The effects of multilateral trading systems on risk and return in equity markets

The event study methodology of Brown and Warner (1985) is adopted and augmented to evaluate the effect of the launch of multilateral trading systems on risk and return in equity markets. The methodology is supplemented with various techniques, such as the nonparametric ranking test and kernel regression, to find out if announcements about the introduction of Chi-X Australia generated abnormal returns (ARs). Asset pricing models are fitted with interaction variables, while GARCH, threshold ARCH (TARCH), exponential GARCH (EGARCH) and power-ARCH (PARCH) are used to determine changes in systematic risk. We find evidence in favour of Fisher’s separation theorem and detect a new market anomaly, which we call the ‘Fisher market anomaly’. Our results show that Chi-X system testings affect ARs. Consistent with the adaptive expectations theory, we confirm that the first announcement about the launch of Chi-X affected systematic risk the most. In addition, we identify industry and firm effects in risk analysis.     

A systematic literature review to integrate lean,agile, resilient,green and sustainable paradigms in the supply chain management

The main focus of this study is to conduct a systematic literature review to integrate lean, agile, resilient, green and sustainable (LARGS) paradigms in the supply chain (SC) domain. To achieve this aim, several research questions were designed: First, how to locate LARGS research in context of SC domain? For this, it is important to understand which types of research articles should be selected for the study? Further, where such studies were conducted (geographical location)? Second, what is the focus of research in LARGS paradigm in SCs? For this, it is important to study, which types of industries or sectors have been targeted in literature? In addition, which tools and techniques have been used mostly? Third, what are the current trends in the relationships of LARGS paradigms, among themselves, and with SC performance measures? Fourth, what are the emerging issues, unexplored areas in this field, based on these what could be future research avenues in this subject domain have been proposed? A total of 160 relevant articles published during 1999–2019 were used for analysis. Based on analysis, findings are summarised, and main research issues and possible future research directions in LARGS paradigms in SCs are highlighted.     

Narcissism,political tenure,financial indicators and the effectiveness of environmental regulation

This article explores the factors that determine the effectiveness of environmental regulation in the United States and Australia. Unlike prior literature, in which lagging performance measures (such as carbon emissions) are used, we use financial data to develop effectiveness scores and identify the determinants of effectiveness, including narcissistic behaviour, tenure of political leaders and financial indicators. Consistent with the emerging literature on environmental finance, we find that abnormal returns are associated with environmental regulation and that effectiveness is adversely affected when narcissistic leaders are in power. Our results remain robust when we control for various event windows and models.     

The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market

We investigate the impact of the outcome of the EU referendum (Brexit) on various sectors of the British economy over the period June–July 2016. Using the event study methodology, we assess the effects of Brexit, relative to what had been anticipated, as measured by abnormal returns (ARs). The results show that the banking and travel and leisure sectors were affected negatively, with a cumulative AR of ?15.37% for the banking sector. We observe that Brexit has a mixed effect on ARs with apparent sector-by-sector differences.     

The effects of the Paris climate agreement on stock markets: evidence from the German stock market

We investigate the effects of the 2016 Paris Climate Agreement on the German stock market by considering the impact of 20 announcements pertaining to the Agreement on 17 industries. The event study methodology is used for this purpose, together with several robustness tests, such as the nonparametric rank test and non-parametric conditional distribution approach. The change in systematic risk following the announcements is captured by using various risk models. In general, we find that the Paris Climate Agreement is achieving its objectives in the short run. Our results show that the announcements affected polluting industries in terms of risk and return. Furthermore, we observe two distinct diamond risk structures when (1) Conference of the Parties (COP) 21 took place, and (2) the Agreement came into force.     

Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks

We investigate the impact of five recent terrorist attacks on equities listed on the Australian Stock Exchange. Following the Global Industry Classification Standard, we analyse how these events affect the different sectors in Australia. Using parametric and non-parametric tests, we investigate the relationship between stock returns for equities listed in these sectors and terrorist attacks. We report significant short term negative abnormal returns around the September 11 attacks and to a lesser extent, the Madrid and London bombings. Our evidence shows a weak positive equity response to the Bali bombing, and no response from the Mumbai attack in the Australian market. We also document negative industry abnormal returns as high as 37.30% on the day in the Utilities sector. Our findings show that systematic risk of certain sectors increased after the events of September 11 but remained unchanged for the other attacks.     

