• 제목/요약/키워드: Trading Activity

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The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the COVID-19 in Indonesia

  • SAPUTRA G, Enrico Fernanda;PULUNGAN, Nur Aisyah Febrianti;SUBIYANTO, Bambang
    • The Journal of Asian Finance, Economics and Business
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    • 제8권2호
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    • pp.737-745
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    • 2021
  • This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity in pharmaceutical stocks before and after the announcement of the first case of the coronavirus (COVID-19) in Indonesia. The sample was selected using a purposive sampling method and collected as many as nine pharmaceutical companies listed on the Indonesia Stock Exchange during 2019-2020. The data used in this study were secondary data in the form of daily data on stock closing prices, Composite Stock Price Index (IHSG), stock volume trading, number of shares outstanding, and stock trading frequency. This study was an event study with an observation period of 14 days, namely seven days before and seven days after the announcement of the coronavirus's first positive case in Indonesia. Hypothesis testing employed the paired sample t-test method. Based on the results, it was found that there was no difference in the average abnormal return of pharmaceutical stocks before and after the announcement of the first case of COVID-19. However, there was a difference in the average trading volume activity and the average trading frequency activity in pharmaceutical stocks before and after the announcement of the first case of COVID-19.

KOSPI 200 파생상품시장의 거래대금 변동에 관한 연구 (A Study on a Decrease in Trading Values in KOSPI 200 Financial Derivatives Market)

  • 손경우;정지영
    • 아태비즈니스연구
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    • 제9권4호
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    • pp.85-97
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    • 2018
  • This paper investigates factors underlying a decrease in trading values in KOSPI 200 futures/options market on the basis of the current state of the markets. Among the factors that could affect trading values in KOSPI 200 derivatives market, we focus on the market activity of underlying assets as it has an impact on the trading of financial derivatives. Trading value and volatility are designated as market activity and the empirical results confirm that the market activity of the underlying assets is significant in explaining the decrease in trading values in KOSPI 200 futures/options market. To figure out fundamental reasons of the decrease in trading values in this market, we examine mitigation of home bias and decrease in leverage incentives as they are presumed to have influence on KOSPI 200 index market. As the global and local financial environment is time-varying, the degree of home bias and the leverage demand also changes. It implies that institutional change and/or policy effort to promote the trading of KOSPI 200 financial derivatives should be made taking into account the fact that considerable portion of the change in trading values in financial derivatives market depends on the state of the market.

The Impact of Index Future Introduction on Spot Market Returns and Trading Volume: Evidence from Ho Chi Minh Stock Exchange

  • NGUYEN, Anh Thi Kim;TRUONG, Loc Dong
    • The Journal of Asian Finance, Economics and Business
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    • 제7권8호
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    • pp.51-59
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    • 2020
  • The objective of this study is to enrich the literature by investigating the impact of introduction of index future trading on spot market returns and trading volume in Vietnam. Data used in this study mainly consist of daily VN30-Index and market trading volume series during the period from February 6th, 2012 to December 31st, 2019. Using OLS, GARCH(1,1) and EGARCH(1,1) models, the empirical findings consistently confirm that the introduction of index future trading has no impact on the spot market returns. In addition, the results of the EGARCH(1,1) model indicate that the leverage effect on the spot market volatility is existence in HOSE. Specifically, bad news has a greater effect on the market volatility than good news of the same size. Moreover, our empirical findings reveal that the introduction of index future contracts has the positive impact on the underlying market trading volume. Specifically, the trading volume of the post-index futures introduction increases by 7.5 percent compared with the pre-index futures introduction. Finally, the results obtained from the Granger causality test for the relationship between the spot market returns and the future trading activity confirm that only uni-directional causality running from the market returns to the future trading activity exists in HOSE.

