subject itu bernama RESEARCH ISSUE IN FINANCE
dan ini yang gw buat selama 2bulan and buat gw harus betah didepan laptop berjam2 tiap harinya..yang gw akan share disini hanya 3 bagiannya yaitu: abstrack, introduction and conclusion
ABSTRACK
This event study examines the abnormal return and cumulative abnormal return around the Australian listed shares, as a result of Lehman Brothers (LEH) collapsed. I analyzed 25 share prices, which is listed on Australian Stock Exchange ASX and it has a top position. Empirical results indicate that the event had an impact in Australian listed firms but weak. Due to the event was impact in financial sectors rather than other sectors. The listed firms were affected in third (3rd) day after announcement while in the financial sectors was impact from few days before and still affected after bankruptcy. Overall, the results is state that the listed shares were weak significant.
INTRODUCTION
Lehman Brothers (LEH) was announced their collapse because of subprime mortgage crisis in the United States of America. Sub-prime market problems were developed in early 2006 when some institutions began to report their credit problems. Early march is the beginning distress for the giant firm (LEH), when at the same time Bear Sterns was collapsed. The sub-prime mortgage crisis leads the bank investment collapsed and bail out, which already started a year ago. At that time the U.S housing market was flagging for the first time. The financial system weakened, interest rate began to rise, which twisted obliged homeowners into monetary confusion sparking foreclosures and significant decline in house prices. The interconnected international markets have been exposed when the LEH collapsed and it drove a swelling impact across the globe. For instance, AIG were affected because this firm is the backed majority of credit default swaps of LEH.
The bankruptcy made the world market stock exchange panic on 15 September 2008 (the USA time). This bank broke down after failing to get the investor to buy their firm. The firm has a loss approximately US$3,9 billion in the third quarter report. Yet, according to chapter 11 in the United States of America’s law, a company which under bankruptcy condition allow to appeal to reorganize the way to pay their debt and all of the liabilities and until now the officer still on investigation to decide whether the firm feasible to achieve it or not. The falling down of LEH gives a negative impact on some stock market in the world. For example, in London, HBOS fall and reach 20,2%, while Barclays decrease 10,8%, Dow Jones industrial average fall around 4,42%. This is the worst market story after the terrorist attacks in September 2001. Nasdaq and S&P 500 also have a same condition.
In Australia, the announcement makes the market panic and leads to the worst condition in many economic areas. The home currency was trading at $US 0.806/69, down from yesterday’s close of $US 0.8167/71. Approximately 35 Australian councils had put the money as an investment in federation Collaterized Debt Obligations where LEH scheme based in huge numbers of mortgage-backed securities related to the US subprime market. The share price drove to the lowest point since January 2006. The S&P/ASX 200 index is closing at 86,1 points at 4817.7 or 1,8%. The Australian dollar has been weak one US cent on September 16th 2008. In that condition, we might look forward the stock market to take some kind of strike.
The purpose of this research is to enlarge our knowledge on the effects of bank failure in the share price movement and how the bankruptcy affects the stock market. Specifically, this paper examines the market reaction (abnormal return and cumulative abnormal return) and how the bank failure could lead market efficiency become inefficient and illiquid in the stock market. The paper will analyse the movement of the return from selected companies listed on Australian Stock Exchange (ASX) to the announcement of the Lehman Brothers failure (e.g (Yang and Bessler, 2008)). This event studies focuses on the impact of LEH collapsed in Australian listed. Event studies become a significant element of finance, particularly corporate finance. In 1970 there was a few proof in the main issue of corporate finance. The findings stand up to reproduction and the pragmatic rules are the impetus for theoretical resource to describe those things. In other words, the event study literature have through the investigation scientist usefulness (Fama, 1998)
This paper has some chapters. Chapter 1 is the introduction, it explains how the Lehman’s firm collapsed and how it deteriorates the market at the entire world. Literature review in chapter 2 shows how the event relates to the theory academically, in order to keep it on the right track so the studies will not out of border. Chapter 3 discusses the natural data and how the author chooses the data. Outlines important methodological issues associated with using data, the paper’s result and quantitative test are presented in chapter 4. Lastly, chapter 5 presents the conclusion. References and the appendix are presented on the last page.
CONCLUSION
In this paper, I investigated the impact of Lehman Brothers (LEH) collapsed on Australian listed shares (ASX). The objective of this paper is extending the knowledge regarding market efficiency in term of bank failure and stock markets. This event study contains 25 sample firms, with 15 firms from financial sectors and 10 firms from non-financial sectors. I observed stock prices on daily basis and was employed to examine the abnormal return and cumulative abnormal return. These methods utilize to recognize the impact from the event occurred on September 15th 2008 U.S time (Australia, 16 September 2008).
The finding indicates that the Abnormal Return (AR) dropped approximately for 5 days or a few days before announcement. As a result, available information could be free to access, so the market reacts before it. The declining occurs in 3 consecutive days before the event, which supports semi-strong market theory. After the event, the market was still suffering until 5 consecutives days. Consistent with (Lim et al., 2008) that event study could help to determine the degree of market efficiency in a given market. The outcome explains that the LEH bankruptcy impact mostly in financial sectors. Non-financial sectors have a weak impact. Hence, the whole portfolio shows the weak. Due to the significant impact and rejection of null hypothesis are occurred in the day +3.
The results of Cumulative Abnormal Return (CAR) indicate that the event have a significant impact from this event but weak. The market was influenced in 4 (-4 to -1) days before and 3 (0 to 3) days after LEH declared their bankruptcy. In interval day -4 to -1 the cumulative abnormal return is negative. In further interval, which is 0 to +3 the CAR, value is positive, but significant affected, same as interval -4 to -1. Yet, similar with abnormal return result, CAR financial sectors have strong affected. On the other hand, CAR of non-financial sectors has no impact at all. The CAR for whole sample firms indicate that the event have weak impact on the listed shares in Australia. Australian market was suffering in those interval times.
Statistical test proved that the LEH falling had a weak impact on the Australian listed shares. Due to the Australian market is less volatile compare with another major markets (Doan et al., 2010). A positive aspect is emphasized that the impact of the collapsed is much lower in Australia than in many other markets . In fact, the most significant influence by this event coming from financial sectors, since these sectors have a strong relationship with Lehman Brothers. Other sector, which is non-financial sectors have negative impact. Thus, the combination obtains the weak impact for the whole sample firms in this event study.
This event study has several implications for investors. First, Australian market is not quite volatile compare with other markets. Second, likely for external distress should be considered in stock selection. Finally, I found that firms with greater financial elasticity had smaller number of abnormal losses while the shock occur.
Future research should be directed to observe the specific sector in Australian market, which is Australian Stock Exchange to recognize the main sector that affected by this event. Also, the research could extend by comparing the Australian market with other market around the world, thus the investors will know which market has a greater impact from LEH collapsed.
seperti itulah gambaran thesis gw dan ini yang menentukan gw sampe bisa dapet gelar s2 yaitu M.fin
MASTER OF FINANCE
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