions. This study can enlighten policymakers on how to implement comprehensive resource factor market reform to build a favourable innovation environment that materialises the role of marketisation.

Do Investor Overconfidence and Loss Aversion Drive Saudi Firm Market Performance? The Moderating Effect of Corporate Governance

sThis study investigated the impact of investor psychological bias on a firm’s market value. In detail, we examined the effect of investor overconfidence (optimism) and loss aversion (pessimism) on firm market value. We also aimed to investigate the moderating effect of corporate governance on the relationship between investor behavior biases and firm market value. This study used a sample of 143 firms listed on the Saudi Stock Exchange over the period from 2012 to 2021. The results suggest that investor overconfidence affects a firm’s value positively. On the other hand, loss aversion is negatively associated with the firm’s market value. Furthermore, we find that corporate governance (measured by board size and board independence) enhances the positive association between overconfidence and firm market value. In contrast, we find that corporate governance seems to marginally mitigate the negative effect of loss aversion.

FROM THE EDITOR

[...]cutting out the middleman can significantly reduce drug-development costs, which will increase access to medicine. [...]retail investors can also benefit from investing in drug discovery because the risk associated with the NFT is managed down to the level of debt. Using a difference-in-difference approach, the authors find that after the successful IPO, bank loans initiated for the industry's incumbent firms have significantly higher loan spread, higher likelihood of employing performance pricing provisions, and higher commitment fees;the syndicate loan structure for industry incumbents becomes more concentrated after successful IPOs in the industry;the number of lenders declines while lead bank share increases.

Forecasting Selected Colombian Shares Using a Hybrid ARIMA-SVR Model

Forecasting future values of Colombian companies traded on the New York Stock Exchange is a daily challenge for investors, due to these stocks’ high volatility. There are several forecasting models for forecasting time series data, such as the autoregressive integrated moving average (ARIMA) model, which has been considered the most-used regression model in time series prediction for the last four decades, although the ARIMA model cannot estimate non-linear regression behavior caused by high volatility in the time series. In addition, the support vector regression (SVR) model is a pioneering machine learning approach for solving nonlinear regression estimation procedures. For this reason, this paper proposes using a hybrid model benefiting from ARIMA and support vector regression (SVR) models to forecast daily and cumulative returns of selected Colombian companies. For testing purposes, close prices of Bancolombia, Ecopetrol, Tecnoglass, and Grupo Aval were used;these are relevant Colombian organizations quoted on the New York Stock Exchange (NYSE).

Detection of structural regimes and analyzing the impact of crude oil market on Canadian stock market: Markov regime-switching approach

Purpose>This study aims to analyze the impact of the crude oil market on the Toronto Stock Exchange Index (TSX).Design/methodology/approach>The focus is on detecting nonlinear relationship based on monthly data from 1970 to 2021 using Markov-switching vector auto regression (VAR) model.Findings>The results indicate that TSX return contains two regimes: positive return (Regime 1), when growth rate of stock index is positive;and negative return (Regime 2), when growth rate of stock index is negative. Moreover, Regime 1 is more volatile than Regime 2. The findings also show the crude oil market has a negative effect on the stock market in Regime 1, while it has a positive effect on the stock market in Regime 2. In addition, the authors can see this effect in Regime 1 more significantly in comparison to Regime 2. Furthermore, two-period lag of oil price decreases stock return in Regime 1, while it increases stock return in Regime 2.Originality/value>This study aims to address the effect of oil market fluctuation on TSX index using Markov-switching approach and capture the nonlinearities between them. To the best of the author’s knowledge, this is the first study to assess the effect of the oil market on TSX in different regimes using Markov-switching VAR model. Because Canada is the sixth-largest producer and exporter of oil in the world as well as the TSX as the Canada’s main stock exchange is the tenth-largest stock exchange in the world by market capitalization, this paper’s framework to analyze a nonlinear relationship between oil market and the stock market of Canada helps stock market players like policymakers, institutional investors and private investors to get a better understanding of the real world.

Listed public–private enterprises: stock market information, agency costs and productive efficiency outcomes

Purpose>This paper addresses the social value of commercial enterprises that are jointly owned by a government and private sector investors and where the shares are listed on a stock exchange: thus, “listed public–private enterprises” (LPPEs). The theoretical part of the paper addresses how differences in ownership patterns influence the behavior and performance of LPPEs.Design/methodology/approach>We develop a conceptual taxonomy, drawing on the empirical evidence on the behavior and performance of public–private hybrid enterprises and on the application of agency theory to that evidence. The taxonomy discussion predicts how different ownership patterns affect enterprise productive efficiency and the ability of governments to achieve social goals through LPPEs. We review the empirical literature on government enterprise ownership and on the concentration of private share ownership to deduce how these matter for owner and managerial behavior and productive efficiency. We review the literature that considers the informational content that listing of an enterprise's shares on a stock exchange can provide to enterprise owners, managers and other domestic audiences with a policy interest. We employ a social welfare perspective to derive policy implications as to when the LPPE governance structure is most appropriate.Findings>We show how the monitoring and performance weaknesses of state ownership are offset by some private ownership, particularly when combined with listing on a stock exchange. We demonstrate the effects of different governance structures on enterprise productive efficiency. We find that the LPPE structure is particularly appropriate as an alternative to nationalization or to full privatization and regulation of natural monopoly public utilities, and as an alternative to full private ownership and taxation of non-renewable natural resource extractive enterprises.Originality/value>This paper explicitly addresses the question of why and how the combination of government ownership, private investor ownership and listing on an exchange is socially valuable in providing information on productive efficiency to governments.