Conflicts between Protected Franchise Territory and Unrestricted Delivery Trading Area

  • LEE, Soo-Duck
    • 한국프랜차이즈경영연구
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    • 제11권1호
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    • pp.45-60
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    • 2020
  • Propose: The expansion of the delivery market in franchise business is a positive means of advertising and promotion for franchisees and contributes to substantial sales growth for stores. However, unrestricted and uncontrolled delivery sales and business activity of franchisee directly lead to encroachment of business territory between franchisees, resulting in increased operating costs of franchisees and conflicts between franchisees over rights and interests on franchise business. Moreover, in relation to the restrictions on the opening of competitors, it is incapacitating the law intent of prohibiting unfair encroachment of business territory, in the issue of the Fair Franchise Act in regard to guarantee of exclusive sales and business activity rights of franchisee. This study aims to point out major problems arising out of franchisee's infinite competition on delivery sales and business activity that are not restricted or controlled and then suggest legal supplements, policy tasks, and practical implications for improvement on the issues. Literature Review: In franchising business transactions, vertical restraints are associated with the exclusive territory establishment, control of transaction area, restriction of intangible sales and business activity of franchisee. Therefore, in the franchise business, it is necessary to take positive interpretation and application on e-commerce, the area of e-commerce, and delivery trading area and find proper and practical ways, by virtue of constructive attitude of each actor, to reduce the encroachment of business territory and various conflicts caused by unrestricted delivery trading area. Conclusion and suggestion: The finding shows that unrestricted or uncontrolled delivery sales and business activity of franchisees cause encroachment of business territory and many conflicts among franchisees. And this matters also weaken the legislation of the law on the protection of the business territory and can be negative factors that disrupt the protection of identity and sound development of the franchise industry in the long run. Therefore, in the franchise business, it is necessary to take positive interpretation and application on e-commerce, the area of e-commerce, and delivery trading area and find proper and practical ways, by virtue of constructive attitude of each actor, to reduce the encroachment of business territory and various conflicts caused by unrestricted delivery trading area.

Trading Day Effect on the Seasonal Adjustment for Korean Industrial Activities Trend Using X-12-ARIMA

  • Park, Worlan;Kang, Hee Jeung
    • Communications for Statistical Applications and Methods
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    • 제7권2호
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    • pp.513-523
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    • 2000
  • The X-12-ARIMA program was utilized on the analysis of the time series trend on 76 Korean industrial activities data in order to ensure that the trading day effect adjustment as well as the seasonal effect adjustment is needed to extract the fundamental trend-cycle factors from various economic time series data. The trading day effect is strongly correlated with the activity of production and shipping but not with the activity of inventory. Furthermore, the industrial activities were classified with respect to the sensitivity on the tranding day effect.

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Investor Behavior Responding to Changes in Trading Halt Conditions: Empirical Evidence from the Indonesia Stock Exchange

  • RAHIM, Rida;SULAIMAN, Desyetti;HUSNI, Tafdil;WIRANDA, Nadya Ade
    • The Journal of Asian Finance, Economics and Business
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    • 제8권4호
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    • pp.135-143
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    • 2021
  • Information has an essential role in decision-making for investors who will invest in financial markets, especially regarding the policies on the condition of COVID-19. The purpose of this study is to determine the market reaction to the information published by the government regarding the policy changes to the provisions of Trading Halt on the IDX in an emergency using the event study method. The population in this study was companies listed on the Indonesia Stock Exchange in March 2020; the sample selection technique was purposive sampling. Data analysis used a normality test and one sample T-test. The results of the study found that there were significant abnormal returns on the announcement date, negative abnormal returns around the announcement date, and significant trading volume activity occurring three days after the announcement. The existence of a significant positive abnormal return on the announcement date indicates that the market responds quickly to information published by the government. The practical implication of this research can be taken into consideration for investors in making investment decisions to analyze and determine the right investment options so that investors can minimize the risk of their investment and maximize the profits they want to achieve.

The Effects of Trading Blocs on U.S. Outward FDI Activity: The Role of Extended Market Size

  • Im, Hyejoon
    • East Asian Economic Review
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    • 제16권2호
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    • pp.205-225
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    • 2012
  • I use panel data of sales by the foreign subsidiaries of the U.S. MNCs to examine whether trading blocs create more or less FDI and the impacts on FDI of the extended market size created by forming blocs. By employing a region-fixed effects model, I find that countries forming trading blocs attract more FDI, particularly from non-member countries, but that FDI does not always increase with the market size of the blocs. As the market size increases, FDI increases only for large blocs. However, these findings are sensitive to model specifications. A policy implication is that a country considering forming or joining a trading bloc with a view to attract FDI may want to form a trading bloc with a country or countries with a large market size.

