Quarterly Publication of Multinational Finance Society • ISSN 1096-1879

Shareholder Wealth Effects of Dividend Policy Changes in an Emerging Stock Market: The Case of Cyprus
(Multinational Finance Journal, 2001, vol. 5, no. 2, pp. 87-112)

Nickolaos Travlos
ALBA, Greece, and
Cardiff Business School, U.K.
Lenos Trigeorgis
University of Cyprus, Cyprus, and
University of Chicago, U.S.A.
Nikos Vafeas
University of Cyprus, Cyprus

This article examines the stock market reaction to announcements of cash dividend increases and bonus issues (stock dividends) in the emerging stock market of Cyprus. Both events elicit significantly positive abnormal returns, in line with evidence from developed stock markets. This study contends that special characteristics of the Cyprus stock market delimit applicability of most traditional explanations for cash and stock dividends in favor of an information-signaling explanation. The empirical results are generally inconsistent with these contentions (JEL G34).

Keywords: cash dividends, emerging markets, stock dividends.

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Equity Price Dynamics Before and After the Introduction of the Euro: A Note
(Multinational Finance Journal, 2001, vol. 5, no. 2, pp. 113-128)

Yin-Wong Cheung
University of California, U.S.A.
Frank Westermann
University of Munich, Germany

Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships – both the mean and variance causalities between the two equity markets (JEL G15).

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Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive
(Multinational Finance Journal, 2001, vol. 5, no. 2, pp. 129-148)

Jussi Nikkinen
University of Vaasa, Finland
Petri Sahlström
University of Vaasa, Finland

This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer price index (CPI) reports. The results confirm the hypothesis that implied volatility increases prior to the macroeconomic news release and drops after the announcement in both markets. This implies that uncertainty associated with the U.S. macroeconomic news releases is reflected in foreign stock markets as well. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty (JEL G14).

Keywords: implied volatility, index options, macroeconomic news, uncertainty.

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The Short-Run Performance of IPOs of Privately Owned and Publicly Owned Firms: A Note from Australia
(Multinational Finance Journal, 2001, vol. 5, no. 2, pp. 149-154)

Adam Steen
Monash University, Australia
Petko Kalev
Monash University, Australia
Keith Turpie
Swinburne University of Technology, Australia

This article builds on an earlier study by Choi and Nam (1998) on the initial price performance of Public Sector Initial Public Offerings PIPOs in 30 countries. They report that, in general, PIPOs are more underpriced than private sector IPOs. Our study of the Australian market suggests the opposite is the case. The difference in the underpricing between their study and the evidence presented here is most likely due to the characteristics of Australian PIPOs. These characteristics include the tender process adopted, the extensive marketing employed and the dominant position of many of the issuers (JEL G32).

Keywords: initial public offerings, initial return, privatization.

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