Preview

Economics: the strategy and practice

Расширенный поиск

Оценка влияния пандемии Covid-19 на Тегеранскую фондовую биржу

https://doi.org/10.51176/1997-9967-2023-2-204-219

Аннотация

В то время как предыдущие исследования о влиянии Covid-19 на фондовые рынки были сосредоточены на развитых странах, данное научное исследование направлено на исследование влияния пандемии Covid-19 на формирующийся рынок фондовой биржи Ирана. Выборка для исследования включала 245 компаний, котирующихся на Тегеранской фондовой бирже (TФБ). В данном исследовании используются регрессионные модели панельных данных для оценки влияния Covid-19 на доходность акций в период с 12 по 26 февраля 2020. Результаты исследования показали, что объявление о вспышке коронавируса в Иране не вызвало аномального роста фондового рынка. Анализируя влияние пандемии на различные отрасли было отмечено, что другие секторы не проявили необычной реакции на новости, за исключением трех групп банков, металлургических компаний и фармацевтических компаний. Обсуждение и заключение: результаты этого исследования свидетельствуют о низкой рыночной эффективности TФБ. Учитывая, что TФБ зависит от макропеременных в стране, мы обнаружили, что металлургическая промышленность Ирана сближается с мировым рынком металлов. Будущие исследования и последствия: инвесторам следует обратить внимание на международные события, влияющие на металлургическую промышленность, что открывает новые темы для будущих исследований. Для дальнейшего исследования долгосрочного влияния короновируса на рынок капитала в будущих исследованиях предлагается использовать такие модели, как GARCH.

Об авторах

Ф. Алибейгоф
Университет Шахида Бехешти
Иран

Алибейгоф Ф. – магистр, ведущий научный сотрудник

бульвар Данешжу, ул. Веленяк, 1983969411, Тегеран



М. Х. Сафарзаде
Университет Шахида Бехешти
Иран

Сафарзаде М.Х. – PhD, кафедра бухгалтерского учета, факультет менеджмента и бухгалтерского учета

бульвар Данешжу, ул. Веленяк, 1983969411, Тегеран



Список литературы

1. Aghaei, M., Kazempour, M., & Mansourlakoraj, R. (2014). The effect of free cash flow and capital structure on different criteria for evaluating the performance of the material industry and pharmaceutical products companies listed on the Tehran stock exchange. Journal of health accounting 3(2(8)), 1-15. https://doi.org/10.30476/jha.2014.16969

2. Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock Market Response during COVID-19 Lockdown Period in India: An Event Study. Journal of Asian Finance, Economics, and Business, 7(7), 131-137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131

3. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341-100350. https://doi.org/10.1016/j.jbef.2020.100341

4. Bahrini, R., & Filfilan, A. (2020). Impact of the novel coronavirus on stock market returns: evidence from GCC countries. Quantitative Finance and Economics, 4(4), 640-652. https://doi.org/10.3934/QFE.2020029

5. Bai, Y. (2014). Cross-border sentiment: an empirical analysis on EU stock markets. Applied Financial Economics, 24(4), 259-290. https://doi.org/10.1080/09603107.2013.864035

6. Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287. https://doi.org/10.1016/j.jfineco.2011.11.002

7. Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 6(2), 159-178. https://doi.org/10.2307/2490232

8. Blandenier, E., Habibi, Z., Kousi, T., Sestito, P., Flahault, A., & Rozanova, L. (2020). Initial COVID-19 outbreak: an epidemiological and socioeconomic case review of Iran. International journal of environmental research and public health, 17(24), 9593. https://doi.org/10.3390/ijerph17249593

9. Brooks, R. D., Faff, R. W., & Sokulsky, D. L. (2005). The stock market impact of German reunification: international evidence. Applied Financial Economics, 15(1), 31-42. https://doi.org/10.1080/0960310042000281158

10. Brown, S. J. (2011). The efficient markets hypothesis: The demise of the demon of chance? Accounting & Finance, 51(1), 79-95. https://doi.org/10.1111/j.1467-629X.2010.00366.x

11. Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31. https://doi.org/10.1016/0304-405X(85)90042-X

12. Chen, M. H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: an event-study approach. International Journal of Hospitality Management, 26(1), 200-212. https://doi.org/10.1016/j.ijhm.2005.11.004

13. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403.

14. De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x

15. DeLisle, J. (2003). SARS, greater China, and the pathologies of globalization and transition. Orbis, 47(4), 587-604. https://doi.org/10.1016/S0030-4387(03)00076-0

16. Delshad, A. (2019), Investigating the effect of normal and abnormal trading volume in predicting stock returns accepted in the Tehran Stock Exchange. National Congress on Management Economics accounting.