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주가지수 파생상품 Life Cycle과 투자자 유형별 거래행태 (Life Cycle of Index Derivatives and Trading Behavior by Investor Types)

  • 오승현;한상범
    • 재무관리연구
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    • 제25권2호
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    • pp.165-190
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    • 2008
  • 선물 및 옵션의 만기결제와 관련된 정보비대칭 상황은 각 투자자 집단의 거래활동에 가시적인 영향을 줄 수 있다. 이러한 가능성을 조사하기 위해서 본 연구는 만기일을 제외한 파생상품의 life cycle을 시간의 경과에 따라 3개의 구간으로 설정한 후, 각 투자자 유형의 거래활동이 각 구간별로 보이는 변화 패턴을 조사하였다. 조사된 KOSPI200 지수 파생상품시장의 투자자 유형별 거래행태는 Foster and Viswanathan(1990)의 전략적 유동성 거래자 모형을 통해서 해석되었다. 한편, 투자자 유형별로 KOSPI200 지수 파생상품의 만기결제와 관련된 정보우위성을 측정 및 비교함으로써 정보비대칭 정도 및 정보거래자의 확인(identification) 문제에 조금 더 접근할 수 있었다. 본 연구의 주요 결과는 다음과 같이 요약된다. 첫째, 투자자 집단의 거래활동은 KOSPI200 지수 파생상품의 life cycle에 따라 3가지 유형(ㄱ자형, L자형, U자형)의 패턴으로 요약된다. ㄱ자형은 만기일 이전 1주일 동안 거래활동을 축소하는 패턴이고, L자형은 만기일 이후 1주일 동안 거래활동을 확대하는 패턴이고, U자형은 만기일 이전 1주일과 만기일 이후 1주일 동안 거래활동을 확대하는 패턴이다. 둘째, 개인투자자는 파생상품 life cycle과 관련하여 대형주 종목군을 대상으로 ㄱ자형 거래패턴(선물만기 기준)과 U자형 거래패턴(옵션 단독만기 기준)을 보인다. 이러한 거래패턴은 Foster and Viswanathan(1990)의 전략적 유동성 거래자 모형의 예상과 일치하였다. 셋째, 파생상품 life cycle과 관련하여 외국인투자자의 거래행태는 부분적으로 전략적 유동성 거래자 모형의 예상과 일치하였으나, 기관투자자의 거래행태는 전략적 유동성 거래자 모형의 예상과 무관하였다. 우리나라 주식시장의 전체 거래규모에서 가장 큰 비중을 차지하는 개인투자자가 파생상품의 만기와 관련하여 전략적으로 유동성 거래를 수행한다는 점은 파생상품의 life cycle이 주식시장에 주기적으로 영향을 주는 중요한 경로임을 의미한다. 본 연구는 이러한 경로를 새로이 규명하였다는 점에서 의미를 가진다.

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The Effect of Corporate Social Responsibility Activities on Investors' Heterogeneous Beliefs: A Study of Korea's Data Set

  • JUNG, Hyun-Uk;MUN, Tae-Hyoung;KIM, Young Ei
    • The Journal of Asian Finance, Economics and Business
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    • 제7권10호
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    • pp.95-107
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    • 2020
  • This study analyzes the effect of corporate social responsibility (CSR) activity on investors' heterogeneous beliefs. The hypothesis of this study is based on the conflicting effects of CSR activities on firm value and earning's quality. Investors' heterogeneous beliefs used in the empirical analysis of this study are trading volume, and CSR activity is measured by the KEJI Index (Korea Economic Justice Institute Index). This study performs an empirical analysis using regression analysis including control variables. CSR activities are found to have a positive relationship with trading volume. This is consistent regardless of the low and high accounting information (earning's quality). It can be interpreted that Korea's CSR activity acts as an incentive to increase investors' heterogeneous beliefs about target companies. In other words, it implies that the investor judges CSR activities negatively when evaluating firm value. This study could have a policy implication in that it analyzes how CSR activities affect investors' decision-making. In other words, this study analyzed CSR activities from the perspective of shareholders. Therefore, this study is expected to provide useful information for policymaking by regulatory agencies. In particular, its contribution is to presents data that CSR activities can be a negative factor in evaluating firm values.

