• The Journal of Asian Finance, Economics and Business
• /
• 제9권9호
• /
• pp.1-8
• /
• 2022

This paper studies market efficiency from a weak form aspect using opening and closing prices of the Shanghai stock exchange composite index (SSEC) and Shenzhen stock exchange composite index (SZSEC) under the expected return theory. Classical methods (autocorrelation and runs test) are used to examine the features of stock returns, and little evidence against mutual independence of returns is found. We predict daily returns of SSEC and SZSEC with AR(p) and VAR(p) models (in this paper, p = 5 is taken as a one-week lag) and perform a virtual experiment on two indexes based on the predicted value of daily returns from AR(p) or VAR(p) model. From the results of AR(p) and VAR(p) for two indexes, we attempt to find out how the market efficiency level changes when the information from the other market is under consideration as we check the market efficiency level in one market. We find that SSEC in 2014-2016 and SZSEC in 2015-2016 are inefficient from the result of autocorrelation, that SSEC in 2016 and SZSEC in 2013 are not efficient from the result of runs test, that the stock market is efficient except 2005, 2009, 2010 and 2017 in SSEC and 2005, 2016 and 2017 in SZSEC and that SSEC is more influenced by SZSEC but SSEC influences SZSEC less from the result of the virtual experiment.

• The Journal of Asian Finance, Economics and Business
• /
• 제9권3호
• /
• pp.33-42
• /
• 2022

Oil prices have become more volatile as a result of global economic contraction and control measures. Before and during the COVID-19 crisis, this study examines the relationship between oil price swings and daily stock returns in the power sector. The impact is investigated using a panel Vector Autoregressive (VAR) model. Granger causality tests are used to see if oil prices are effective in predicting returns. The dynamic impact of supply shocks is studied using Impulse Response Functions (IRFs). From January 2011 to May 2021, the study used daily data from all listed power sector enterprises on the Pakistan stock exchange. To investigate the differences in reactions between the Pre-COVID and COVID eras, the sample was separated into two groups. Oil shocks are inversely associated with daily firm stock returns. The conclusions are further supported by the lack of impact of stock prices on oil prices. The relationship, however, deteriorates during the COVID pandemic. We could not uncover any evidence of a significant relationship. In developing countries that rely on oil imports, the study sheds light on the utility of oil price shocks in daily stock return predictions.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권2호
• /
• pp.711-724
• /
• 2021

The purpose of this paper is to investigate the profitability of the momentum effects on the Oman Stock Market (OSM). This study uses the monthly returns of all stocks listed on the OSM, with a total of 107 companies used in the study for the period from 2005 to 2018. According to the methodology developed by Jegadeesh and Titman (1993), this study builds momentum portfolios based on various sizes. Moreover, the January effect is also examined to recognize if this effect is related to the momentum effect. The results find that there is evidence of momentum returns and these returns are statistically and economically significant. The sub-periods confirmed the profitability of the momentum strategy. This paper shows that momentum returns are evident at different sizes; big, medium, and small-sized portfolios. Besides, the result shows that the classic January effect does not play an important role in the momentum returns. Thus, the implication is that the momentum should not take into account the annual, seasonal, and size returns. The capital asset pricing model (CAPM) or the three-factor model cannot explain momentum returns generated by individual stocks in the Oman Stock Market. These results are useful to academia and investors alike.

• The Journal of Asian Finance, Economics and Business
• /
• 제9권4호
• /
• pp.325-332
• /
• 2022

This research aims to examine and assess how management methods, financial conditions, and corporate governance strategies affect stock returns. This study employs a quantitative approach with a population of 1968 firms with stock returns (return) and a sample of 225 companies with corporate governance practices in the manufacturing industry in Indonesia from 2013 to 2018. The findings of this study show that strategic management has a significant impact on stock return, financial condition, and corporate governance strategy. The findings of this study on debt strategy as a proxy for management strategy, debt default as a proxy for economic conditions, corporate governance strategy as a proxy for centralized ownership, and independent commissioners function as a mechanism of internal and external control in increasing stock return for investors all support increasing stock return for investors. The cost reduction strategy includes reducing operating costs unless the audit committee has not yet functioned as an internal control or requirement for a company to be listed with the Financial Services Authority on the Indonesia Stock Exchange.

