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Unlike most previous studies considering the yields on green bonds versus conventional bonds or the hedging ability of green bonds against downside market risk, the main purpose of this paper is to paper examine the short-term response of green and conventional bonds to the Russia-Ukraine conflict shock and the US Federal monetary policy tightening. Using daily data from August 3, 2021 to March 29, 2022, this paper conducts an event-based study (Cumulative Abnormal Returns, CAR) and then applies a hedging analysis in the context of increasing geopolitical risk and financial stress. The analysis reveals that green bonds exhibit a stronger reaction to the Russia-Ukraine conflict and the US Federal rate hike than conventional, municipal, and treasury bonds in different time frames. Compared to conventional, municipal, and treasury bonds, green bonds offer lower negative CAR responses during the event window and the [-5, +5] period, suggesting a rigidity feature. The dynamic correlation and hedging analysis indicate that green bonds, unlike the other bonds indices, have a negative dynamic correlation with both geopolitical risks and financial stress, implying a hedging ability around the conflict shock and the Federal tightening cycle. These findings enrich the existing literature on green bonds, offering a wide range of applications for investment managers and policymakers.

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This paper examines the impact of COVID-19 nationwide lockdown on the relationship between weather anomaly and the Vietnam stock market - a fast-growing emerging market. The paper employs event study methodology to compute the cumulative abnormal return of stocks during the pandemic, and the Holt-Winters Exponential Smoothing model to build the formula for weather anomaly for weather variables. In addition, a t-test is performed to examine the statistical significance of weather variables, as well as the impact that the lockdown order had on stock performance. Cross-sectional analysis by Ordinary Least Squares regression is also applied for estimating the relationship between weather and stock market performance. The finding shows that prior to the COVID-19 lockdown, all of the risk and return indicators, with the exception of idiosyncratic risk, are affected by temperature. After the lockdown order was withdrawn, temperature is only correlated with cumulative real returns and cumulative abnormal returns. Meanwhile, air pressure only appears to have an influence on cumulative abnormal returns after the lockdown, yet being the only meteorological factor that could impact the stock market during the lockdown. Generally, the larger the weather anomaly, the worse the returns and the higher the risks. The paper gives recommendations for listed companies and authorities to have better performance while engaging in and regulating the stock markets. Moreover, the results can be used as a reference for the investing community to incorporate meteorological factors into their analysis.

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Disruption and shutdown of exchanges frequently happen in the cryptocurrency market, though its potential impacts are relatively under-investigated due to several empirical challenges. This study employs 20-h of service interruption on October 15th at Upbit, the dominant cryptocurrency exchange in Korea, as an exogenous shock to examine the effect of unexpected service interruption at the exchange on cryptocurrency market. Event study estimation using price data from Binance, the largest cryptocurrency exchange globally, shows the sharp and negative reactions to cryptocurrencies mostly traded at Upbit. Major currencies such as Bitcoin and Ethereum also presented limited reactions, implying that service interruption could be interpreted as vulnerability of overall cryptocurrencies.

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The objectives of this study are to analyze the market response by: (a) examining the consequences of the domestic market obligation (DMO) on coal prices policy on the difference in abnormal return (AR) prior to and after the announcement; (b) determine the effect of DMO policy announcements on coal prices on trading volume activity (TVA). This research examined daily stock returns on the shares of 19 coal companies listed on the Stock Exchange in 2018, ten days before and after the DMO announcement (February 23 to March 23, 2018). Statistical analysis was used to calculate the average abnormal return (AAR) and trading volume activity (TVA). The results showed that the announcement of domestic market obligation (DMO) received a negative response from the market. This study also found that the abnormal return was negative eight days before the DMO announcement. This study also finds the cause of overreaction in the short term, namely a significant price reversal process immediately after the announcement of the DMO. The paired sample t-test found an insignificant difference in abnormal returns after or before the announcement of the DMO on coal prices policy on companies listed on the IDX for the 2018 period. While testing the TVA, a significant difference was found before and after the announcement of the coal DMO selling price policy.

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Introduction: At the end of 2019, the sudden outbreak of COVID-19 pneumonia has developed from a mass health event to a global epidemic disaster. Its impact extends from human health to social, economic, political, international relations and global governance. In the process of fighting against the epidemic in China, almost all economic sectors were affected, and the insurance industry with epidemic sensitive characteristics was particularly affected. Methods: In order to identify the impacts of COVID-19 on China's insurance industry, this paper uses the event study method to calculate the changes in the cumulative abnormal return rate and the cumulative excess return of Chinese listed insurance companies before and after the outbreak of COVID-19. In the empirical analysis, five different typical events are examined, including the first outbreak of COVID-19 in China, the closure of Wuhan, the dredging of Wuhan, and the listing of vaccines in China. Results: The results show that the return rate of listed companies in the insurance industry showed an "inverted N" curve with the "decreasing, rising and then decreasing." The epidemic mainly has negative effects on the insurance industry in terms of premium income and indemnity expenditure. According to the supply shock theory of the new supply economics, the epidemic has a negative impact on the insurance industry in the short term and a positive impact in the long term. Discussion: In this context, insurance enterprises should attach importance to the change of business model, strengthen the development model of public-private joint venture insurance, promote product innovation and the application of insurance technology, and the experience and practice of the insurance industry in responding to the impact of the epidemic are of great significance to the transformation of China's insurance industry.