온라인 주식게시판 정보와 주식시장 활동에 관한 상관관계 연구 (A Study about the Correlation between Information on Stock Message Boards and Stock Market Activity)

  • 김현모;윤호영;소리;박재홍
    • Asia pacific journal of information systems
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    • 제24권4호
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    • pp.559-575
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    • 2014
  • Individual investors are increasingly flocking to message boards to seek, clarify, and exchange information. Businesses like Seekingalpha.com and business magazines like Fortune are evaluating, synthesizing, and reporting the comments made on message boards or blogs. In March of 2012, Yahoo! Finance Message Boards recorded 45 million unique visitors per month followed by AOL Money and Finance (19.8 million), and Google Finance (1.6 million) [McIntyre, 2012]. Previous studies in the finance literature suggest that online communities often provide more accurate information than analyst forecasts [Bagnoli et al., 1999; Clarkson et al., 2006]. Some studies empirically show that the volume of posts in online communities have a positive relationship with market activities (e.g., trading volumes) [Antweiler and Frank, 2004; Bagnoli et al., 1999; Das and Chen, 2007; Tumarkin and Whitelaw, 2001]. The findings indicate that information in online communities does impact investors' investment decisions and trading behaviors. However, research explicating the correlation between information on online communities and stock market activities (e.g., trading volume) is still evolving. Thus, it is important to ask whether a volume of posts on online communities influences trading volumes and whether trading volumes also influence these communities. Online stock message boards offer two different types of information, which can be explained using an economic and a psychological perspective. From a purely economic perspective, one would expect that stock message boards would have a beneficial effect, since they provide timely information at a much lower cost [Bagnoli et al., 1999; Clarkson et al., 2006; Birchler and Butler, 2007]. This indicates that information in stock message boards may provide valuable information investors can use to predict stock market activities and thus may use to make better investment decisions. On the other hand, psychological studies have shown that stock message boards may not necessarily make investors more informed. The related literature argues that confirmation bias causes investors to seek other investors with the same opinions on these stock message boards [Chen and Gu, 2009; Park et al., 2013]. For example, investors may want to share their painful investment experiences with others on stock message boards and are relieved to find they are not alone. In this case, the information on these stock message boards mainly reflects past experience or past information and not valuable and predictable information for market activities. This study thus investigates the two roles of stock message boards-providing valuable information to make future investment decisions or sharing past experiences that reflect mainly investors' painful or boastful stories. If stock message boards do provide valuable information for stock investment decisions, then investors will use this information and thereby influence stock market activities (e.g., trading volume). On the contrary, if investors made investment decisions and visit stock message boards later, they will mainly share their past experiences with others. In this case, past activities in the stock market will influence the stock message boards. These arguments indicate that there is a correlation between information posted on stock message boards and stock market activities. The previous literature has examined the impact of stock sentiments or the number of posts on stock market activities (e.g., trading volume, volatility, stock prices). However, the studies related to stock sentiments found it difficult to obtain significant results. It is not easy to identify useful information among the millions of posts, many of which can be just noise. As a result, the overall sentiments of stock message boards often carry little information for future stock movements [Das and Chen, 2001; Antweiler and Frank, 2004]. This study notes that as a dependent variable, trading volume is more reliable for capturing the effect of stock message board activities. The finance literature argues that trading volume is an indicator of stock price movements [Das et al., 2005; Das and Chen, 2007]. In this regard, this study investigates the correlation between a number of posts (information on stock message boards) and trading volume (stock market activity). We collected about 100,000 messages of 40 companies at KOSPI (Korea Composite Stock Price Index) from Paxnet, the most popular Korean online stock message board. The messages we collected were divided into in-trading and after-trading hours to examine the correlation between the numbers of posts and trading volumes in detail. Also we collected the volume of the stock of the 40 companies. The vector regression analysis and the granger causality test, 3SLS analysis were performed on our panel data sets. We found that the number of posts on online stock message boards is positively related to prior stock trade volume. Also, we found that the impact of the number of posts on stock trading volumes is not statistically significant. Also, we empirically showed the correlation between stock trading volumes and the number of posts on stock message boards. The results of this study contribute to the IS and finance literature in that we identified online stock message board's two roles. Also, this study suggests that stock trading managers should carefully monitor information on stock message boards to understand stock market activities in advance.