• The Journal of Asian Finance, Economics and Business
• /
• 제7권9호
• /
• pp.63-74
• /
• 2020

This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is abnormal, what strategy is followed, whether herd behavior is present, and whether the actions destabilize the market. Foreign investors' trading behavior is measured by net buying volume divided by market capitalization, whereas the stock market behavior is measured by logged return on the SET index portfolio. The data are daily from Tuesday, August 28, 2018, to Monday, May 18, 2020. The study extends the conditional-regression model in an event-study framework and extracts the unobserved abnormal trading behavior using the Kalman filtering technique. It then applies vector autoregressions and impulse responses to test for the investors' chosen strategy, herd behavior, and market destabilization. The results show that foreign investors' abnormal trading volume is negative and significant. An analysis of the abnormal trading volume with stock returns reveals that foreign investors are not positive-feedback investors, but rather, they self-herd. Although foreign investors' abnormal trading does not destabilize the market, it induces stock-return volatility of a similar size to normal trade. The methodology is new; the findings are useful for researchers, local authorities, and investors.

• The Journal of Asian Finance, Economics and Business
• /
• 제9권5호
• /
• pp.41-51
• /
• 2022

The research looks into the impact of stock split announcements on stock prices and market efficiency in the Colombo Stock Exchange (CSE). This research uses a sample of 26 stock split announcements that occurred between 2020 and June 2021. According to the Global Industry Classification Standards, the stock split announcements covered in the study pertain to 26 businesses and 9 industries (GICS). To obtain the results, the usual event research methodology is used. The findings demonstrate significant average abnormal returns of 15.01 percent on the day the stock split news is made public and abnormal returns of 4.11 percent and -4.05 percent one day before and after the stock split announcement date, respectively. The study's findings revealed significant positive abnormal returns one day before the disclosure date, indicating information leakage, and significant negative abnormal returns the next day after the announcement date, indicating CSE informational efficiency. Because stock prices adapt so quickly to public information, these findings support the semi-strong form efficient market hypothesis, which states that investors cannot gain an abnormal return by trading in stocks on the day of the stock split announcement.

• 한국건설관리학회논문집
• /
• 제20권5호
• /
• pp.3-11
• /
• 2019

본 연구는 분양가 자율화가 건설회사의 주가에 미치는 영향을 분석하였다. 실증적인 분석방법으로, 본 연구는 전통적인 사건 연구방법을 이용하여 분양가 자율화가 미치는 영향을 분석하였고 회귀분석방법을 이용하여 어떤 변수와 관계가 있는지 분석하였다. 본 연구의 결과는 다음과 같이 요약하였다. 첫째로, 정부가 분양가 자율화 발표시 주식의 누적추과수익률은 양의 값을 갖는다. 발표전 -10일과 발표후 +10일간의 거래기간인 21일 동안의 누적초과수익률은 25.51%이며 1%수준에서 유의하였다. 본 결과는 분양가 자율화가 긍정적인 정보를 증권시장에 전달하는 것으로 나타났다. 둘째로, 회귀분석결과 본 연구는 누적초과수익률이 매출액총이익률과 관계가 있는 것으로 나타났다.

• 경영과정보연구
• /
• 제37권4호
• /
• pp.63-74
• /
• 2018

최근 자산운용업계에서는 패시브 전략과 액티브 전략의 중간 성격을 갖는 스마트 베타 전략이 관심을 받고 있다. 이러한 스마트 베타 전략에서는 가치, 모멘텀, 저변동성, 퀄리티 지수를 널리 사용한다. 본 연구에서는 다른 지수에 비해 그 개념이 불명확하고 지수산출방법이 복잡한 퀄리티 지수에 대해 분석하였다. MSCI 방법론을 따라 자기자본이익률, 부채비율, 이익변동성 3개의 변수로 퀄리티 지수를 산출하였다. 또한 퀄리티 지수에 대한 비교대상으로 자기자본이익률 변수만을 이용한 지수, 자기자본이익률과 부채비율 2개 변수만을 이용한 지수, KOSPI 지수를 사용하였다. 분석대상인 지수들의 성과를 평가하기 위해 산술평균 수익률, 변동계수, 기하평균 수익률을 사용하였다. 그리고 각 지수에서 비정상수익률이 나타나는지를 검증하기 위한 가격결정모형으로는, 관련 연구에서 폭넓게 사용되고 있는 Fama and French(1993) 모형을 사용하였다. 실증분석 결과는 다음과 같다. 첫째, 모든 기간의 분석에서 보유기간 수익률 관점에서 퀄리티 지수가 가장 우수하였다. 둘째, 외환위기와 글로벌 금융위기 기간에서도 퀄리티 지수의 성과가 가장 우수하였다. 셋째, 글로벌 금융위기 이전 기간에서는 모든 지수에서 비정상수익률을 발견할 수 없었다. 넷째, 글로벌 금융위기 이후 기간에서는 퀄리티 지수가 가장 높은 비정상수익률을 갖는 것으로 나타났다.

