아태비즈니스연구 (Asia-Pacific Journal of Business)

  • 제13권1호
  • /
  • Pages.247-262
  • /
  • 2022
  • /
  • 2233-5900(pISSN)
  • /
  • 2384-3934(eISSN)
강원대학교 경영경제연구소 (KNU The Institute of Management & Economy Research)
권호 표지
DOI QR코드

DOI QR Code

팬데믹 선언이 언택트 기업의 기업가치에 미치는 영향: 투자자 마니아 가설을 중심으로

Does the Pandemic Declaration influence the Firm Value of the Untact Firms?

  • 박수규 (한양대학교 경제금융학과) ;
  • 조진형 (한양대학교 경제금융학과)
  • Park, Su-Kyu (Department of Economics and Finance, Hanyang University) ;
  • Cho, Jin-Hyung (Department of Economics and Finance, Hanyang University)
  • 투고 : 2022.02.28
  • 심사 : 2022.03.25
  • 발행 : 2022.03.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

Purpose - The purpose of this study is to examine the impact of the Pandamic Declaration on 'untact firms' listed in KOSPI and KOSDAQ market in order to verify Investor Mania Hypothesis. Design/methodology/approach - This study collected financial data for 44 untact firms in KOSPI and KOSDAQ market. Then, we employed ESM(Event Study Methodology), EGARCH model and DID(Difference-In-Difference) for analysis. Findings - First, in contrast with the benchmarking index, KOSPI 200 which shows a negative (-) abnormal return trend, the untact firms have positive abnormal return trend consistently. Second, after the Pandemic Declaration, the variability of abnormal return for the untact firms is found to be significantly positive. Third, we find that the cumulative abnormal return and volatility of the untact firms significantly increase after the Pandemic Declaration. Research implications or Originality - Based on the Investor Mania Hypothesis, we confirm that the market potential of untact firms after the Pandemic Declaration is observed when compared with the KOSPI 200.

