• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.2759-2769
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• 2018

The behavioral finance view on the existence of asset pricing anomalies is based on two factors: investors' sentiment and limits to arbitrage. This paper tries to examine the effect of investors' sentiment on the stock price in the Korean stock market. In order to measure investors' sentiment, we constructed the sentiment index using principal component of five sentiment variables. By using sentiment index as an additional independent variable to three risk factors, impacts of the sentiment index on individual stocks and 25 portfolios sorted by BM-size are examined. Main results found are as follows: 1) not only all three risk factors show positive impacts on the return of individual stock, but also the sentiment index has a positive impact. SI alone explains 15% of individual return variation. 2) among four independent variables, the most important factor turned out to be the market risk factor and investors' sentiment has better explanatory power on stock price than the size effect. 3) after controlling the market risk factor, the coefficient of the sentiment index for the smallest size and highest book/market value portfolios is significantly positive. 4) all the coefficients of the sentiment index for 25 portfolios sorted by BM-size have significant positive value after controlling size or (and) value.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.61-67
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• 2021

The covid-19 pandemic scenario caused the most extensive economic shocks the world has experienced in decades. Maintaining financial performance and economic stability is essential during the pandemic period. In these conditions, where movement is severely restricted, media consumption is considered to be increasing. The social media platform is one of the media online used by the public as a source of information and also expressing their sentiment, including individual investors in the capital market as social media users. Twitter is one of the social media microblogging platforms used by individual investors to share their opinion and get information. This study aims to determine whether microblogging sentiment investors can predict the capital market during pandemics. To analyze microblogging sentiment investors, we classified sentiment using the phyton text mining algorithm and Naïve Bayesian text classification into level positive, negative, and neutral from November 2019 to November 2020. This study was on 68 listed companies on the Indonesia stock exchange. A Vector Autoregression and Impulse Response is applied to capture short and long-term impacts along with a causal relationship. We found that microblogging sentiment investor has a significant impact on stock returns and volatility and vice-versa. Also, the response due to shocks is convergent, and microblogging investors in Indonesia are categorized as a "news-watcher" investor.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.3
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• pp.195-202
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• 2022

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160 firm-year observations from 316 nonfinancial firms listed on the SET from 2011 to 2020. We analyze the link between institutional holdings and the volatility of stock returns by the pooled Ordinary Least Squares (OLS) model, the fixed effects model, and the random-effects model. In particular, we regress the stock return volatility on institutional ownership while controlling for firm size, financial leverage, growth opportunities, and stock turnover and accounting for industry effects and year effects. Our results indicate institutional investors' positive and significant influence on the volatility of the stock returns. Additionally, we performed the dynamic Generalized Method of Moment (GMM) estimator to alleviate concerns of possible endogeneity. The result still shows a positive impact of institutional investors on the volatility in stock returns. Overall, the findings of this study suggest that an increase in the volatility of stock returns in the Thai stock market may stem from a higher proportion of equity held by the institutional investors.

• International Area Studies Review
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• v.20 no.1
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• pp.79-104
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• 2016

This paper investigates the impact and behavior of foreign equity investment in Asian emerging economies during the 2007-2008 and the 2010-2012 global financial crises in terms of volatility and return. The empirical results indicate that foreign investors show positive feedback trading behavior in the sample countries. We find evidence that foreign investors' net selling behavior significantly increases market volatility in most countries.

• Asian Journal of Business Environment
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• v.12 no.4
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• pp.35-44
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• 2022

Purpose: The main purpose of this study is to find out the impact of ownership structure on firm performance in the pharmaceutical and chemical industry of Bangladesh. Research design, data and methodology: The study has been conducted on 28 listed pharmaceutical and chemical companies from 2012 to 2020. Return on Assets (ROA) and Tobin's Q are selected as indicators of internal and market performance of the firms respectively whereas institutional ownership, directors' ownership and foreign ownership are selected as proxies of ownership structure. Panel analysis using random effects, lag method and time dummy method is used to analyse the relationship. Results: The study has found the existence of highly concentrated directors' ownership, a low percentage of institutional ownership and a very insignificant proportion of foreign ownership in the industry. The regression results show that directors' ownership has a positive and significant impact on firm performance, supporting the concept of agency theory. The study has also found a positive and significant impact of foreign ownership on firm performance. Unfortunately, the impact of institutional ownership is found to be insignificant. Conclusions: Directors' ownership and foreign ownership decreases agency cost that ultimately increases firm performance. However, the role of institutional investors is not significant enough to improve firm performance. It is suggested that institutional investors should be more active and involved in monitoring the activities of the organisations to improve performance.

