ABSTRACT
Does face-to-face interaction still facilitate information transfer despite proliferating communication technologies? We use the COVID-19 collapse in such interactions to examine their influence on information flow in the stock market around earnings announcements. Using daily, county-level abnormal mobility of U.S. residents to proxy for face-to-face interaction, we find that firms located in counties with lower abnormal mobility experience a weaker immediate price reaction to earnings announcements and a larger post-announcement drift. Our findings suggest that lower face-to-face interactions dampen price discovery in financial markets, and that investor attention is a potential mechanism of this effect.
ABSTRACT
Students' opinions are among the critical indicators to evaluate the university teaching process. However, due to the absence of an official online system in most universities that provides a mechanism for obtaining students' opinions on several university announcements, most students use various social networks to express their feelings and provide their opinions toward these announcements. We present, through this paper, sentiment analysis of Facebook comments written in the Moroccan Arabic dialect. These comments reflect the opinions of students about university announcements during the COVID-19 pandemic, especially those related to teaching mode and ex-am planning. Then, the comments collected were cleaned, preprocessed, and manually classified into four categories, namely positive, neutral, negative, and bipolar. Further, data dimensionality reduction is applied using TF-IDF and Chi-square test. Finally, we evaluated the performance of three standard classifiers, i.e., Naïve Bayesian (NB), Support Vector Machines (SVM), and Random Forests (RF) using k-fold cross-validation. The results showed that the SVM-based classifier performs as well as the RF-based classifier regarding the classification's accuracy and F1-score, while the NB-based classifier lags behind them. © 2022 IEEE.
ABSTRACT
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World Market Index (ISLAM) over the period 1/01/2020-10/03/2021. The results suggest that all four indices are highly persistent and exhibit orders of integration close to 1. A small degree of mean reversion is observed only for the S&P500 under the assumption of white noise errors and USTB with autocorrelated errors; therefore, market efficiency appears to hold in most cases. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As for the policy responses, both the containment and fiscal measures had a rather limited impact, whilst there were significant announcement effects which lifted markets, especially in the case of monetary announcements. There is also evidence of a significant, positive response to changes in the effective Federal funds rate, which suggests that the financial industry, mainly benefiting from interest rises, plays a dominant role.
ABSTRACT
PurposeThe authors examine the short-term stock market reaction surrounding US layoffs during the coronavirus disease 2019 (COVID-19) period. The authors' specific interest is on any changes that may be observed in US stock markets during the COVID-19 outbreak. This information will help us assess the extent to which policymakers adopted at time revenue and expenditures measures to minimize its negative impact.Design/methodology/approachThe authors study the linkage between layoffs announced by firms and stock markets in US for the COVID-19 period between March 2020 and October 2020. This period shows important economic figures;a huge number of job cuts announced by blue-chip companies listed in the New York Stock Exchange (NYSE) due to widespread economic shutdowns. The authors examine whether and to what extent stock markets in US have reacted to layoff announcements during the COVID-19 pandemic using an event-study methodology.FindingsThe study's results show that US layoffs during the pandemic did not cause any abnormalities on the stock returns, either positive or negative. Based on the mean-adjusted volume, the authors find that layoffs increase the stocks' trading volume, especially on the event date and the day following the event. US stocks become more volatile on the days following the event. Interestingly, on the event date, the authors find that stocks get the highest abnormal volatility;however, the result is statistically insignificant.Practical implicationsThe authors suggest that layoffs announcements follow the business cycle quite closely in most industries. The study's results have implications for investors, regulators and policymakers as they permit to examine the effectiveness of the measures adopted.Social implicationsThe study's results show that policymakers reduced uncertainty implementing intensive measures quickly and should follow similar policy in the future pandemic and/or unexpected events.Originality/valueThis paper contributes to the literature in two directions: First, to the best of the authors' knowledge this is the first study that provides empirical evidence and assesses the extent to which a major global shock such as the COVID-19 pandemic may have altered the reaction of US stock markets to layoff announcements. Second, this is the first study on this topic that examines volume and volatility abnormalities, while the authors check the robustness of the findings with different methods to calculate abnormal returns.
