Financial firm bankruptcies, international stock markets and investor sentiment
Financial firm bankruptcies, international stock markets and investor sentiment
We consider bankruptcy announcements of large financial institutions in the US and examine their impact on an international sample of 66 stock market indices. Employing an event-study methodology, we find that stock markets exhibit strong adverse reaction in the aftermath of such announcements. Further, we develop a Surprise measure, based on the country-level investor sentiment, and find that stock markets in negatively surprised countries respond quickly, by sustaining significantly larger declines in the first three trading days following the announcements. Finally, we examine the reaction of stock markets, conditional on the economic classification of their home countries, and find that stock markets in developing (developed) economies are associated with substantially larger (smaller) economic losses.
461-473
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Taoushianis, Zenon
5c536511-1155-4a5b-8249-0a944572b7fc
January 2019
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Taoushianis, Zenon
5c536511-1155-4a5b-8249-0a944572b7fc
Papakyriakou, Panayiotis, Sakkas, Athanasios and Taoushianis, Zenon
(2019)
Financial firm bankruptcies, international stock markets and investor sentiment.
International Journal of Finance and Economics, 24 (1), .
(doi:10.1002/ijfe.1674).
Abstract
We consider bankruptcy announcements of large financial institutions in the US and examine their impact on an international sample of 66 stock market indices. Employing an event-study methodology, we find that stock markets exhibit strong adverse reaction in the aftermath of such announcements. Further, we develop a Surprise measure, based on the country-level investor sentiment, and find that stock markets in negatively surprised countries respond quickly, by sustaining significantly larger declines in the first three trading days following the announcements. Finally, we examine the reaction of stock markets, conditional on the economic classification of their home countries, and find that stock markets in developing (developed) economies are associated with substantially larger (smaller) economic losses.
Text
Financial Firm Bankruptcies, International Stock Markets and Market Sentiment
- Accepted Manuscript
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Accepted/In Press date: 9 September 2018
e-pub ahead of print date: 15 October 2018
Published date: January 2019
Identifiers
Local EPrints ID: 424116
URI: http://eprints.soton.ac.uk/id/eprint/424116
ISSN: 1076-9307
PURE UUID: b4279fca-261b-4d76-b8b3-45424a35e9ce
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Date deposited: 04 Oct 2018 16:30
Last modified: 16 Mar 2024 07:04
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Author:
Athanasios Sakkas
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