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The effect of the Lehman Brothers bankruptcy on the performance of Chinese sectors
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.
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Journal
Emerging markets finance and tradeVolume
51Issue
5Pagination
904 - 914Publisher
Taylor & FrancisLocation
London, Eng.Publisher DOI
ISSN
1540-496XeISSN
1558-0938Language
engPublication classification
C Journal article; C1 Refereed article in a scholarly journalCopyright notice
2015, Taylor & FrancisUsage metrics
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