• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.117-123
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• 2020

The objective of this study is to examine whether the four-factor model explains variation in the expected return of stocks on the Stock Exchange of Thailand. The study used individual monthly data for all stock with continuous trading on the Stock Exchange of Thailand. The study used sample data of 429 listed stocks to construct 8 portfolios bases on the industries. In this study, subject to market factors such as size, the book-to-market ratio, the market beta, and stock liquidity are taken into account. The Empirical analysis reveals that not all of the variables included in the four-factor asset pricing model are statistically significant to do affect the formation of the rate of return on stocks calculated on a monthly basis. The result shows that market beta, stock liquidity, and the book-to-market ratio has a significant increase in the rate of return on shares listed on the Consumer Products. It is therefore apparent that at least in respect of monthly analysis, the predictions of bass models in the field of modern finance theory systematic risk measured by the beta coefficient did play a significantly important role in the formation of the rate of return on the Stock Exchange of Thailand.

• 재무관리논총
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• 제9권1호
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• pp.221-244
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• 2003

This study is aimed to investigate the effects of foreign exchange rates on stock market returns. For the United States, the United Kingdom, Germany, Japan and Korea, the cross-correlation precedence of foreign exchange rate on stock market is found in the case of Germany and Korea. But that of stock market is not observed in any case. We performed three kinds of causality and exogeneity test of Granger test, Sims test and Geweke-Meese-Dent test. The analyses on the full period show the time-lag causal, exogeneous relation of foreign exchange rates with Granger, Sims and GMD test for Korea. The United Kingdom presents the significance with Granger and Sims test while Germany reveals the time-lag relation with Granger and GMD test. When we divide the period into two parts with the Louvre Accord, the first part give the less degree of time-lag relation. But in the second period the three kinds of causality and exogeneity test propose consistent time-lag relation with foreign exchange rates on stock markets for the United Kingdom and Korea with the three test methods. And Granger's test prove German foreign exchange market have a time-lag relation on stock market.

• The Journal of Asian Finance, Economics and Business
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• 제7권7호
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• pp.131-137
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• 2020

The research investigates the impact of the lockdown period caused by the COVID-19 to the stock market of India. The study examines the extent of the influence of the lockdown on the Indian stock market and whether the market reaction would be the same in pre- and post-lockdown period caused by COVID-19. Market Model Event study methodology is used. A sample of 31 companies listed on Bombay Stock Exchange (BSE) are selected at random for the purpose of the study. The sample period taken for the study is 35 days (24 February-17 April, 2020). An event window of 35 days was taken with 20 days prior to the event and 15 days during the event. The event (t1) being the official announcement of the lockdown. The results indicate that the market reacted positively with significantly positive Average Abnormal Returns during the present lockdown period, and investors anticipated the lockdown and reacted positively, whereas in the pre-lockdown period investors panicked and it was reflected in negative AAR. The study finds evidence of a positive AR around the present lockdown period and confirms that lockdown had a positive impact on the stock market performance of stocks till the situation improves in the Indian context.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.365-373
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• 2021

This paper investigates the presence of momentum profits in the Saudi stock market. The study applied a quantitative method by utilizing monthly closing prices of 194 listed firms on Tadawal (Saudi Stock Market). The data from January 2010 to February 2019 is taken from the Tadawal market database for analysis. The sample is further divided into two equal sub-samples based on the structural changes that occurred in the Saudi stock market. Moreover, the high- and low-value traded portfolios are also constructed to examine the presence of momentum profits. Sixteen investment strategies are formed for each sample. The results show a very strong presence of momentum profits in the Saudi stock market for the full sample as well as for the sub-samples. The momentum profits are observed for a longer investment horizon. The results confirm that the short or medium-term formation of portfolios produces negative momentum returns for high-value traded stocks. The low-value traded stocks portfolios give similar results to the full sample results in terms of momentum profits. The results suggest that an investor should keep an eye on the past performance of desired stocks for at least three-nine months in which they are willing to invest.

