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close this section of the library Ranjeeni, Kumari


View the PDF document Impact of global financial crisis on United States stock market performance : 10 sectors and financial industries analyses
Author:Ranjeeni, Kumari
Institution: University of the South Pacific.
Award: M.Com
Subject: Global Financial Crisis, 2008-2009, Stock exchanges -- United States, Financial crises -- United States
Date: 2014
Call No.: pac HB 3717 2008 .R36 2014
BRN: 1200277
Copyright:Under 10% of this thesis may be copied without the authors written permission

Abstract: This thesis investigates the impact of the news announcement of the Lehman Brothers’ (LB) bankruptcy on the performance of New York Stock Exchange (NYSE) sectors and financial industries. Based on descriptive index level results, Bartram and Bodnar (2009) conclude that the reaction of all sectors and industries was homogeneous during the LB bankruptcy and equity investors could not benefit from diversification. Motivated by Narayan and Sharma (2011) findings on firm and sector heterogeneity, this study employs an event study approach to further examine the performance of sectors and financial industries during the bankruptcy period. Daily data for a total of 488 firms is examined. The main contribution of this thesis is that it provides evidence that sectors behave heterogeneously during a stock market crisis and the significant adverse impact from the LB bankruptcy is discriminatory towards the financial sector and the diversified financial industry, which were most exposed to LB. This holds implications for investors to devise profitable trading strategies. This study unravels two new findings during LB bankruptcy. (1) Contrary to Bartram and Bodnar (2009), this thesis provides evidence that the significant adverse impact from the LB bankruptcy was not generalized to all sectors and financial industries. (2) This study provides evidence that amongst the 10 sectors and 4 financial industries, significant adverse impact from the LB bankruptcy was discriminatory towards the financial sector and the diversified financial Industry. The results also provide evidence in support of the US having a semi strong form of market efficiency. The robustness test results support the main findings of the event study results.
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