Examinando por Materia "Volatilidad anormal"

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    Ítem
    Stock market reactions and trade exposure around the world : evidence from the US-China trade war
    (Universidad EAFIT, 2022) Pineda Jiménez, Julián; Cortés Durán, Lina Marcela; Trimarchi, Lorenzo
    This thesis aims to investigate the stock market reactions around the world to the US-China trade war using an event study. Specifically, we study abnormal returns and abnormal volatility on March 22, 2018, when the first tariff measures focused on China were debated in the US. Then, consistent with some theoretical models, we check the heterogeneity of the results according to specific firm characteristics. The most affected stocks were those of China, the US, and Asia. Size and trade exposure are related to lower abnormal returns and higher abnormal volatility, while productivity is related to higher returns and lower volatility. Finally, price reactions are used to measure exposure to the trade war and as explanatory variables over financial outcomes in the following years using a difference-in-differences approach. Firms that experienced lower abnormal returns showed a reduction in sales, employment, and capital growth. For abnormal volatility, the direction is the opposite, and it is significant. When we split the samples by firm characteristics, the effects are mainly present in firms that are larger, more productive, and more exposed to trade. Results have implications for policymakers regarding employment, managers in firm decisions, and investors in forecasting and risk management.