ABSTRACT
There has been an increased interest in literature to examine the risk and returns between green and conventional bonds during the last decade. However, the existing literature is silent regarding investigating green bonds and their reactions to regional and global shocks. We attempt to close this gap by gathering green and conventional bonds data issued by the same firms. Using data from 262 firms that issue both sets of bonds and trade in the same market, we are able to control/eliminate for firm-specific factors that can impact the bond spreads. Upon introducing US and EU macroeconomic announcements and economic uncertainty, we find that the green bonds are more resilient from specific shocks, when compared to conventional bonds. We further expand our study to systematically assess the impact of the Covid-19 pandemic on both bonds. Our comprehensive findings suggest an increase in green bonds' uptake post-Covid-19 pandemic, and its significant evolvement compared to pre-Covid-19 proves green bonds popularity. Our result shows greater resilience of green bonds from specific Covid-19 shocks and uncertainties.
ABSTRACT
The Constitution of Japan does not contain any provisions on emergencies. Laws enacted by the Diet have been used to deal with emergencies such as national defense or natural disaster. Authoritarian government may be at the root of the reason that administrative guidance has been used so much in Japan. Administrative guidance shows the peculiarity of Japanese society, which has tried to continue the relationship between the government and citizens in a consensual rather than confrontational way. The lack of compensation provisions in the 2020 Coronavirus Special Measures Act has been highlighted by Social Networking Services as a major flaw, but compensation provisions do exist for certain businesses and regulatory regimes. Traditionally, Japanese administrative law has been largely influenced by German law. Public announcements have the function of providing information to the general public as well as encouraging the fulfillment of obligations by those whose names are announced. © 2023 John Wiley & Sons, Inc.
ABSTRACT
US dairy futures markets of Class III milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing system. We find that dairy volatilities have a relatively low connectedness among themselves and the overall commodity market. We develop a price information uncertainty measure to investigate dairy markets' response to government-released information. Dairy futures markets respond to government-released information with increased trading activity. The price information uncertainty measure has a strong positive impact on price volatility across all dairy commodities. We provide evidence that the COVID-19 pandemic increases volatility in dairy commodities. The pandemic also significantly reduces the impact of information uncertainty on volatility. © 2022 Elsevier B.V.
ABSTRACT
We examine how investors interpreted earnings news when the Covid-19 pandemic began. We argue the pandemic made investors unsure about the earnings news' reliability and valuation implications. We compare earnings announcements in early 2020 to those between 2015 and 2019. During Covid, earnings news significantly increased (decreased) post-announcement abnormal volatility (returns), consistent with investors' struggling to price the news. However, we find that Covid did not have such an effect on firms that had priorly established a reputation for conservative accounting. This suggests that conservatism, whose information effects have been debated by prior literature, alleviated investors' concerns during the pandemic. © 2022 Elsevier Inc.
ABSTRACT
This study empirically analysed the stock price reaction and the efficiency of Indian stock market of the Nifty 50 index around the budget announcements during covid periods from 2020 to 2022 by applying event study methodology. The market efficiency was tested by employing 61 days event study window including 30 days before and 30 days after the announcement date, and the event date of the budget, while the estimation window period comprises of 120 days of the pre-event period. The market model is employed to demonstrate abnormal returns near the event date and to assist in estimating expected returns. Abnormal returns, Average abnormal returns, Cumulative average abnormal returns, and ttests were applied for analysing the market efficiency on Indian budget announcements. This research paper reveals that the efficiency level of the Indian stock market is high and the investors can not make an abnormal profit over the budget announcements during Covid periods. © 2022, Remittances Review. All Rights Reserved.
ABSTRACT
US dairy futures markets of Class III milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing system. We find that dairy volatilities have a relatively low connectedness among themselves and the overall commodity market. We develop a price information uncertainty measure to investigate dairy markets' response to government-released information. Dairy futures markets respond to government-released information with increased trading activity. The price information uncertainty measure has a strong positive impact on price volatility across all dairy commodities. We provide evidence that the COVID-19 pandemic increases volatility in dairy commodities. The pandemic also significantly reduces the impact of information uncertainty on volatility.
