Srinivas Nippani

The 2000 Presidential Election and the stock market

The impact of the delay in the declaration of a winner in the U.S. Presidential Election of 2000 on the performance of stock markets is examined in this study. We present evidence indicating that the stock market performance was different from a pre-event comparison period. Conventional t-tests and a dummy variable regression that controls for interest rate movements are used to present evidence indicating that there was a significant initial negative reaction to the delay in the election results.

The banking industry after the Riegle–Neal Act: re-structure and overall performance

Abstract The passage of the Riegle–Neal Interstate Banking and Branching Efficiency Act (IBBEA) of 1994 allowed bank holding companies to acquire banks in any state after September 30, 1995. We examine the impact of the legislation on the performance of the banking industry by comparing performance measures of banks with their pre-IBBEA levels. We find that the performance improved in the post-IBBEA period but when controlled for general economic conditions and interest rate movements, the impact of IBBEA on bank performance appears insignificant.

Are Treasury Securities Free of Default

The chain of events that led to the disagreement between the White House and Congrees over the increase of the federal debt limit from mid-October 1995 to March 1996 caused a default potential for Treasury securities. We examine the effect of this event chain on the yield spread between commercial paper and Treasury bills and find that both the three-and six-month yield spreads were reduced during the event period. The results suggest that the market charged a default risk premium to the Treasury securities. There is no evidence that these events had a sustained effect on T-bill rates since the yield spread during the post-event period resumed its pre-event level.

U.S. Presidential election impact on Canadian and Mexican stock markets

Recent empirical evidence indicates that the delay in the 2000 presidential election results impacted the stock market performance in the United States. In the present study we examine the impact of the same delay on the performance of the Canadian and Mexican stock markets. We find evidence indicating that both the Canadian and the Mexican stock markets were affected negatively during the period. This study not only shows that the Mexican and Canadian stock markets are closely integrated with their American counterparts but also indicates that the markets of these countries follow the U.S. presidential elections as closely as U.S. markets do.

The Impact of the October 2013 Government Shutdownand Debt Ceiling on U.S. Treasury Default Risk

The study examines the impact of the partial U.S. government shutdown of October 2013 on the yields of Treasury bills. The authors find that there was a significant impact on the yields of four-week Treasury bills as compared with high-quality commercial paper. They do not find a similar impact on the yields of Treasury bills of three-month maturity. The analysis is based on the results of t-tests, regressions, and nonparametric tests, and the results are robust across the methodologies. The study has important implications for academics, market participants, and lawmakers.

Seasonality tests on the Shanghai and Shenzhen stock exchanges: an empirical analysis

This article investigates Day-of-the-Week and January Effects in the Shanghai and Shenzhen stock markets over the period 1990 to 2006 for both the ‘A’ and ‘B’ indices. During this period, these two Chinese stock markets went through the limit period and nonlimit period and then again through a limit period. We examine the seasonality effects both during the different periods and also over the whole period. Our results indicate that the Shanghai A index is prone to higher volatility and also shows some January and Weekend Effects.

Day‐of‐the‐week effect in the Canadian money market

Purpose - The purpose of this paper is to examine the day-of-the-week effect for three primary money market instruments in Canada. The sample period is 1980-2009. Design/methodology/approach - The authors use three approaches. First, a parametric Findings - The traditional Monday effect is prevalent in the 1980s for corporate paper and treasury bills (TB), but not for bankers acceptances (BA). In the 1990s, the Monday effect disappears completely. However, in the 2000s the Monday effect reappears, but is positive (it reverses) for both corporate paper and BA. The authors also find strong support for Wednesday being a high return day, which concurs with related money market studies. Research limitations/implications - While the results are statistically significant, the economic significance is dubious. This study helps market participants in that it shows that they need to allow for distinct day-of-the-week patterns when using yield spreads. Practical implications - One practical implication for practitioners is to time purchases of Canadian money market securities for Monday when returns are low (relying on the results of the full sample period). Issuers should time sales for non-Mondays when returns are higher and yields are lower. Originality/value - This study is original in that it is the first one to analyze day-of-the-week effects in the Canadian money market. The authors compare the results to studies that focus on the US market.

Reversal of the weekend effect in Canada: an empirical analysis

Purpose - The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach - javax.xml.bind.JAXBElement@60136230 Findings - There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non-US market for which a reverse weekend effect is found. Originality/value - This is the first paper on the Canadian stock market looking at reversal.

Analyzing the Changing Term Structure and Expectationsof U.S. Treasury Default Risk

This article extends the recent studies of Liu et al. [2009] and Nippani and Smith [2010] that show that both short-term and long-term Treasury securities now include a default risk premium. Using a regression model that includes the spread between SWAPs and Treasury securities of different maturities, it is shown that the term structure of Treasury securities now exhibits default risk premia. These premia vary across time and maturity. Evidence from forward rates supports the conclusion and also allows one to estimate the timing of the default risk problems.

SARS: a non-event for affected countries' stock markets?

The impact of SARS on the stock markets of Canada, China, Hong Kong Special Administrative Region of China, Indonesia, the Philippines, Singapore, Thailand and Vietnam, is examined. The leading stock indices of these countries during the SARS outbreak are compared with a non-SARS period and also with the S&P 1200 Global Index. Conventional t-tests and the non-parametric Mann–Whitney test are used for the study. It is concluded that SARS had no negative impact on the affected countries’ stock markets with the exception of China and Vietnam.