• 국제지역연구
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• 제18권3호
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• pp.67-88
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• 2014

본 연구에서는 중국시장을 중심으로 수익률 전이현상(return spillover effect) 및 변동성 전이현상(volatility spillover effect)을 이변량 VAR-EGARCH 모형을 이용하여 실증 분석하였다. 그리고 최근의 글로벌 금융위기를 중심으로 금융위기 이전과 이후로 나누어서 전이효과를 실증 분석하였다. 실증분석 결과, 전체기간에서 중국으로부터 일본 만이 수익률 전이현상을 가지고 있었고 변동성 전이현상은 미국뿐만 아니라 일본, 한국에게도 모두 영향을 주었다. 기간을 나누어서 분석한 결과, 금융위기 전에는 일본과 한국에게 수익률 전이현상을 가지고 있었고 금융위기 후 그 크기가 상대적으로 증가한 것으로 나타났다. 또한, 중국의 변동성 전이현상도 한국에게 영향을 주고 미국으로부터 영향을 받다가, 금융위기 후 한국을 제외한 미국과 일본은 중국과 양방향의 관계를 가지고 있었고 그 크기가 증가하였다. 하지만 미국으로부터 중국으로의 변동성 전이현상은 감소하는 것으로 나타났다. 이는 글로벌 금융위기 이후 중국시장의 영향력이 증대되고 있음을 의미한다.

• Journal of the Korean Data and Information Science Society
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• 제19권4호
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• pp.1073-1080
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• 2008

Reverse convertible fund is a method of investment assuring both profit and stability in an unstable stock market, and shares characteristics of a hedge fund and derivative securities. This study analyzes empirically whether reverse convertible funds can indeed serve as a new method in variable stock market environment to provide high profit with low risks especially in the Korean stock market.

• The Journal of Asian Finance, Economics and Business
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• 제6권4호
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• pp.37-43
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• 2019

The research aims to study the relationship between export performance and stock return of Vietnamese fishery companies. To conduct this study, quarterly data was collected for period from 2010-2018 of 13 fishery companies listing in Ho Chi Minh Stock Exchange (HOSE) and Ha Noi Stock Exchange (HNX). The export performance was measured by export intensity, export growth and export market coverage. In addition, interest rate, exchange rate, GDP, firm size, profitability, and financial leverage were considered as the control variables in the research model. Panel data analysis with Generalized Least Squares model was employed to estimate the predictive regression. The findings indicated that export intensity and export growth have a significant and positive relationship with stock returns. However, export market coverage has not a significant relationship with stock return at the 0.05 level. Profitability, financial leverage, and exchange rate have a positive relationship, while interest rate and GDP have no relation to stock return at the 0.05 significance level. The findings imply that investors should consider the export intensity instead of export growth and export market coverage as selecting stock of fishery exports firms to invest; managers should increase export intensity to increase company's stock price or firm market value.

• 유통과학연구
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• 제20권12호
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• pp.81-87
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• 2022

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk-tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

• Journal of the Korean Data and Information Science Society
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• 제17권4호
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• pp.1099-1106
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• 2006

This study is an analysis of the stock trading value in terms of investor types in the Korean stock market for recent 12 years. We examined the characteristics in stock trading value variation according to each investor type and the interactive relationship in the trading value between types of investors. The results show that the trading value scale of every investor type increases overall while the proportion of the trading value by each investor type in the market exhibits variation. In addition, a statistically significant interactive relationship in the trading value between types of investors exists: the correlations are formed differently before and after events which largely influence the stock market.

• 한국지능정보시스템학회:학술대회논문집
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• 한국지능정보시스템학회 1999년도 추계학술대회-지능형 정보기술과 미래조직 Information Technology and Future Organization
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• pp.337-346
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• 1999

In this paper, we propose the rough set approach to extract trading rules able to discriminate between bullish and bearish markets in stock market. The rough set approach is very valuable to extract trading rules. First, it does not make any assumption about the distribution of the data. Second, it not only handles noise well, but also eliminates irrelevant factors. In addition, the rough set approach appropriate for detecting stock market timing because this approach does not generate the signal for trade when the pattern of market is uncertain. The experimental results are encouraging and prove the usefulness of the rough set approach for stock market analysis with respect to profitability.