• 유통과학연구
• /
• 제16권10호
• /
• pp.55-64
• /
• 2018

Purpose - The most important goal of corporate management is the maximization of firm value in the market. Executives of companies are making effort to increase corporate value and initiate various management strategies, which is to develop the products or service with value. Through these efforts, consumer satisfaction grows and loyalty increases, which leads to the positive change of customer satisfaction index. The purpose of this research is to find out the abnormal return after the KCSI(Korean Customer Satisfaction Index) is announced. Research design, data, and methodology - This research data is collected from 11 years' stock price in KOSPI market and KCSI. The authors analyze the abnormal return triggered by the announcement of KCSI through the event study. Results - First, newly enlisted companies in the KCSI show statistically significant short-term abnormal rate of return. Second, the value of the customer satisfaction index is not the level of customer satisfaction but the direction of the change in the CSI. Conclusion - Customer satisfaction has the important intangible asset in the marketing area. However, firms' investment for CS is not an easy decision, because of the difficulty to measure the effect on corporate market value. This research investigates the change of the market value after the announcement of KCSI. Based on the results, firms have to keep trying to increase KCSI relative to the previous year. And the small company has to struggle for being newly listed in the KCSI.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권9호
• /
• pp.31-37
• /
• 2020

The purpose of this research study is to examine the stock market's response to terrorist attacks. The study uses data of terrorist attacks in different parts of the country (Pakistan) from June 1, 2014 to May 31, 2017. The event window procedure applies to a 16-day window in which 5 days before and 10 days after the attack. In addition, several event windows have been built to test the response of the Pakistan Stock Exchange. KSE-100 index is taken as proxy of response. The total terrorist attacks are classified into four categories: attacks on law enforcement agencies, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats. The standard market model is used to estimate the abnormal return of the Pakistan Stock Exchange, which takes 252 business days each year. Furthermore, BMP test is used to check statistical significance of cumulative abnormal rate of return (CAAR). The results of this study reveal that total number of terrorist attacks and attacks on law enforcement agencies show long-term effects on Pakistan stock exchange. However, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats have little effect on the Pakistan Stock Exchange.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권5호
• /
• pp.523-531
• /
• 2021

Vietnam's Oil and gas industry make a significant contribution to the Gross Domestic Product of Vietnam. The ongoing COVID-19 pandemic has hit every industry hard, but perhaps the one industry which has taken the biggest hit is the global oil and gas industry. The purpose of this article is to examine how the COVID-19 pandemic affects the share price of the Vietnam Oil and Gas industry. The event study method applied to Oil and Gas industry index data around three event days includes: (i) The date Vietnam recognized the first patient to be COVID-19 positive was January 23, 2020; (ii) The second outbreak of COVID-19 infection in the community began on March 6, 2020; (iii) The date (30/3/2020) when Vietnam announced the COVID-19 epidemic in the whole territory. This study found that the share price of the Vietnam Oil and Gas industry responded positively after the event (iii) which is manifested by the cumulative abnormal return of CAR (0; 3] = 3.8% and statistically significant at 5 %. In the study, event (ii) has the most negative and strong impact on Oil and Gas stock prices. Events (i) favor negative effects, events (iii) favor positive effects, but abnormal return change sign quickly from positive to negative after the event date and statistically significant shows the change on investors' psychology.

• 아태비즈니스연구
• /
• 제11권3호
• /
• pp.95-106
• /
• 2020

Purpose - This study examines the information effect of the disclosure of new office investments on the Korean stock market and investigates determinant of performance of sample firms. Design/methodology/approach - The sample consists of companies listed on the Korean Exchange that announced investments in new office construction for eleven-years from January 2007 to December 2017. It analyzes excess return using event study methodology and studies the determinants of abnormal return with multiple regression analysis. Findings - We find that abnormal returns of the short and long window are positive on average and statistically significant. In particular, CAR of high growth subsample is a larger positive return than that of the low one both short and long window. Difference in abnormal returns by investment size is observed only in short time window. But there is not observed difference by cash holding level. Research implications or Originality - This finding is able to be added to the evidence of the theory of corporate value maximization academically. Moreover, it shows the possibility that building a new office can have a positive effect on corporate value. It is expected to help investors make decisions because it can provide useful information to market participants in practice.

• 한국컴퓨터정보학회논문지
• /
• 제21권11호
• /
• pp.151-158
• /
• 2016

This study analyzes the stock market reaction of disclosure of technological information using events which are collected in the Korean stock market for the thirteen-year period between January 2002 and December 2014. We find that abnormal return on the disclosure day of full sample firms is positive and statistically significant. However, abnormal return of high R&D intensity subsample is a larger positive number than that of the low one. Using a longer window, it shows that low R&D intensity negatively decreases the long term performance after the adoption of new technological information. The empirical evidence of the studying is expected to serve as a good judging guide-line for the investors.

• 유통과학연구
• /
• 제13권9호
• /
• pp.5-11
• /
• 2015

Purpose - The purpose of this research is to provide insights that can be used for deliberate decision making around challenging big data investments by measuring the economic value of such big data implementations. Research design, data, and methodology - We perform empirical research through an event study. To this end, we measure actual abnormal returns of companies that are triggered by their investment announcements in big data, or firm size information, during the three-year research period. The research period targets a timeframe after the introduction of big data at Korean firms listed on the Korea stock markets. Results - Our empirical findings discover that on the event day and the day after, the abnormal returns are significantly positive. In addition, our further examination of firm size impacts on the abnormal returns does not show any evidence of an effect. Conclusions - Our research suggests that an event study can be useful as an alternative means to measure the return on investment (ROI) for big data in order to lessen the difficulties or decision making around big data investments.