• East Asian Economic Review
• /
• 제23권4호
• /
• pp.333-351
• /
• 2019

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by Inoue and Kilian and applied to the US stock market data by Rapach and Wohar. The empirical findings show that stock returns are predictable not only in-sample but out-of-sample in Hong Kong, Malaysia, Singapore, and Korea with a few exceptions for some forecasting horizons. However, we find some significant disparity between in-sample and out-of-sample predictability in the Korean stock market. For Hong Kong, Malaysia, and Singapore, stock returns have predictable components both in-sample and out-of-sample. For the US, Australia, and Canada, we do not find any evidence of return predictability in-sample and out-of-sample with a few exceptions. For Japan, stock returns have a predictable component with price-earnings ratio as a forecasting variable for some out-of-sample forecasting horizons.

• 유통과학연구
• /
• 제10권7호
• /
• pp.13-22
• /
• 2012

The effect of the September 2008 global financial crisis weighed heavily on stock markets around the world. The purpose of this study is to empirically investigate the impact of the crisis on Amman Stock Exchange. Event study methodology has been adopted on a period of 24 months, from January 2008 to December 2009. Monthly average abnormal returns across a sample of 52 industrial and services companies have been tested separately. The results reveal that Amman Stock Exchange experienced significant negative abnormal returns in the fourth quarter of the year 2008. However, there were no significant abnormal returns observed thereafter. This means that Amman Stock Exchange managed to overcome its adverse consequences. Since the event study tests for market efficiency, as well, the results show that Amman Stock Exchange reaction is consistent with the semi-strong form of the efficient market hypothesis.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권3호
• /
• pp.39-47
• /
• 2021

This research aims to confirm if the COVID-19 pandemic has had an impact on existing sectors, and how that affects the Indonesian Stock Exchange (IDX) market returns. The research method used is an event study employing market models in nine sectors of the Exchange with purposive sampling technique, and supported by Ordinary Least Square (OLS) regression. Based on the calculation of abnormal returns in the period of 30 days before up to 30 days after, the financial property, real estate, and construction sector results show a decreased abnormal return value. The infrastructure, utilities, and transportation sectors also show an abnormal return value that tends to be constant, while the abnormal return value increases in other sectors. Judging from the cumulative value of abnormal returns, the most affected sector is financials, followed by the trade, service, and investment sectors. The consumer goods and mining industry sectors are still optimistic, while other sectors show temporary negative sentiment. Overall, the stocks on the Indonesia Stock Exchange (IDX) were affected by the COVID-19 pandemic with a cumulative negative value of the average abnormal return sample. The results using OLS regression also strengthen the relationships between the COVID-19 pandemic, and negative and significant market returns.

• 한국융합학회논문지
• /
• 제9권7호
• /
• pp.213-222
• /
• 2018

본 연구는 외환위기 이후인 2001년~2016년의 기간 동안 코스피 또는 코스닥 시장에 상장된 기업을 분석 대상으로 하여 성장주와 가치주의 초과수익률을 비교 분석했다. 최근 성장주로 불리는 일부 정보기술(IT)주와 의약 바이오주가 가치주에 비해 높은 초과수익률을 보이고 있다. 외국의 선행연구는 성장주가 평균적으로 음(-)의 초과수익률을 나타내며, 초과수익률의 분포가 정규분포가 아닌 오른쪽으로 긴 꼬리를 지닌 양(+)의 왜도(skewness)를 갖는 형태로 보고되고 있다. 본 연구의 실증분석 결과도 이러한 선행연구의 결과와 일관된다. 흥미로운 점은 성장주와 가치주의 초과수익률의 시계열이 서로 역(-)의 상관관계를 갖는 것으로 관찰되었다. 또한 성장주 또는 가치주에 관계없이 PEG(=PER/ROE) 지표가 우량할수록 투자수익률이 높았다.

• 재무관리연구
• /
• 제26권4호
• /
• pp.103-140
• /
• 2009

This paper investigates various channels through which liquidity can affect stock returns and examines whether behavioral explanation for liquidity risk is reasonable. First, we examine whether liquidity level (average liquidity) plays a significant role in determining asset returns. The result is consistent with the hypothesis that a stock with higher average illiquidity will have a higher expected return. Second, we focus on the argument that liquidity has a non-diversifiable systematic component. If systemic liquidity has a different impact across individual securities, a stock that is more sensitive to systematic liquidity will have a higher expected return. The results of various tests are inconsistent with each other, not completely supporting the argument. Finally, the intra-market tests in Korea support the behavioral explanation for the liquidity premium, and the effect is stronger in the liquidity level than in the liquidity beta related to systematic liquidity.

• 경영과정보연구
• /
• 제26권
• /
• pp.1-26
• /
• 2008

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.