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1

Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange

Suliga M.

Managerial Economics

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2017

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Vol. 18, no. 2

201--225

EN

This paper studies an impact of futures expiration days on the Polish equity market. From three potential expiration effects appearing in the literature (namely, the increased trading volume of underlying assets, increased volatility of their returns, and price reversal after expiration), the latest one is researched in detail for expiration days of futures on the WIG20 index, the mWIG40 index, and individual stocks. The data covers the period from January 2001 to December 2016. The phenomenon of price reversal is studied with the use of regression models, price reversal measures, and event study methodology. The results obtained for expiration days are compared with the results from non-expiration days to check whether a potential price reversal can be interpreted as an effect of expiration. No price reversals after futures expirations were found in the returns of the WIG20 nor mWIG40 indexes. In the case of individual stocks, results from all of the three methods support the assumption that price reversal occurs after expiration. The reversal is immediate and is reflected in overnight returns more than in daily returns.

2

The reaction of investors to analyst recommendations of stocks listed on the WIG20 index

Suliga M.

Managerial Economics

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2016

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Vol. 17, no. 1

123--148

EN

Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linear regression models. The dataset contains 576 absolute recommendations published from the 1st of January 2012 to the 1st of September 2015 by various analyst houses. The prefatory study researches price reaction to positive, neutral, and negative recommendations separately. Subsequently, to check if investor reaction depends on a change in the level of recommendation, corresponding research is repeated for events clustered in nine groups defined in terms of possible level changes. Linear regression models with categorical variables are used in search of additional factors affecting investor reactions. Changes in the level of recommendation, size of the company, and reputation of brokerage house represent explanatory variables. Preliminary results point out that the direction of investor reaction is generally consistent with the information contained in the recommendation, and that the reaction of the market seems to be stronger in the case of positive events than in the case of negative ones. The analysis of recommendation changes reflects more-detailed dependents. In particular, the interpretation of a neutral recommendation depends strongly on the level of the previous recommendation. If it represents growth from SELL or REDUCE, the reaction is positive, while in the case of a drop from ACCUMULATE or BUY, it leads to negative abnormal returns. This relationship is additionally confirmed by results from the linear regression models. The models show the size of the firm as a significant factor that has an influence on the reaction to a recommendation: the smaller the firm, the stronger the reaction.

3

Shareholder wealth and ceo turnovers – the case of Unicredit

Horsch A., Hundt S.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2014

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z. 71

109--127

EN

This event study contributes to answering the question of how market participants (re-)act and how prices adjust to (information on) recent events of a strategic dimension. Focusing on the Italian bank UniCreditS.p.A., which has been involved in numerous M&As of European banks, such as the Polish Bank Pekao and the German HypoVereinsbank, we analyze the price movements of UniCredit shares caused by investors responding to the announcement of the resignation of the bank’s CEO. Based on agency theory and mirrored by a review of prior empirical research, the study sheds new light on (the causes of) value effects of CEO turnover.

PL

Przedstawiony artykuł koncentruje się na odpowiedzi na pytanie, w jaki sposób uczestnicy rynku reagują i w jaki sposób ceny produktów są dostosowywane do sytuacji na rynku w wymiarze strategicznym. Analiza została wykonana na przykładzie włoskiego banku UniCredit, który jest zaangażowany we współpracę z wieloma innymi bankami. Badania zostały przeprowadzone na podstawie teorii agencyjnej i porównane z wcześniejszymi studiami.

4

Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements

Gurgul H., Suliga M., Wójtowicz T.

AGH Managerial Economics

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2012

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nr 12

41--59

EN

The relationship between information flows and changes in asset prices is one of the main issues of financial economics. A fundamental assumption of the market efficiency hypothesis is that investors react to new information as it arrives. This reaction results in price changes that reflect investors' expectations concerning the level of risk and rates of return. The main aim of this paper is to investigate the effect of U.S. macroeconomic data announcements about inflation, industrial production and unemployment on the trading volume and prices of the most liquid stocks listed on the Warsaw Stock Exchange in the period 2004-2011. Using event study methodology we determine when and how forecasts and investor expectations regarding future market conditions changes under the influence of incoming macroeconomic data on the U.S. economy. This methodology also allows us to describe the strength, direction and length of the impact of announcements about these macroeconomic indicators.

PL

Związek pomiędzy napływem informacji a zmianami cen papierów wartościowych jest jednym z głównych zagadnień ekonometrii finansowej. Podstawowym założeniem hipotezy efektywności rynku finansowego jest przekonanie o szybkiej reakcji inwestorów w odpowiedzi na napływające informacje. Reakcja ta prowadzi do zmiany cen walorów odzwierciedlających oczekiwania inwestorów odnośnie do poziomu ryzyka i stóp zwrotu. Celem artykułu jest zbadanie wpływu ogłoszeń danych makroekonomicznych dotyczących inflacji, produkcji przemysłowej i bezrobocia w USA na wielkość obrotów i ceny akcji największych spółek notowanych na GPW w Warszawie w latach 2004-2011. Przeprowadzone badania wykorzystujące metodologię analizy zdarzeń pozwalają ocenić, kiedy i jak pod wpływem napływających danych dotyczących gospodarki USA zmieniają się prognozy oraz oczekiwania inwestorów dotyczące przyszłej sytuacji na rynku Umożliwiają one również ocenę siły, kierunku i długości oddziaływania ogłoszeń każdego z badanych wskaźników.