키워드

참고문헌

  1. 강희숙 (2021), "코로나-19 신어와 코로나 뉴노멀", 인문학연구, 61(0), 115-138.
  2. 김도완 (2020), "거시변수의 변동성에 따른 글로벌 금융위기 전후의 주가변동성-항공회사 주가변동성을 중심으로", 한국항공경영학회지, 18(1), 109-124. https://doi.org/10.30529/AMSOK.2020.18.1.006
  3. 김철교 (2000), "비정상수익률모형에 따른 자사주매입효과분석", 대한경영학회지, (23), 297-314.
  4. 노용휘 (2015), "이벤트 스터디의 적용", 외식경영연구, 18(1), 213-221.
  5. 박수규 (2022), "팬데믹 선언이 4차 산업혁명의 화두인 언택트 기업에 미치는 영향: 투자자 마니아 가설", 서울:한양대학교. <석사학위논문(Unpublished Master's Thesis)>
  6. 박정미, & 박성태 (2019), "ICT 관련 상호변경이 주가에 미치는 영향", 대한경영학회지, 32(6), 1019-1040.
  7. 박진우, & 황동혁 (2012), "국내 주식시장에서 가격변동 정보에 대한 과잉반응과 투자자별 거래행태", 재무관리연구, 29(1), 33-55.
  8. 전승화, & 김정호 (2020), "언택트(Untact) 산업 확산의 이론적 배경과 전망", 신산업경영저널, 38(1), 96-116. https://doi.org/10.30753/EMR.2020.38.1.005
  9. 조용복, & 김도완 (2020), "전염병 전후의 항공회사 주가변동성-A (H1N1), MERS-CoV, COVID-19 를 전후로", 한국항공경영학회지, 18(5), 33-53. https://doi.org/10.30529/AMSOK.2020.18.5.003
  10. 최승훈 (2020), "'비대면 산업'의 개념 정의와 분류에 관한 탐색적 연구", 한국통신학회 학술대회논문집, 767-768.
  11. 황관석, & 박철성 (2015), "이중차분법을 이용한 수도권 DTI 규제효과 분석", 주택연구, 23(4), 157-180.
  12. Akyildirim, E. Corbet, S. A. Sensoy and Yarovaya, L (2020), "The Impact of Blockchain Related Name Changes on Corporate Performance", Journal of Corporate Finance, 65, 101759. https://doi.org/10.1016/j.jcorpfin.2020.101759
  13. Binder, J (1998), "The Event Study Methodology Since 1969", Review of Quantitative Finance and Accounting 11, 111-137. https://doi.org/10.1023/A:1008295500105
  14. Bollerslev, T (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  15. Brown, S. J. and J. B Warner, (1980), "Measuring Security Price Performance", Journal of financial economics, 8(3), 205-258. https://doi.org/10.1016/0304-405X(80)90002-1
  16. Brown, S. J. and J. B Warner (1985), "Using Daily Stock Returns: The Case of Event Studies", Journal of financial economics, 14(1), 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
  17. Cooper, M. J. O. Dimitrov and P. R Rau (2001), "A Rose. com by any other Name", The journal of Finance, 56(6), 2371-2388. https://doi.org/10.1111/0022-1082.00408
  18. Chen, M. H. S. S. Jang and W. G Kim (2007), "The Impact of The SARS Outbreak on Taiwanese Hotel Stock Performance: An Event-Study Approach", International Journal of Hospitality Management, 26(1), 200-212. https://doi.org/10.1016/j.ijhm.2005.11.004
  19. Chowdhury, E. K. and M. Z Abedin(2020), "COVID-19 Effects on the US Stock Index Returns: An Event Study Approach", Available at SSRN 3611683.
  20. Engle, R. F (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica: Journal of the econometric society, 987-1007.
  21. Fama, E. F. L. Fisher, M. Jensen and Roll, R (1969), "The Adjustment of Stock Prices to New Information", International economic review, 10(1).
  22. Feng, Q. Q. Y. Tao, Sun and M Susai (2021), "Fresh Look or False Advertising: Modeling of Investor Attention Based on Corporate Name Changes", Finance Research Letters, 102526.
  23. Gisler, M. and D Sornette (2010), "Bubbles Everywhere in Human Affairs", Swiss Finance Institute Research Paper, (10-16).
  24. Kim, S. W (2010), "A Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems", Journal of Intelligence and Information Systems, 16(2), 19-32.
  25. Kothari, S. P. and J. B Warner (2001), "Evaluating Mutual Fund Performance", The Journal of Finance, 56(5), 1985-2010. https://doi.org/10.1111/0022-1082.00397
  26. Kothari, S. P. and J. B Warner (2007), "Econometrics of Event Studies", In Handbook of empirical corporate finance (pp. 3-36). Elsevier.
  27. Lee, P. M (2001), "What's in a Name . Com?: The Effects of '. Com' Name Changes on Stock Prices and Trading Activity", Strategic Management Journal, 22(8), 793-804. https://doi.org/10.1002/smj.177
  28. Lin, H. M. S. A. Yang and Y Chang (2016), "The Wealth Effects of Oil-Related Name Changes on Stock Prices: Evidence From the US and Canadian Stock Markets", Journal of International Financial Markets, Institutions and Money, 40, 26-45. https://doi.org/10.1016/j.intfin.2015.07.003
  29. Liu, H. Manzoor, A., C. L. Wang, Zhang and Z Manzoor (2020), "The COVID-19 Outbreak and Affected Countries Stock Markets Response", International Journal of Environmental Research and Public Health, 17(8), 2800. https://doi.org/10.3390/ijerph17082800
  30. Nelson, D. B (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica: Journal of the Econometric Society, 347-370.
  31. Polemis, M. and S Soursou (2020), "Assessing the Impact of the COVID-19 Pandemic on the Greek Energy Firms: An Event Study Analysis", Energy Research Letters, 1(3), 17238.
  32. Seiler, M. J (2000), "The Efficacy of Event Study Methodologies: Measuring EREIT Abnormal Performance Under Conditions of Induced Variance", Journal of Financial and Strategic Decisions, 13(1), 101-112.
  33. Wu, C. C. and W. P Chen (2021), "What's an AI Name Worth? The Impact of AI ETFs on their Underlying Stocks", Finance Research Letters, 102474.