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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Agrawal, G. |
| Copyright Year | 2010 |
| Description | Author affiliation: Department - Management, ABV - Indian Institute of Information, Technology and Management (IIITM), Gwalior, India (Agrawal, G.) |
| Abstract | This paper investigates the impact of the Global Financial Meltdown of 2008 on the stock returns of the underlying domestic shares of the Indian companies' listed ADRs / GDRs issues in NYSE, NASDAQ and LSE. An event study was conducted on the stock returns of the underlying domestic shares of the 11 Indian ADRs and 17 GDRs. For the study 15th September 2008 was considered the event day when two important events announced related to the US based big financial Arms, first was about the bankruptcy of Lehman Brothers and second was about the sale of Merrill Lynch to Bank of America. The Abnormal Returns (ARs), Average Abnormal Returns (AARs) and Cumulative Average Abnormal Returns (CAARs) were computed based on the single index model using daily closing price data of the underlying companies and S&P CNX Nifty. The behavior of these variables was examined for 30 days before and 30 days after the event day. The study found that the impact of the announcement on the event day was significant for the basket of underlying domestic shares of Indian ADRs while insignificant for the basket of underlying domestic shares of Indian GDRs. However during the event window of 61 days (i.e. −30 to +30) AARs and CAARs were negative on most of the days for both the baskets of ADRs / GDRs, that clearly indicated that announcements possess important information which leads changes in the underlying stock prices. Therefore study concluded that the announcements about the failure of big financial institutions meltdown hold important information to the basket of underlying domestic shares of Indian ADRs / GDRs. Further the trend of CAARs that declined continuously even several days after the event day indicated slow assimilation of information to the stock prices that concluded that Indian stock market was inefficient in the semi strong form of Efficient Market Hypothesis (EMH) during the study period. |
| Starting Page | 788 |
| Ending Page | 792 |
| File Size | 100541 |
| Page Count | 5 |
| File Format | |
| ISBN | 9781424469277 |
| e-ISBN | 9781424469284 |
| DOI | 10.1109/ICIFE.2010.5609474 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2010-09-17 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | IEEE news Abnormal Returns Finance Companies Cumulative Average Abnormal Returns Event study Indexes Efficient Market Hypothesis Stock markets |
| Content Type | Text |
| Resource Type | Article |
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