• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.433-444
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• 2020

The purpose of this study is to analyze integrated reporting disclosure and its implications on investor reactions. The population in this study is all manufacturing companies listed on the Indonesia stock exchange from 2017 to 2019, totaling 171 companies, and the sampling technique used is purposive sampling method. The method used in this research is a quantitative description using the financial statements of manufacturing companies listed on the Indonesia stock exchange. The data analysis method used is multiple regression analysis with intervening variables using AMOS 24 software. The results of this study show a positive and significant effect of profitability (X1) and company size (X2) on integrated reporting (IR); a positive and insignificant effect of stakeholder pressure (X3) on integrated reporting (IR); a positive and significant effect of profitability (X1) and stakeholder pressure (X3) on investor reactions (Y); a positive and insignificant effect of firm size (X2) and integrated reporting (IR) on investor reactions (Y). Suggestions are that in further studies, we can increase the sample size by including other industries, and in addition to using annual reporting, we can also use other sources such as websites, press releases, and prospectuses to improve the robustness of this study by relying on other data sources.

• 아태비즈니스연구
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• 제13권4호
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• pp.135-149
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• 2022

Purpose - The primary objective of this article is to investigate the impact of U.S. monetary policy on institutional / individual / foreign investor reactions in the Korean stock market. Design/methodology/approach - This study employs a high frequency event study methodology to identify U.S. monetary policy shocks and quantify the impact of identified shocks on investor reactions. The dependent variable in the regression model is net stock purchase, while the explanatory variables are U.S. monetary policy shocks. The model is estimated for the period 2000-2019, including 156 FOMC meetings. Findings - Foreign investors immediately sell stocks in response to contractionary U.S. monetary shocks. They do not, however, react to anticipated changes in monetary policy rates, confirming the rationality of foreign investors. Individual investors demonstrate the opposite response, indicating that a non-trivial proportion of individual investors are irrational. Research implications or Originality - This study adds to the current literature on the effect of U.S. monetary policy on the Korean stock market. This study demonstrates a heterogeneous response to U.S. monetary policy shocks, validating the rational investment behavior of foreign investors, while individual investors exhibit a certain degree of irrationality. Methodologically, this study adds to the literature by quantifying the impact of U.S. monetary policy employing a sharper identification method allowing a simple and consistent estimation.

• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.45-56
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• 2018

The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends' Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.

• 재무관리연구
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• 제22권2호
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• pp.107-133
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• 2005

본 논문은 신용평가기관의 신용등급 변경공시 정보가 주식시장과 채권시장에 어떠한 영향을 주는 지를 1993년 1월에서 2001년 2월까지의 주식시장과 2000년 7월에서 2001년 2월까지의 채권시장에서의 자료를 이용하여 사건연구를 통하여 살펴본다. 주식시장의 경우를 살펴보면, 등급이 상승하는 경우는 신용등급 공시전이나 공시 후 유의한 반응이 관찰되지 않았다. 그러나 신용등급이 2등급 이상 하락한 경우는 등급 변경 공시 이전과 등급 공시일과 이후 모두에 유의한 반응을 나타냈으며 등급이 1등급 하락한 경우는 사건이 발생한 이후의 경우에서만 유의한 반응을 나타내었다. 채권시장에서는 등급이 상승하는 경우에는 투자수익률이 상승하고, 만기수익률이 하락하는 것이 관찰되며, 등급이 하락한 경우에는 투자수익률이 하락하고, 만기수익률이 상승하는 것이 관찰된다. 또한, 등급이 하락하는 경우가 상승하는 경우보다 그 변동이 크다.