ABSTRACT
We examine how investors interpreted earnings news when the Covid-19 pandemic began. We argue the pandemic made investors unsure about the earnings news’ reliability and valuation implications. We compare earnings announcements in early 2020 to those between 2015 and 2019. During Covid, earnings news significantly increased (decreased) post-announcement abnormal volatility (returns), consistent with investors’ struggling to price the news. However, we find that Covid did not have such an effect on firms that had priorly established a reputation for conservative accounting. This suggests that conservatism, whose information effects have been debated by prior literature, alleviated investors’ concerns during the pandemic.
ABSTRACT
This paper analyzes bank stock prices around the world to assess the impact of the COVID-19 pandemic on the banking sector. Using a global database of policy responses during the crisis, the paper also examines the role of financial sector policy announcements on the performance of bank stocks. Overall, the results suggest that the crisis and the countercyclical lending role that banks are expected to play have put banking systems under significant stress, with bank stocks underperforming their domestic markets and other nonbank financial firms. The effectiveness of policy interventions has been mixed. Measures of liquidity support, borrower assistance, and monetary easing mod- erated the adverse impact of the crisis, but this is not true for all banks or in all circumstances. For example, borrower assistance and prudential measures exacerbated the stress for banks that are already undercapitalized and/or operate in countries with little fiscal space. These vulnerabilities will need to be carefully monitored as the pandemic continues to take a toll on the world's economies. © 2022 University of Stockholm. All rights reserved.
ABSTRACT
The objective of this research was to examine the health messages conveyed in public service announcements (PSAs) affiliated with the U.S. federal government response to the COVID-19 pandemic in 2020. To do so, we conducted a content analysis of 132 federally-affiliated PSAs that were aired 170,820 times between March 12 and December 16, 2020. Using a quantitative coding instrument, we analyzed health behavioral guidance, messages about groups, people depicted, and other PSA features. We calculated frequencies of exposure to messages at the airing-level to account for the varying number of times each PSA was aired. Far more PSAs aired between March and June than between July and December. The most common health guidance was to stay at home (80.7%), practice social distancing (61.9%), and wash hands (54.5%); 36.1% of airings included guidance to wear masks. Few PSAs referenced group differences in risk of infection or transmission, nor did they reference scientific evidence or the future availability of vaccines. PSAs aired in 2020 missed opportunities to convey important information to the public and to center health equity in public communication.
ABSTRACT
We investigate the impact of the announcement of the COVID-19 pandemic on the market value and trading volume of supply chain finance (SCF) firms. Using an event study, we observe a significant valuation loss and higher trading volume of SCF firms. However, blockchain-enabled SCF firms are protected from such valuation loss and volatility in trading. We find that higher research and development (R&D) and capital expenditures by firms prevent the loss. Moreover, the firm value of blockchain-enabled SCF firms is impacted by their membership in a blockchain consortium and progress in blockchain implementation. Investors' confidence in blockchain reduces the market uncertainty.
ABSTRACT
There has been an increased interest in literature to examine the risk and returns between green and conventional bonds during the last decade. However, the existing literature is silent regarding investigating green bonds and their reactions to regional and global shocks. We attempt to close this gap by gathering green and conventional bonds data issued by the same firms. Using data from 262 firms that issue both sets of bonds and trade in the same market, we are able to control/eliminate for firm-specific factors that can impact the bond spreads. Upon introducing US and EU macroeconomic announcements and economic uncertainty, we find that the green bonds are more resilient from specific shocks, when compared to conventional bonds. We further expand our study to systematically assess the impact of the Covid-19 pandemic on both bonds. Our comprehensive findings suggest an increase in green bonds’ uptake post-Covid-19 pandemic, and its significant evolvement compared to pre-Covid-19 proves green bonds popularity. Our result shows greater resilience of green bonds from specific Covid-19 shocks and uncertainties. © 2022 Informa UK Limited, trading as Taylor & Francis Group.