Asunto(s)

COVID-19 , Seguro , Humanos , COVID-19/epidemiología , China/epidemiología , Gastos en Salud , Comercio

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The increased uncertainty caused by a sudden epidemic disease has had an impact on the global financial market. We aimed to assess the primary healthcare system of universal health coverage (UHC) during the coronavirus disease (COVID-19) pandemic and its relationship with the financial market. To this end, we employed the abnormal returns of 68 countries from January 2, 2019, to December 31, 2020, to test the impact of the COVID-19 outbreak on abnormal returns in the stock market and determine how a country's UHC changes the impact of a sudden pandemic on abnormal returns. Our findings show that the sudden onset of an epidemic disease results in unevenly distributed medical system resources, consequently diminishing the impact of UHC on abnormal returns.

Asunto(s)

COVID-19 , Cobertura Universal del Seguro de Salud , COVID-19/epidemiología , Atención a la Salud , Brotes de Enfermedades , Humanos , Pandemias

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Based on China's anti-epidemic bond data, this paper investigates stock market reactions to the anti-epidemic bond issuance announcements during the COVID-19 pandemic. We find that anti-epidemic bond issuance significantly increases the cumulative abnormal return (CAR) compared with conventional bond issuance.

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The emergence of the SARS-CoV-2 or COVID-19 pandemic has become a challenge for the global society, including the investors in the capital market, due to the uncertainty it has caused. In relation to the phenomenon, this research aimed to examine the impact of COVID-19 pandemic on the dividend announcement effect in Indonesia Stock Exchange by comparing the market volatility around the dividend announcement date of the selected stocks in 2019 and 2020. Implication of dividend increase and decrease as well as stock-risk profiling is also added for further learning. This research used event study methodology as a tool to analyze the data of the 23 sample companies taken from the LQ45 index. The period of analysis is ranged from 10 days before the dividend announcement to 10 days after the dividend announcement date. The study discovered that in 2019, the capital market presented a weak response toward the event, indicated by the inexistence of abnormal return. Moreover, in 2020, the dividend announcement effect caused negative insignificant abnormal returns and the number of companies with low volatility increased, which implies that the stock market is more pessimistic during the pandemic period. Even when the dividend amount increased from the previous period, the market still shows a negative reaction to it in 2020.

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The COVID-19 pandemic damaged crude oil markets and amplified the consequences of uncertainty stemming from the Russia-Saudi Arabia oil price war in March-April of 2020. We investigate the impacts of the oil price war on global crude oil markets. By doing so, we use the daily futures and spot prices in three major crude oil markets - West Texas Intermediate, European Brent, and Oman - to perform a systematic analysis of the impacts of the oil price war on them. The event study method, a well-established analytical tool to measure the impacts of a given event on markets, is used in this study. The results indicate that information leakage plays an important role in the impacts of the price war. The outbreak of and truce following the price war have asymmetrical impacts on the markets; negative impacts generated by information leakage during the outbreak are generally more durable than the positive ones it generated during the truce. Furthermore, the magnitude of the impacts on futures markets is negatively correlated with the time-to-maturity of futures. Finally, negative crude oil prices affect West Texas Intermediate crude oil markets the most. Our findings generally show that market participants could perceive and assimilate market changes and adjust their expectations, which restrained the impacts that should have occurred within the oil price war.

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This study takes the COVID-19 outbreak as a quasi-natural experiment to investigate whether corporate social responsibility (CSR) performance can help firms mitigate drops in their share prices. The results show that CSR ratings are positively associated with cumulative abnormal return (CAR) during the COVID-19 outbreaks periods. Further, the positive role of CSR is more significant for non-state-owned enterprises (non-SOE) and those located in regions with lower levels of marketization.

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National culture has been shown to impact the way investors, firm managers, and other financial market participants respond to crisis. To date, however, none has looked at the impact of culture on market responses to disasters. This paper is the first to address the effect of national culture on stock market responses to a global health disaster. We find larger declines and greater volatilities for stock markets in countries with lower individualism and higher uncertainty avoidance during the first three weeks after a country's first COVID-19 case announcement. Our results are robust after controlling for investor fear, cumulative infected cases, the stringency of government response policies, the level of democracy, political corruption, and the 2003 SARS experience, among others.

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Food safety events threaten not only consumers' health, but also the value of associated firms. While previous studies examined the impact of food safety events on consumer demand for products, little attention has been paid to the impact on the market value of firms. Using the event study method (ESM), this study investigated abnormal returns (ARs) and cumulative abnormal returns (CARs) of firms associated with 40 food safety events over the past 25 years in the U.S. The results of this study demonstrated the magnitude and duration of the impact of food safety events on firm value. Moreover, firm-specific factors (past history and firm size) and situational factor (media attention) were found to influence the magnitude of the impact. This study contributes to the hospitality literature by extending the knowledge of the impact of food safety events and its practical implications for effective crisis management strategies for food-related firms.