17. Dolley, J. C. (1933). Characteristics and procedure of common stock split-ups. Harvard business review, 11(3), 316-326.

18. Donadelli, M., Kizys, R., & Riedel, M. (2017). Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street? Journal of Financial Markets, 35, 84-103. https://doi.org/10.1016/j.finmar.2016.12.003

19. Dubey, R. K., & Sarma, I. R. S. (2013). Impact of information flow on stock market movement: Event study on the dissemination of timely information in the Indian economy. ASBBS Proceedings, 20(1), 378-387. http://dx.doi.org/10.13140/RG.2.1.3305.0727

20. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486

21. Fama, E. F., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. https://doi.org/10.2307/2525569

22. Farhan, M., & Sharif, S. (2015). Impact of firm size on stock returns at Karachi stock exchange. City University Research Journal (CURJ), 11(4), 551-564. https://doi.org/10.2139/SSRN.2605460

23. Free, R. C. and Free, R. C. (Eds.). (2010). 21st century economics: A reference handbook (Vol. 1). Sage.

24. Ghaemi, M., Masomi, J., & Azadi, M. (2011). Measuring abnormal return in trading halt condition. Journal of financial accounting research, 3(3), 113-126.

25. Ghasemieh,R. (2020, April 3). A note from Dr. Ghasemieh: Assessing the effects of the Coronavirus epidemic on Iran’s capital market (Earmark: 4400357).

26. Gilad, B., Kaish, S., & Loeb, P. D. (1984). From economic behavior to behavioral economics: The behavioral uprising in economics. Journal of Behavioral Economics, 13(2), 3-24. https://doi.org/10.1016/0090-5720(84)90001-9

27. Guidolin, M., & La Ferrara, E. (2010). The economic effects of violent conflict: Evidence from asset market reactions. Journal of Peace Research, 47(6), 671-684. https://doi.org/10.1177%2F0022343310381853

28. Hatmanu, M., & Cautisanu, C. (2021). The impact of COVID-19 pandemic on stock market: Evidence from Romania. International Journal of Environmental Research and Public Health, 18(17), 9315-9337. https://doi.org/10.3390/ijerph18179315

29. Hayes, D. C., Hunton, J. E., & Reck, J. L. (2000). Information systems outsourcing announcements: investigating the impact on the market value of contract‐granting firms. Journal of Information Systems, 14(2), 109-125. https://doi.org/10.2308/jis.2000.14.2.109

30. Herwany, A., Febrian, E., Anwar, M., & Gunardi, A. (2021). The Influence of the COVID-19 Pandemic on Stock Market Returns in Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(3), 39-47. https://doi.org/10.13106/JAFEB.2021.VOL8.NO3.0039

31. Hongsakulvasu, N., & Liammukda, A. (2020). The Risk-Return Relationship in Crude Oil Markets during COVID-19 Pandemic: Evidence from Time-Varying Coefficient GARCH-in-Mean Model. Journal of Asian Finance, Economics and Business, 7(10), 63-71. https://doi.org/10.13106/jafeb.2020.vol7.no10.063

32. Hung, D. V., Hue, N. T. M., & Duong, V. T. (2021). The impact of COVID-19 on stock market returns in Vietnam. Journal of Risk and Financial Management, 14(9), 441-456. https://doi.org/10.3390/jrfm14090441

33. Ibrahim, M. H., & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of economic studies, 30(1), 6-27. https://doi.org/10.1108/01443580310455241

34. Iran Coronavirus Cases (n.d.). [cited March 15, 2023]. Available at: https://www.worldometers.info/coronavirus/country/iran/

35. Islami Bidgoli, S., & Shaban Pourfard, P. (2015). The relationship between trading volume and its components with returns, a case study on the Tehran Stock Exchange focusing on day trading and eliminating the U-shaped effect. Financial Management Perspectives, 6 (2 (14)), 45-63. https://www.sid.ir/fa/journal/ViewPaper.aspx?id=305123

36. Iyke, B. N. (2020). COVID-19: The reaction of US oil and gas producers to the pandemic. Energy Research Letters, 1(2), 13912-13919. https://doi.org/10.46557/001c.13912

37. Johnson, T. L., & So, E. C. (2012). The option to stock volume ratio and future returns. Journal of Financial Economics, 106(2), 262-286. https://doi.org/10.1016/j.jfineco.2012.05.008

