• The Journal of Asian Finance, Economics and Business
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• 제7권7호
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• pp.159-167
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• 2020

The study examines the impact of corporate social responsibility (CSR) activity on the firm market value, in particular, market capitalization of tour operators listed on Chinese stock markets. This study employs panel data analysis methods to examine endogeneity concerns in observational data. The balanced panel data includes a total of 1,296 observations with 27 cross-sections of tour operators listed on Chinese stock markets and with 48 time-specific periods from March 2006 to December 2017. The results indicate that CSR activity has a negative impact on the market value of the firm for the concurrent period, but from one-period time lag and afterwards CSR activity has a strong positive impact on the market value and sustains its positive impact on the market value even for a two-period time lag. The findings suggest that the economic effect of CSR activity on the firm market value tends to take some degree of lagged effects to be fully showcased in the market capitalization of tour operators and travel companies listed on Chinese stock markets. The findings suggest that, though CSR activity may carry some financial risk for an immediate short-term, tour operators must put a lot of time and effort into making CSR actions effective.

• 산업경영시스템학회지
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• 제41권4호
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• pp.81-90
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• 2018

Modern investment theory has empirically proved that stock returns can be explained by several factors such as market risk, firm size, and book-to-market ratio. Other unknown factors affecting stock returns are also believed to still exist yet to be found. We believe that one of such factors is the operational efficiency of firms in transforming inputs to outputs, considering the fact that operations is a fundamental and primary function of any type of businesses. To support this belief, this study intends to empirically study the relationship between firm efficiency and stock price performance. Firm efficiency is measured using data envelopment analysis (DEA) with inputs and outputs obtained from financial statements. We employ cross-efficiency evaluation to enhance the discrimination power of DEA with a secondary objective function of aggressive formulation. Using the CAPM-based performance regression model, we test the performance of equally weighted portfolios of different sizes selected based upon DEA cross-efficiency scores along with a buy & hold trading strategy. For the empirical test, we collect financial data of domestic firms listed in KOSPI over the period of 2000~2016 from well-known financial databases. As a result, we find that the porfolios with highly efficient firms included outperform the benchmark market portfolio after controlling for the market risk, which indicates that firm efficiency plays a important role in explaining stock returns.

• 한국정보통신학회논문지
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• 제25권1호
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• pp.1-7
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• 2021

최근 코로나 19발생과 동시에 소셜 미디어의 투자자 정서가 증시 가격 움직임을 주도해 관심을 모으고 있다. 본 연구는 행동금융 이론 기반 빅 데이터 분석을 활용하여 소셜 미디어에서 추출한 정서가 중국 증시의 실시간 및 단기적 가격 모멘텀을 예측하는데 활용될 수 있는 기법을 제안한다. 이를 위해, COVID-19와 관련 200만 건 이상의 시나 웨이보 빅 데이터를 키워드 방식으로 수집 및 분석하고 시간이 따른 영향력이 높은 감정 요인을 추출한다. 최종 결과 도출을 위해 다양한 지도 및 비지도 학습 모델을 다 각도에서 구현 및 성능평가를 비교 분석 후, BiLSTM mdoel이 최적의 결과를 낼 수 있음을 증명했다. 또한, 제안하는 기법을 통해 주가변동과 심리요인 간에도 비슷한 움직임을 보이고 있음을 제안했고 소셜미디어에서 추출한 공공분위기가 어느 정도 투자자들의 심리를 대변할 수 있고, 주식시장에 영향을 미칠 수 있는 특수행사에 몰두할 때 증시변동에 차이를 만들 수 있음을 증명했다.

• 정보기술과데이타베이스저널
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• 제6권1호
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• pp.73-88
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• 1999

There have been a series of debates to determine whether it would be possible to forecast dynamic systems such as stock markets. Recently the introduction of chaos theory has allowed many researchers to bring back this issue. Their main concern was whether the behavior of stock markets is chaotic or not. These studies, however, present divergent opinions on this question, depending upon the method applied and the data used. And the issue of predictability based on the nonlinear, chaotic nature was not dealt extensively. This paper is to test the nonlinear nature of the Korea stock market and accordingly attempts to predict its behavior. The result indicates that our stock market represents a chaotic behavior. We also found out based on our simulation that executing buy/sell transactions based upon forecasts which were derived using the local approximation method outperforms the decision of holding without a buy/sell transaction.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.349-356
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• 2021

This study comprehensively investigates whether there is an impact of risk, size, profitability, earnings per share, dividend yield, and book-to-market equity on the stock prices of Jordanian banks listed on the Amman Stock Exchange (ASE) for the period 2006-2018. To mitigate endogeneity concerns and to control for within-bank dynamics, panel data fixed effects estimations are used. This study shows that size (SIZE), profitability (ROA), dividend yield (DY) and book-to-market equity (BE/ME) ratios are statistically significant determinants of stock prices. The risk (RISK) factor measured by volatility of ROA has a positive and significant effect on the stock prices, while earnings per share has minimum influence on the stock prices. The results show that ROA has a significant and positive effect and provides the largest effect among all variables used in this study, while the RISK factor has a positive and significant effect. In contrast, SIZE, DY, and BE/ME have a significant negative effect on stock prices. The paper presented new evidence showing that ROA is a better determinant of stock prices in Jordanian banks, and RISK significantly affects stock prices. The researcher recommends using a factor of profitability represented by ROA which has a significant positive effect on the stock prices in Jordanian banks and applying the ROA variable to other sectors.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.7-14
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• 2021

