Impact of announcements on capital market performance in emerging markets: a parametric and non-parametric analysis

Abstract

Purpose

This research investigates Airbnb’s financial implications in emerging economies and their potential to influence stock market profitability.

Design/methodology/approach

Employing a multifaceted approach, the study combines parametric and nonparametric tests, robustness checks, and regression analysis to assess the impact of Airbnb’s announcements on emerging economy stock markets.

Findings

Airbnb’s announcements affect emerging economies' stock markets with a distinct pattern of cumulative abnormal returns (CAR): negative before the announcement and positive afterward. Informed investors strategically leverage this opportunity through short selling before the announcement and acquiring positions following it. Regression analysis validates these trends, revealing that stock index returns and inbound tourism affect CAR before announcements, while GDP growth influences CAR afterward. Announcements pertaining to emerging economies exert a more pronounced impact on stock indices compared to city-specific announcements, with COVID-19 period announcements demonstrating greater significance in abnormal returns than non-COVID-19 period announcements.

Originality/value

This study advances existing literature through a comprehensive range of statistical tests, differentiation between emerging countries and cities, introduction of five macroeconomic variables, and reliance on credible primary Airbnb data. It highlights the potential for investors to leverage Airbnb announcements in emerging markets for stock market profits, emphasizing the need for adaptive investment strategies considering broader macroeconomic factors.

Citation

Tavor, T. (2024), "Impact of announcements on capital market performance in emerging markets: a parametric and non-parametric analysis", International Journal of Emerging Markets, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/IJOEM-05-2023-0852