Overreaction and Underreaction during the Covid-19 Pandemic in the South African Stock Market and Its Implications

The aim of this study was to investigate overreaction and underreaction from the six main sectors in the Johannesburg stock exchange due to the significant impact of Covid-19 on economic activities and financial markets globally. Using a Threshold GARCH model, the findings revealed the presence of overreaction mostly in the healthcare, industrial and telecom sector. However, very few stocks in the banking and tech portrayed overreaction while none of the stocks in the consumer goods sector revealed the presence of overreaction or underreaction because the coefficient of the leverage term was statistically insignificant. From these findings, there is a high risk of investing in healthcare, industrial and telecom stocks, which is not compensated by additional returns. Investors can minimize risk in this sectors by adding healthcare, industrial and telecom stocks in a well- diversified portfolio and assigning a risk coefficient to their pricing. This study adds to the body of knowledge on market anomalies by looking at overreaction and underreaction during the coivid-19 pandemic, which is an important concept in behavioral finance. This study is significant to market participants that are willing to trade on the Johannesburg stock exchange as it provides valuable insights on behavioral pattern and anomalies.

Do ADR Firms Have Different Dividend Policies Than U.S. Firms? A Comparative Study

This paper examines and compares the dividend policies of American depository receipt (ADR) firms and U.S. firms and identifies the factors that determine these policies for both types of companies. We find that ADR firms have higher dividend yields than U.S. firms, while U.S. firms have higher stock repurchase ratios than ADR firms. Results from univariate comparisons and multivariate analysis show that the determining factors of dividend payout and stock repurchases differ between these two types of firms. This finding holds for the robustness check conducted in this study. This paper provides further evidence regarding dividend policies of ADR firms and sheds light on the differences in dividend policies between non-U.S. firm and U.S. firms.

Effects of COVID-19 Pandemic on the Bulgarian Stock Market Returns

The purpose of this paper is to provide the first empirical research analysing the effects of the COVID-19 pandemic on the Bulgarian stock market before its onset and in the four pandemic waves. For this purpose, we used a fixed effect panel data regression model for the stock returns of 23 companies listed on the Bulgarian Stock Exchange from 2 January 2020 to 16 November 2021. The study showed that the growth rate of COVID-19 deaths per day in Bulgaria had a negative effect on the stock returns and had the strongest influence on them in the fourth pandemic wave. In addition, our results showed that stock returns in healthcare, IT, utilities, and real estate sectors were negatively affected before the COVID-19 pandemic while the first COVID-19 pandemic wave had a positive effect on healthcare and consumer staples sectors. During the second COVID-19 wave, the stock returns of the IT sector had a positive effect, while Utilities sector had a negative effect. The third COVID-19 wave had a positive effect on industrials and consumer staples sectors, while healthcare, real estate, and IT sectors showed a negative effect. During the fourth COVID-19 wave, the stock returns of the IT sector had a positive effect and consumer staples sector had a negative effect.

Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets

Due to the heterogeneity of investor structure between the Chinese mainland stock market (A-share market) and the Hong Kong stock market (H-share market) as well as the limitations on arbitrage activities, most cross-listed stocks in the two markets (AH stocks) have the characteristics of “one asset, two prices”, in which AH stocks with the same vote rights and dividend streams are traded at different prices in different markets. Based on the VAR (LA-VAR as well) model and a four-variable system including AH stock indices (AHXA, AHXH), the China Securities Index 300 (CSI 300), and the Hang Seng Index (HSI), this paper applies a new time-varying causality test to examine the causalities in prices and volatilities for two pairings (AXHA-AHXH pairing and CSI 300-HSI pairing) during the sample period spanning from 4 January 2010 to 21 May 2021. The empirical results exhibit statistically significant time-varying causalities of the two pairings. Specifically, at the price level, AHXH has a significant negative causal effect on AHXA from October 2017 to February 2020 except for several months in 2018, while AHXA merely has a negative impact on AHXA during a short period from March 2017 to May 2017. Of note, the direction of causalities in volatilities between AHXA and AHXH reverses. A positive causality is found from AHXA to AHXH at the 5% significance level during the period of April 2014 through May 2021, while no causality is detected in the opposite direction during the whole sample period. Meanwhile, the volatilities of CSI 300 significantly Granger cause those of HSI over the whole sample period, but not vice versa. Implications of our results are discussed.

Earnings Management, Board Composition and Earnings Persistence in Emerging Market

Income data are useful for making economic decisions and anticipating future revenues. Earning quality, or the utility of earnings in making decisions, is determined by real economic performance. Firms with greater performance should, on average, have higher profits quality. Managers, investors, and scholars are interested in the influence of earnings management (EM) on earnings persistence (EP). This study evaluates the relationship between these variables in terms of accrual, real EM, board composition, and EP. We conducted quantitative research using GMM regression on a sample of 228 listed businesses in the Vietnamese stock market from 2014 to 2017. Our findings indicate that accrual earnings management (AEM) is associated with a negative connection with EP, but real earnings management (REM) is associated with a mixed association with EP. Additionally, the data indicate that board of directors (BODs) play a critical role in EP. Our research contributes to the existing body of knowledge by establishing a foundation for future research in this subject and by proposing some feasible options for functional government agencies and enterprise management interested in enhancing EP.

EFFICIENCY OF NIFTY PHARMA INDEX DURING THE COVID-19 PANDEMIC IN INDIA

The study measures the efficiency of NSE Pharma Index listed companies, during the COVID-19 pandemic period, ranging from December 2019 to November 2020.The main objective of this paper was to test the price movement of pharmaceutical companies, by using the statistical tools like descriptive statistics, ADF and GARCH (1,1) model. NIFTY Pharma Index reported high volatility duringCOVID-19 pandemic period.