ABSTRACT
YouTube videos offer a potentially useful vehicle for the communication of science, health, and medical information about COVID-19 to children. Findings from this research showed that primary characters appearing in children's educational YouTube videos about COVID-19 were most often adults, with about an equal number of men and women and few characters from diverse racial and ethnic backgrounds. Primary characters frequently demonstrated and modeled protective health measures. Adult expert characters (medical professionals and scientists) appeared to some extent in these videos. Directive discourse frames appeared most frequently, followed by the informative and persuasive discourse frames when communicating scientific and health information. Changes in the use of informative, directive, and persuasive frames before and after the U.S. Centers for Disease Control (CDC) announced guidelines on how to communicate about COVID-19 with children are explored.
ABSTRACT
This study attempts to address how recent governments’ COVID-19 stimulus announcements affect business sustainability transition in Europe, emerging countries (including China and Brazil), Asia-Pacific developed region (in particular, Japan, South Korea and Singapore) and North America (Canada and the United States). We carry out an event study to assess differences in abnormal returns of the leading 20 percent of the largest 600 companies in Europe, North America and Asia-Pacific developed economies, and the top 10 percent of the largest 800 companies in emerging markets in terms of sustainability. Our results suggest that the stimulus announcements dedicated to green investments positively (moderately or insignificantly) contribute to sustainability transition in Europe and North America (emerging and Asia-Pacific countries, with the exception of South Korea). Investors trading on European exchanges display a more favorable perception about profitability of green recovery. Emerging economies most dependent on environmentally intensive sectors and without strong regulatory oversight have the biggest task to turn their stimulus green, and have so far failed to step up in the current situation of emergency. Even though Asia-Pacific governments are unleashing massive stimulus measures, the overall COVID-19 recovery packages can hardly be depicted as “Green” as the measures they do include seem insufficient to combat climate change and its devastating impacts. These countries would need to better hardwire environmental actions into their public spending and regulatory measures. © 2022 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy
ABSTRACT
The present article investigates the consequences of COVID-19 on the financial condition of the banking industry and economy of Middle East and North Africa (MENA) countries. The findings of the study reveals that the banks in the MENA region are deeply affected by the COVID-19 pandemic. The study's findings are anticipated to shed light on the government's action to avoid the negative impact of this crisis, and to find out the effect by the covid19 on the banking performance in MENA countries, with insights and benefits in mobilizing appropriate resources to improve the economy performance. The impact on banking is so huge that the recovery looks far-fetched Our results are consistent with the MENA quarterly banking report Q3 (2020). The results of the study will help the banks and financial institutions in the MENA region to devise the appropriate strategy that can lead them on the road to recovery.
ABSTRACT
To fulfill the Paris Agreement commitments and stimulated by an unprecedented amount of public resources put in place to recover from the COVID-induced recession, European governments have recently announced sizable green policy plans. In this paper, we examine the behavior of green and brown stocks around green policy-related announcements (GPAs) made by major European governments in 2020 via a standard event study analysis and the use of returns of stocks listed in the “STOXX 100 All Europe”. Our main empirical findings indicate the presence of positive cumulative abnormal returns (CARs) both in the green and brown sectors following GPAs. However, the estimated positive sentiment effect is stronger in the former sectors. A size effect in terms of the amount of resources announced to be allocated for a specific category of policy is also observed. We find that the observed positive sentiment is mainly driven by announcements on climate change mitigation-related policies, which account for 70% of the total allocated funds. At the sector level, positive and significant CARs due to GPAs are found in the (i) energy, (ii) financial and (iii) industrial sectors. At the country level, GPAs are found to drive a significant positive sentiment effect in the following European countries: Switzerland, Spain, UK, Ireland and Italy. Sector- and country-level analyses confirm the presence of larger benefits from GPAs among more sustainable portfolios.
ABSTRACT
This paper uses an event-based analysis to describe how the European Central Bank’s (ECB’s) policy responses to the pandemic crisis have affected the European financial and economic system. The result of our exercise, which is based on the examination of the main measures taken by the ECB during 2020, is that these responses have positively affected the European economic system by improving banks’ lending activity and by indirectly creating room for expansionary fiscal policies in the euro area’s high-debt countries that do not have fiscal capacity. © 2022, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.