38. Khanthavit, A. (2020). Foreign investors’ abnormal trading behavior in the time of COVID-19. The Journal of Asian Finance, Economics and Business, 7(9), 63-74. https://doi.org/10.13106/JAFEB.2020.VOL7.NO9.063

39. Lee, J. W., McKibbin, W. J. (2004). Globalization and disease: The case of SARS. Asian Economic Papers, 3(1), 113-131. https://doi.org/10.1162/1535351041747932

40. Leković, M. (2020). Behavioral finance as an answer to the limitations of standard finance. Bankarstvo, 49(3), 36-76. https://doi.org/10.5937/bankarstvo2003036L

41. Liu, H., Manzoor, A., Wang, C., Zhang, L. & Manzoor, Z. (2020a). The COVID-19 Outbreak and Affected Countries Stock Markets Response. Int J Environ Res Public Health, 17(8), 2800-2819. https://doi.org/10.3390/ijerph17082800

42. Liu, L., Wang, E.-Z., & Lee, C.C. (2020b). Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: A time-varying analysis. Energy Research Letters, 1(1), 1-4. https://doi.org/10.46557/001c.13154

43. Loh, E. (2006). The impact of SARS on the performance and risk profile of airline stocks. International Journal of Transport Economics, 33(3), 1000-1022. https://doi.org/10.1400/55242

44. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39.

45. Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of economic perspectives, 17(1), 59-82. https://doi.org/10.1257/089533003321164958

46. Mazzocchi, M., Hansstein, F., & Ragona, M. (2010). The 2010 volcanic ash cloud and its financial impact on the European airline industry. In CESifo Forum München: ifo Institut für Wirtschaftsforschung an der Universität München, 11(2), 92-100.

47. Merrill, A. A. (1966). Behavior of prices on Wall Street. Analysis Press.

48. Mohseni, R., & Jamshidi, A. (2018). The Effect of Firm Size on Stock Returns: Evidence from a Panel Nonlinear Co-integration Model for Iran Stock Market. Monetary & Financial Economics, 25(15), 239-254. https://dx.doi.org/10.22067/pm.v25i16.63995

49. Morales, L., & Andreosso-O’Callaghan, B. (2012). The current global financial crisis: Do Asian stock markets show contagion or interdependence effects? Journal of Asian Economics, 23(6), 616-626. https://doi.org/10.1016/j.asieco.2012.09.002

50. Moser, C., & Rose, A. K. (2014). Who benefits from regional trade agreements? The view from the stock market. European Economic Review, 68, 31-47. https://doi.org/10.1016/j.euroecorev.2014.01.012

51. Mullainathan, S., & Thaler, R. H. (2000). Behavioral economics. NBER Working Paper, 7948, 1-13. https://dx.doi.org/10.2139/ssrn.245828

52. Murphy, A., Abdi, Z., Harirchi, I., McKee, M., & Ahmadnezhad, E. (2020). Economic sanctions and Iran’s capacity to respond to COVID-19. Lancet Public Health, 5(5), e254. https://doi.org/10.1016/S2468-2667(20)30083-9

53. Murtaza, H., & Ali, R. (2015). Impact of major political events on stock market returns of Pakistan. Public Policy and Administration Research, 5(4), 68-84.

54. Narayan, S., & Narayan, P. K. (2012). Do US macroeconomic conditions affect Asian stock markets? Journal of Asian Economics, 23(6), 669-679. https://doi.org/10.1016/j.asieco.2012.05.001

55. Niederhoffer, V. (1971). The analysis of world events and stock prices. The Journal of Business, 44(2), 193-219.

56. Njindan Iyke, B. (2020). The disease outbreak channel of exchange rate return predictability: Evidence from COVID-19. Emerging Markets Finance and Trade, 56(10), 2277-2297. https://doi.org/10.1080/1540496X.2020.1784718

57. Ozkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445-101455. https://doi.org/10.1016/j.ribaf.2021.101445

58. Pearce, D. K., & Roley, V. V. (1984). Stock prices and economic news (No. w1296). National bureau of economic research. http://www.doi.org/10.3386/w1296

59. Qin, M., Zhang, Y. C., & Su, C. W. (2020). The essential role of pandemics: A fresh insight into the oil market. Energy Research Letters, 1(1), 13166-13172. https://doi.org/10.46557/001c.13166

60. Reilly, J. (2020). Treatment considerations for coronavirus (COVID-19). Hospital Practice, 48(3), 119-120. https://doi.org/10.1080/21548331.2020.1754618