• Asia pacific journal of information systems
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• v.24 no.4
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• pp.559-575
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• 2014

Individual investors are increasingly flocking to message boards to seek, clarify, and exchange information. Businesses like Seekingalpha.com and business magazines like Fortune are evaluating, synthesizing, and reporting the comments made on message boards or blogs. In March of 2012, Yahoo! Finance Message Boards recorded 45 million unique visitors per month followed by AOL Money and Finance (19.8 million), and Google Finance (1.6 million) [McIntyre, 2012]. Previous studies in the finance literature suggest that online communities often provide more accurate information than analyst forecasts [Bagnoli et al., 1999; Clarkson et al., 2006]. Some studies empirically show that the volume of posts in online communities have a positive relationship with market activities (e.g., trading volumes) [Antweiler and Frank, 2004; Bagnoli et al., 1999; Das and Chen, 2007; Tumarkin and Whitelaw, 2001]. The findings indicate that information in online communities does impact investors' investment decisions and trading behaviors. However, research explicating the correlation between information on online communities and stock market activities (e.g., trading volume) is still evolving. Thus, it is important to ask whether a volume of posts on online communities influences trading volumes and whether trading volumes also influence these communities. Online stock message boards offer two different types of information, which can be explained using an economic and a psychological perspective. From a purely economic perspective, one would expect that stock message boards would have a beneficial effect, since they provide timely information at a much lower cost [Bagnoli et al., 1999; Clarkson et al., 2006; Birchler and Butler, 2007]. This indicates that information in stock message boards may provide valuable information investors can use to predict stock market activities and thus may use to make better investment decisions. On the other hand, psychological studies have shown that stock message boards may not necessarily make investors more informed. The related literature argues that confirmation bias causes investors to seek other investors with the same opinions on these stock message boards [Chen and Gu, 2009; Park et al., 2013]. For example, investors may want to share their painful investment experiences with others on stock message boards and are relieved to find they are not alone. In this case, the information on these stock message boards mainly reflects past experience or past information and not valuable and predictable information for market activities. This study thus investigates the two roles of stock message boards-providing valuable information to make future investment decisions or sharing past experiences that reflect mainly investors' painful or boastful stories. If stock message boards do provide valuable information for stock investment decisions, then investors will use this information and thereby influence stock market activities (e.g., trading volume). On the contrary, if investors made investment decisions and visit stock message boards later, they will mainly share their past experiences with others. In this case, past activities in the stock market will influence the stock message boards. These arguments indicate that there is a correlation between information posted on stock message boards and stock market activities. The previous literature has examined the impact of stock sentiments or the number of posts on stock market activities (e.g., trading volume, volatility, stock prices). However, the studies related to stock sentiments found it difficult to obtain significant results. It is not easy to identify useful information among the millions of posts, many of which can be just noise. As a result, the overall sentiments of stock message boards often carry little information for future stock movements [Das and Chen, 2001; Antweiler and Frank, 2004]. This study notes that as a dependent variable, trading volume is more reliable for capturing the effect of stock message board activities. The finance literature argues that trading volume is an indicator of stock price movements [Das et al., 2005; Das and Chen, 2007]. In this regard, this study investigates the correlation between a number of posts (information on stock message boards) and trading volume (stock market activity). We collected about 100,000 messages of 40 companies at KOSPI (Korea Composite Stock Price Index) from Paxnet, the most popular Korean online stock message board. The messages we collected were divided into in-trading and after-trading hours to examine the correlation between the numbers of posts and trading volumes in detail. Also we collected the volume of the stock of the 40 companies. The vector regression analysis and the granger causality test, 3SLS analysis were performed on our panel data sets. We found that the number of posts on online stock message boards is positively related to prior stock trade volume. Also, we found that the impact of the number of posts on stock trading volumes is not statistically significant. Also, we empirically showed the correlation between stock trading volumes and the number of posts on stock message boards. The results of this study contribute to the IS and finance literature in that we identified online stock message board's two roles. Also, this study suggests that stock trading managers should carefully monitor information on stock message boards to understand stock market activities in advance.

