IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v79y2006i2p963-986.html
   My bibliography  Save this article

Anatomy of a Government Intervention in Index Stocks: Price Pressure or Information Effects?

Author

Listed:
  • Karan Bhanot

    (University of Texas at San Antonio)

Abstract

In a massive intervention designed to deter speculators, the Hong Kong Monetary Authority (HKMA) bought Hang Seng index stocks in August 1998. These stocks experienced a 24% abnormal return during the intervention period. The abnormal returns are not reversed over the next eight weeks, refuting the hypothesis that returns are due to temporary liquidity effects. Cross-sectional analysis of daily abnormal returns during the intervention period reveals that these returns are related to overall intervention activity rather than stock-specific intervention. This evidence is consistent with information effects rather than price pressure effects.

Suggested Citation

  • Karan Bhanot, 2006. "Anatomy of a Government Intervention in Index Stocks: Price Pressure or Information Effects?," The Journal of Business, University of Chicago Press, vol. 79(2), pages 963-986, March.
    • Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:2:p:963-986
    DOI: 10.1086/499145
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/499145
    File Function: main text
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: https://libkey.io/10.1086/499145?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yao, Yi & Yang, Rong & Liu, Zhiyuan & Hasan, Iftekhar, 2013. "Government intervention and institutional trading strategy: Evidence from a transition country," Global Finance Journal, Elsevier, vol. 24(1), pages 44-68.
    2. Markus K Brunnermeier & Michael Sockin & Wei Xiong, 2022. "China’s Model of Managing the Financial System [Beauty Contests and Iterated Expectations in Asset Markets]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(6), pages 3115-3153.
    3. Yao, Yi & Yang, Rong & Liu, Zhiyuan & Hasan, Iftekhar, 2012. "Government intervention and institutional trading strategy: Evidence from a transition country," BOFIT Discussion Papers 9/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    4. Xiao, MingFang & Cao, June & Chiang, Yao-Min, 2022. "Kiss the baby for the nurse's sake? - Guaranteeing employees' stock purchase against loss program," International Review of Financial Analysis, Elsevier, vol. 81(C).
    5. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
    6. Shirota, Toyoichiro, 2018. "Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach," Discussion paper series. A 322, Graduate School of Economics and Business Administration, Hokkaido University.
    7. repec:zbw:bofitp:2012_009 is not listed on IDEAS
    8. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
    9. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
    10. Zhu, Minchen & Lv, Dayong & Wu, Wenfeng, 2022. "Market stabilization fund and stock price crash risk: Evidence from the post-crash period," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    11. Markus K. Brunnermeier & Michael Sockin & Wei Xiong, 2020. "China’s Model of Managing the Financial System," Working Papers 2020-45, Princeton University. Economics Department..
    12. Chi, Yeguang & Li, Xiaoming, 2019. "Beauties of the emperor: An investigation of a Chinese government bailout," Journal of Financial Markets, Elsevier, vol. 44(C), pages 42-70.
    13. Jeetendra Dangol, 2008. "Unanticipated Political Events and Stock Returns: An Event Study," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 20, pages 86-110, April.
    14. Fegheh Majidi , Ali & Mohammadi , Ahmad & Nanvay Sabegh , Behnaz, 2017. "An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(1), pages 73-88, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:79:y:2006:i:2:p:963-986. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.jstor.org/journal/jbusiness .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.