Factors explaining capital market reactions during corporate, sovereign, and pandemic events

The presented studies show evidence of the semi-strong market efficiency, where security prices react significantly to public announcements of the events that are crucial to firms’ valuation. We focus on two trends in capital markets. One is industry integration, where companies improve their efficiency to adapt to the changing environment. In this context, many firms choose M&A to achieve external growth and strengthen their competitiveness. The other is investment diversification, where investors actively search for low correlated markets and assets with global portfolios to reduce their investment risk. These two trends have been well explored in previous studies, where researchers provide deep insights to market participants. Nevertheless, the recent changes in regulation and market environment have put many findings in question, and some emerging markets and assets are still unfamiliar to investors. These unknowns gain more importance during the Covid-19 crisis. On the one side, the pandemic has accelerated the industry integration as many inefficient firms suffered liquidity shortages and were acquired by better-positioned firms; on the other side, investors have been searching for alternatives to diversify investment risk as central banks have injected massive liquidity into capital markets, leading to soaring inflation risk. This dissertation addresses new findings on the aforementioned trends and important implications for different groups of interests.