File(s) under permanent embargo
The effect of the Lehman Brothers bankruptcy on the performance of Chinese sectors
journal contributionposted on 2015-01-01, 00:00 authored by K Ranjeeni, Susan SharmaSusan Sharma
We investigate the effect of the news announcement of the Lehman Brothers (LBs) bankruptcy on the performance of Shanghai Stock Exchange (SSE) sectors. Unlike the assumption in the literature that firms are homogenous, we address the unknown issue: Does LBs bankruptcy have a heterogeneous effect on stock returns of sectors listed on SSE? We find statistically insignificant effect of LBs bankruptcy on the performance of energy and financial sectors while most of the other sectors suffered significantly. Thus, our results highlight the heterogeneous effect of LBs bankruptcy on different sectors and at different time intervals surrounding the event.