• International Journal of Internet, Broadcasting and Communication
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• v.13 no.2
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• pp.20-26
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• 2021

Considering the role of a financial analyst that directly affects investors as an information mediator, management's decision to disclose to maximize corporate value will have an important impact on investors as well. On the other hand, whether or not managers vary the level of disclosure depending on the corporate form will have great implications for policy authorities. However, there is no domestic research on the relationship between the corporate form and the quality of voluntary disclosure. Our study shows that the corporate form tends to deepen the negative relationship between the proprietary information cost and the quality of disclosure. Examining whether the relationship between proprietary information cost and management disclosure decision making is valid for domestic companies is expected to provide meaningful implications for investors and regulators. Depending on the corporate form, if an entity makes a discriminatory disclosure, the cost of capital will be affected. A more in-depth follow-up study on this should be done.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.17 no.1
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• pp.1-12
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• 2022

This paper examines the influence of the portion of lead investors and investors' status on the investment performance of venture syndication. According to existing literature, multiple investors in VC syndicates can positively impact investment performance by investing both tangible and intangible resources in target companies based on market influence or high visibility. On the other hand, the presence of multiple leaders can cause conflicts in formulating and implementing investment strategy or free-riding problems or increase entry barriers for potential investors, lowering additional investment from existing investors. Therefore, we hypothesize that the relationship between proportion of lead investors and investment performance is inverted-U shape. Moreover, we predict that the status of VCs in the syndication will moderate the relationship between proportion of lead investors and investment performance since high-status actors are less likely to cooperate with or yield power to others. We tested these hypotheses using 24,677 VC syndicated investment data from 1991 to 2005 and found solid supports for the hypotheses. The findings suggest that firms need to consider relationship-based power dynamics among investors within a syndication and design effective role setting and coordination systems.

• Management & Information Systems Review
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• v.39 no.3
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• pp.83-98
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• 2020

This study analyzes how investors' irrational behavior (or pessimistic sentiment) affects stock market returns and investors' market activity using mass media that delivered public information from January 1998 to December 2012 as a sample. According to pessimistic investor theory, investor pessimism leads to downward pressure on the price of equity capital, thereby making market sentiment pessimistic and lowering market yields. It also shows that investor pessimism increases transaction costs in the market, which in turn dampens investors' trading activities. In other words, pessimistic reporting on public information disseminated by mass media induces investors to act irrationally, eventually having a direct impact on the stock market. This study conducted an empirical analysis of the existing theoretical and empirical studies using domestic mass media as a sample. First, the study revealed a negative correlation between pessimistic reporting and returns as well as excess returns, while it did not show statistically significant results. Second, evidence has been suggested that pessimistic sentiment in the stock market has a negative impact on future pessimistic reporting by mass media. Third, the analysis of the impact of pessimistic reporting on investors' market activity using proxy variables for various market activities found that pessimism dampens market activity, while it did not show statistically significant results. It is assumed that low statistical significance is due to the fact that sample collection was carried out on a monthly basis. While the results of the study have low statistical significance, statistical signs support predictions of the theory.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.535-543
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• 2020

Investors from the whole world are looking for those stock markets that are less affected by interest rates. Pakistan is a good place to invest and the investors from the whole world are considering Pakistan for future ventures. The current study, therefore, aims to analyze the factors affecting investors' decision making in Pakistan with the interaction effect of locus of control. The primary data are gathered from 300 respondents. Structural equation modelling (SEM-PLS) is used to analyze the interactions among variables. The study finds positive impact of availability and representative biases on investment decision making. The study could not find any moderating role of locus of control. The results imply that decisions made by Pakistani investors are driven by the most easily or currently available information and they trust on the information obtained from family and friends without any authentication and verification. One possible description of insignificant moderation effect of locus of control can be the sample traits used in the study, e.g., personal characteristics, that change from culture to culture. Another description of these findings may be the association between heuristic biases, including availability, representative and psychological biases and decision-making regarding investment is not personality specific.