The efficiency of the buy-write strategy: Evidence from Australia

We examine the performance of the buy-write option strategy (BWS) on the Australian Stock Exchange and analyse whether such an investment opportunity violates the efficient market hypothesis on the basis of its risk and returns. This study investigates the relationship between buy-write portfolios returns and past trading volume and other fundamental financial factors including dividend yield, firm size, book to market ratio, earnings per share (EPS), price earnings ratio and value stocks within these portfolios. We also test the profitability of the buy-write strategy during bull and bear markets. Consistent with the literature, it is observed that BWS offers superior risk adjusted returns for low levels of out-of-moneyness and contrary evidence is observed for deeper out-of-money portfolios. Consistent with a preference for options with a maturity of around 3 months in Australia, this research shows that quarterly rebalancing periods offer better returns for the BWS.     

Reviews

“THE RURAL ECONOMY” M. Healey and B. llbery (Eds), 1985: The Industrialization of the Countryside Norwich: Geo Books, £32.50.

P. Lowe, G. Cox, M. MacEwen, T. O'Riordan, M. Winter, 1986: Countryside Conflicts. The Politics of Farming, Forestry and Conservation.

Aldershot: Gower Publishing Company, £19.50 hardback, £8.95 paper.

E. Stern and J. Turbin, 1986: Youth Employment and Unemployment in Rural England. Report of a One Year Pilot Study in Four Rural Areas for the Development Commission Development Commission/Tavistock Institute of Human Relations.

“GLOBAL RESTRUCTURING, LOCAL RESPONSE?” Philip Cook (Ed), 1986: Global Restructuring, Local Response. London: Economic and Social Research Council £10.00.

“LOCAL ECONOMIC DEVELOPMENT” Cordle, P., 1985: Employment and Industrial Development-Local Authority Initiatives. CIPFA, £5.00. V. Hausner (Ed) 1986: Critical Issues in Urban Economic Development, Volume II. Oxford: Clarendon Press, £22.50

“CRISIS IN THE INDUSTRIAL HEARTLAND” Spencer, K., Taylor, A., Smith, B., Mawson, J., Flynn N. and Batley, R., 1986: Crisis in the Industrial Heartland: A Study of the West Midlands. Oxford University Press, £7.95.

“BLACK POLITICS AND URBAN CRISIS” Brian D. Jacobs, 1986: Black politics and urban crisis in Britain. Cambridge: Cambridge University Press £25.00 Hardback.

“UNEMPLOYMENT AND LABOUR MARKET POLICIES” Hart, P. E. (Ed), 1986: Unemployment and Labour Market Policies Aldershot: Gower, 1950     

The influence of systematic risk factors and econometric adjustments in catastrophic event studies

Event study methodology is a well-accepted technique in finance. Although its application is popular, there have not been many critical assessments of this practice. For instance, in the estimation process, the researcher has to make a choice in terms of which asset pricing model to adopt when calculating expected returns. Different expected return models and financial econometrics adjustments may give rise to different results. This study explores seven commonly employed approaches. Using terrorist attacks and the subprime crisis as events, we calculate abnormal returns with different expected return techniques and then assess if there is a change in the result. Our evidence shows that the results vary according to the choice of the technique in estimating an expected return.     

The effects of environmental regulation on the stock market: the French experience

The impact of environmental regulation on the French stock market is investigated by using event study methodology and asset pricing models. The impact of environmental regulation on the stock prices of environmentally friendly businesses and polluters is assessed. Additionally, we estimate the change in systematic risk following the introduction of new regulations. According to the results, the French stock market is particularly sensitive to the environmental regulation embodied in the European Union Emissions Trading System and less so to the regulation on water, soil and air. The chemicals, oil and gas industries exhibit negative reactions, whereas other polluters (such as construction and materials, and industrial transportation) produce positive abnormal returns.