Testing Stock Market Efficiency from Spillover Effect of Panama Leaks

被引:0
|
作者
Nasir, Adeel [1 ]
Gherghina, Stefan Cristian [2 ]
Mata, Mario Nuno [3 ]
Khan, Kanwal Iqbal [4 ]
Mata, Pedro Neves [3 ]
Ferrao, Joaquim Antonio [3 ]
机构
[1] Lahore Coll Women Univ, Dept Management Sci, Lahore 54000, Pakistan
[2] Bucharest Univ Econ Studies, Dept Finance, 6 Piata Romana, Bucharest 010374, Romania
[3] Inst Politecn Lisboa, ISCAL Inst Super Contabilidade & Adm Lisboa, Ave Miguel Bombarda 20, P-1069035 Lisbon, Portugal
[4] Univ Engn & Technol, Inst Business & Management, Lahore 54000, Pakistan
关键词
Panama papers; financial markets; political stability; investor perception; stock market efficiency; event study methodology; POLITICAL RISK; RETURNS; EVENTS; IMPACT;
D O I
10.3390/jrfm15020079
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder's data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak events on five stock exchanges to ensure the market efficiency and investor perception related to the Panama leaks. Event study methodology is used on five occasions associated with Panama papers, i.e., the resignation of the Prime Minister of Iceland on 5 April 2016, Jurgen Mossack's resignation on 7 April 2016, the resignation of the Spanish Minister of Industry on 15 April 2016, the 450 personalities of Pakistan that were nominated in Panama papers on 15 April 2016, and the formation of an inquiry commission to inquire into the matter. The market efficiency of five stock exchanges was checked, i.e., the KSE 100 of Pakistan, the OMXIPI exchange of Iceland, the IBEX 35 of Spain, the New York stock exchange (NYSE), and S&P 500. The market remains efficient for most events and investor behaviour changes for one or two days around the event day (this event has concise term significant abnormal returns in all stock exchanges or concise term significant abnormal macroeconomic effects are observed in all stock exchanges).
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页数:23
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