61. Saadat, S., Rawtani, D., & Hussain, C. M. (2020). Environmental perspective of COVID-19. Science of the Total environment, 728, 138870-138876. https://doi.org/10.1016/j.scitotenv.2020.138870

62. Safari, M. (2020, August 23). Reading out what’s going on today on Capital and Stock market. [cited March 15, 2023]. Available at: https://hawzahnews.com/x9NkW

63. Saneifar, M., & Saeedi, P. (2020). Comparison of Complex Networks of Stock Markets and Economic Variables in the Period Before and After the Outbreak of Coronavirus (Covid-19). Journal of Economic Modeling Research, 10(40), 123-158. http://dx.doi.org/10.29252/jemr.10.40.123

64. Sarraf, F., Farokhi, M., Sadeghzadeh, M., & Abbasiyan, E. (2020), Investigating the factors affecting the growth of Iran’s stock exchange despite the prevalence of Coronavirus. The 7th National Conference on New Studies and Research in the Humanities of Iranian Management and Corrector of Tehran.

65. Seyhun, N. H. (2000). Investment Intelligence from Insider Trading. MIT press.

66. Shalal, A., & Lawder, D. (n.d.). IMF chief says pandemic will unleash worst recession since Great Depression. [cited March 14, 2023]. Available at: https://www.reuters.com/article/us-healthcoronavirus-imf-idCAKCN21R1SM

67. Shiller, R. J. (2003). From efficient markets theory to behavioral finance. Journal of economic perspectives, 17(1), 83-104. https://doi.org/10.1257/089533003321164967

68. Siu, A., & Wong, Y. R. (2004). Economic impact of SARS: The case of Hong Kong. Asian Economic Papers, 3(1), 62-83. https://doi.org/10.1162/1535351041747996

69. Škrinjarić, T. (2019). Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange. Croatian Review of Economic, Business and Social Statistics, 5(1), 43-54. https://doi.org/10.2478/crebss-2019-0005

70. Smith, R. D. (2006). Responding to global infectious disease outbreaks: lessons from SARS on the role of risk perception, communication, and management. Soc Sci Med, 63(12), 3113-3123. https://doi.org/10.1016/j.socscimed.2006.08.004

71. Sobieralski, J. B. (2020). COVID-19 and airline employment: Insights from historical uncertainty shocks to the industry. Transportation Research Interdisciplinary Perspectives, 5, 100123. https://doi.org/10.1016/j.trip.2020.100123

72. Thompson, A. J. (1993). The anticipated sectoral adjustment to the Canada-United States Free Trade Agreement: An event study analysis. Canadian Journal of Economics, 36(2), 253-271. https://doi.org/10.2307/135906

73. Wang, L., & Kutan, A. M. (2013). The impact of natural disasters on stock markets: Evidence from Japan and the US. Comparative Economic Studies, 55(4), 672-686. https://doi.org/10.1057/ces.2013.16

74. Wang, Y. H., Yang, F. J., & Chen, L. J. (2013). An investor’s perspective on infectious diseases and their influence on market behavior. Journal of Business Economics and Management, 14(1), 112-127. https://doi.org/10.3846/16111699.2012.711360

75. WHO Director-General’s opening remarks at the media briefing on COVID-19. Speech (2020, March 11). [cited March 15, 2023]. Available at: https://www.who.int/director-general/speeches/detail/who-director-general-s-opening-remarks-at-themedia-briefing-on-covid-19---11-march-2020

76. Zouaoui, M., Nouyrigat, G., & Beer, F. (2011). How does investor sentiment affect stock market crises? Evidence from panel data. Financial Review, 46(4), 723-747. https://doi.org/10.1111/j.1540-6288.2011.00318.x


Рецензия

Для цитирования:


Алибейгоф Ф., Сафарзаде М. Оценка влияния пандемии Covid-19 на Тегеранскую фондовую биржу. Economics: the strategy and practice. 2023;18(2):204-219. https://doi.org/10.51176/1997-9967-2023-2-204-219

For citation:


Alibeigof F., Safarzadeh M. The Tehran Stock Exchange Reaction to Covid-19 Outbreak Announcement. Economics: the strategy and practice. 2023;18(2):204-219. https://doi.org/10.51176/1997-9967-2023-2-204-219

Просмотров: 287


Creative Commons License
Контент доступен под лицензией Creative Commons Attribution-NonCommercial 4.0 International.


ISSN 1997-9967 (Print)
ISSN 2663-550X (Online)