This paper examines the impact of foreign ownership on stock price volatility in an emerging market, namely, Thailand. The data were obtained from SETSMART, the database of the Stock Exchange of Thailand (SET). After removing financial firms, banks, and insurance companies as well as filtering outliers, the final sample covers 1,755 firm-year observations from 371 nonfinancial firms listed on the SET over the five-year period from 2014 to 2018. The regression model consists of stock price volatility, measured by two methods, as the dependent variable, foreign ownership as the main independent variable, and firm characteristics including firm size, leverage, market-to book ratio, and stock turnover as the control variables. The pooled OLS, fixed effects, and random effects estimations are employed to examine the relationship between foreign ownership and stock price volatility. The results reveal that foreign ownership has a negative and significant impact on stock price volatility. The two-stage least squares (2SLS) are also performed to address potential endogeneity problem. The results still indicate a negative relationship between foreign ownership and stock price volatility. Taken together, the findings of this study suggest that foreign investors help reduce stock price volatility and thus stabilize share price in the Thai stock market.

• The Journal of Asian Finance, Economics and Business
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• 제6권3호
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• pp.19-26
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• 2019

The paper aims to measure stock price volatility on Ho Chi Minh stock exchange (HSX). We apply symmetric models (GARCH, GARCH-M) and asymmetry (EGARCH and TGARCH) to measure stock price volatility on HSX. We used time series data including the daily closed price of VN-Index during 1/03/2001-1/03/2019 with 4375 observations. The results show that GARCH (1,1) and EGARCH (1,1) models are the most suitable models to measure both symmetry and asymmetry volatility level of VN-Index. The study also provides evidence for the existence of asymmetric effects (leverage) through the parameters of TGARCH model (1,1), showing that positive shocks have a significant effect on the conditional variance (volatility). This result implies that the volatility of stock returns has a big impact on future market movements under the impact of shocks, while asymmetric volatility increase market risk, thus increase the attractiveness of the stock market. The research results are useful reference information to help investors in forecasting the expected profit rate of the HSX, and also the risks along with market fluctuations in order to take appropriate adjust to the portfolios. From this study's results, we can see risk prediction models such as GARCH can be better used in risk forecasting especially.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.31-37
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• 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
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• 제9권9호
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• pp.9-24
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• 2022

With a view to attracting foreign investment and growing the economy, the Vietnamese government has hastened financial reforms, including the lifting of limitations on foreign investment, which has resulted in rapidly rising foreign ownership in recent years. To study the relationship between transactions of foreign investors and transactions of domestic investors on two stock exchanges in Vietnam Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX). This study applies a secondary dataset comprising daily market trading information of 912 stocks from 18 industries listed on 2 Vietnam stock exchanges, including HSX and HNX, which includes executed price, executed volume, daily Buy Orders, and Sell Orders categorized into domestic investors' orders and foreign investors orders from 01.04.2010 to 10.04.2018. The regression results show a significantly positive relationship between foreign investors' trading and domestic investors' transaction in all trading activities in both up and down markets. Therefore, these results indicate that domestic investors in Vietnam are concerned with foreign investors' trading as an important sign, and domestic investors tend to follow their counterparties without appropriate fundamental information. From there, there are signs of herding behavior of domestic investors following foreign investors in transactions on the stock market in Vietnam.

• The Journal of Asian Finance, Economics and Business
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• 제9권5호
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• pp.1-9
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• 2022

The study examines stock prices (LOGKSE) and exchange rate (LOGPK)-Pakistani Rupee vis-à-vis US Dollar- interactions in Pakistan. This study employs a multivariate VAR-GARCH model using monthly data from January 2012 to October 2020. The results of the Johansen cointegration test show that there is no relationship between Foreign Exchange Market and Stock Market in the long run. In the short-run, stock exchange returns are affected slightly negatively by the changes in the foreign exchange market, but the foreign exchange market does not seem to be affected by the ups and downs of the stock exchange. The VAR model and Granger Causality show that both markets are strongly influenced by their own lagged values rather than by the lagged values of one another and show weak or no correlation between the two markets. Volatility persistence is observed in both the stock and foreign exchange markets, implying that shocks and past period volatility are major drivers of future volatility in both markets. Thus greater uncertainties today will induce panic and consequently generate higher volatility in the future period. This phenomenon has been observed many times on Pakistan Stock Exchange especially. The results have important implications for local international investors in portfolio diversification decisions and risk hedging strategies.