• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.95-107
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• 2020

The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressive-distributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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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.

• Journal of Information Technology Services
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• v.11 no.3
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• pp.191-203
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• 2012

In the stock market, the investors rely on stock information to trade. Good information may stimulate buying, raising the stock prices and the bad information may result in selling, decreasing the stock prices. In terms of the relationship between information and stock prices, stock prices can be viewed as reaction of investors to all the information flowing into the market. The significant increase of web stock news volume is often associated with the significant changes of stock prices. When the web stock news volume for a firm increases significantly, the stock price movement is often oscillatory. This paper attempts to investigate the relationship between volumes of information from Korean web IT and stock prices in Korean stock market. This research shows that when the web stock news volume increases significantly, volatility, trading volumes and rate of returns are increase too. The results of the study provide us with the new clues to the microstructure of the stock market from the perspective of the web news.

• Korean Business Review
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• v.20 no.2
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• pp.1-13
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• 2007

The purpose of this study is to investigate a simple present value model Involving earnings (i.e., the earnings discount model) that presumes a relationship between stock prices and earnings. The model suggests a simple linear equilibrium relationship between stock prices and earnings. The tests for cointegration render strong support for the cointegration hypothesis between stock prices (Pt) and earnings (Xt) even at the one-percent significance level. The tests are based on residuals from a cointegrating regression of Pt on Pt+l + Xt. This suggests that there is a stable long-nu equilibrium relationship between stock prices and earnings. The results of the tests lead to the acceptance of the present value model of stock prices involving earnings.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.1
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• pp.5-14
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• 2014

This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails. The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.23-34
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• 2020

The paper revisits the author's previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.3
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• pp.337-346
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• 2022

This study explores the impact of the COVID-19 pandemic on the stock prices of state-owned enterprises listed on the Indonesia Stock exchange. The impact of the pandemic is analyzed based on different pandemic phases and the corresponding government pandemic interventions to curb the disease. This study analyzes 6 pandemic event dates, covering the time period from January 2020 to February 2021. A total of 20 state-owned enterprises are included as the sample of this study. Test of difference is employed to compare the stock prices of the state-owned enterprises before and after each pandemic event date. In general, this study confirms the adverse impact of the COVID-19 pandemic on the stock prices, especially the event in 2020, although some variations do exist. The results of the study reveal a significant decrease in the stock prices of the state-owned enterprises after the announcement of the first confirmed COVID-19 cases, the announcement of COVID-19 as a global pandemic, the imposing of Large Scale Social Restriction (PSBB I and PSBB II). In contrast, the stock prices increase after the imposing of a new normal policy and the imposing of Public Activity Restriction (PPKM). This study also documents that the effect of the pandemic may vary based on the pandemic phase.

• Journal of Digital Convergence
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• v.11 no.5
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• pp.145-158
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• 2013

I estimate stock prices of listed companies using financial information and Ohlson model, which is used for the evaluation of company value. Furthermore, I use the artificial neural network, one of artificial intelligence systems, which are not based on linear relationship between variables, to estimate stock prices of listed companies. By reapplying this in estimating stock prices of newly listed companies, I evaluate the appropriateness in stock valuation with such methods. The result of practical analysis of this study is as follows. On the top of that, the multiplier for the actual stock price is accounted by generating the estimated stock prices based on the artificial neural network model. As a result of the comparison of two multipliers, the estimated stock prices by the artificial neural network model does not show statistically difference with the actual stock prices. Given that, the estimated stock price with artificial neural network is close to the actual stock prices rather than the estimated stock prices with Ohlson model.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.3
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• pp.7-17
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• 2018

This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.181-190
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• 2021

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.