• The Journal of Asian Finance, Economics and Business
• /
• 제7권11호
• /
• pp.55-65
• /
• 2020

The objective of this study is to investigate how investors in the Stock Exchange of Thailand practically trade in response to a magnitude of profits and losses, given a discussion of the widely well-known behavioral explanation, so called as the disposition effect. We provide empirical evidence of an existence of the V-shaped disposition effect, which has been recently found in several advanced equity markets. By adopting the methodology suggested by An's (2016) and Fama and Macbeth (1973), we document that stock return patterns in relation to aggregate unrealized gains and losses of investors are consistent with the V-shaped selling schedule, given an increase in unrealized gains and losses over the period of January 1996 to December 2015. The effect of unrealized gains is stronger than that of unrealized losses and this asymmetry underlies the existence of the V-shaped disposition effect in the Thai equity market. Interestingly, the effect of the V-shaped selling schedule is strongest over the short-term holding time horizon. Last but not the least, stocks for which investors have large unrealized gains and losses outperform in the following month and the long-short trading strategy, based on this premise, generates the average 1.7% monthly (equivalent to 20.0% per year) abnormal return.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2000년도 하계학술대회 논문집 C
• /
• pp.1850-1852
• /
• 2000

In this paper, new Partial Discharge (PD) detection technique using Pockels cell was proposed and considerable apparent chaotic characteristics were discussed. For this purpose, PD was generated from needle-plane electrode in air and detected by optical measuring system using Pockels cell, based on Mach-Zehnder interferometer, consisting of He-Ne laser, single mode optical fiber, 50/50 beam splitter and photo detector. A qualitative analysis was carried out by drawing Return map for the normalized time series of the detected PD signals. The results are as follows:(a) Fixed points, between 0.7 and 1.0, are appeared clearly in the right upper area of the return map as the increase in the number of obtained data.(b) Considerable periodicity have been remarked even though exact period and length can not be determined.(c) The self-similarity can be also observed inasmuch as the late paths do not follow the previous ones. Accordingly, exact quantitative analysis such as embedding dimension, fractal dimension, and Lyapunov exponents should be carried out for deducing the quantitative properties regarding PD phenomena.

• 한국수자원학회:학술대회논문집
• /
• 한국수자원학회 2010년도 학술발표회
• /
• pp.571-575
• /
• 2010

Drought is a natural hazard with different properties that are usually dependent to each other. Therefore, a multivariate model is often used for drought frequency analysis. The Copula based bivariate drought severity and duration frequency analysis is applied in the current study in order to show the effect of tail behavior of drought severity and duration on the selection of a copula function for drought bivariate frequency analysis. Four copula functions, namely Clayton, Gumbel, Frank and Gaussian, were fitted to drought data of four stations in Iran and Canada in different climate regions. The drought data are calculated based on standardized precipitation index time series. The performance of different copula functions is evaluated by estimating drought bivariate return periods in two cases, [$D{\geq}d$ and $S{\geq}s$] and [$D{\geq}d$ or $S{\geq}s$]. The bivariate return period analysis indicates the behavior of the tail of the copula functions on the selection of the best bivariate model for drought analysis.

• Nuclear Engineering and Technology
• /
• 제51권2호
• /
• pp.607-617
• /
• 2019

Global warming and climate change are increasing the intensity of typhoons and hurricanes and thus increasing the risk effects of typhoon and hurricane hazards on nuclear power plants (NPPs). To reflect these changes, a new NPP should be designed to endure design-basis hurricane wind speeds corresponding to an exceedance frequency of $10^{-7}/yr$. However, the short typhoon and hurricane observation records and uncertainties included in the inputs for an estimation cause significant uncertainty in the estimated wind speeds for return periods of longer than 100,000 years. A logic-tree framework is introduced to handle the epistemic uncertainty when estimating wind speeds. Three key parameters of a typhoon wind field model, i.e., the central pressure difference, pressure profile parameter, and radius to maximum wind, are used for constructing logic tree branches. The wind speeds of the simulated typhoons and the probable maximum wind speeds are estimated using Monte Carlo simulations, and wind hazard curves are derived as a function of the annual exceedance probability or return period. A logic tree decreases the epistemic uncertainty included in the wind intensity models and provides reasonably acceptable wind speeds.

• 유통과학연구
• /
• 제19권1호
• /
• pp.27-35
• /
• 2021

Purpose: This study is to investigate the effect of managerial ownership level in distribution and service companies on the stock price crash. The managerial ownership level affects the firm's information disclosure policy. If managers conceal or withholds business-related unfavorable factors over a long period, the firm's stock price is likely to plummet. In a similar vein, management's equity affects information opacity, and information asymmetry affects stock price collapse. Research design, data, and methodology: A regression analysis is conducted using the data on companies listed on the Korea Composite Stock Price Index (KOSPI) between 2012-2017 to examine the effect of the managerial ownership level on stock price crash risks. Results: Logistic and regression results indicate that the stock price crash risk was reduced as managerial ownership levels are increased. The managerial ownership level has a significant negative coefficient on stock price crash risk, negative conditional return skewness of firm-specific weekly return distribution, and asymmetric volatility between positive and negative price-to-earnings ratios. Conclusions: As the ownership and management align, the likeliness of withholding business-related information is reduced. This study's results imply that the stock price crash risk reduces as the managerial ownership level increases because shareholder and manager interests coincide, thereby reducing information asymmetry.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권4호
• /
• pp.709-716
• /
• 2021

The main objective of this research is to find out the effect of Non-Performing Loan (NPL) of Nepalese conventional banks. The population of this study is major commercial banks in Nepal and the data obtained for this study was from the period 2015-2019. This research used secondary data and it is collected from each bank's annual report and GDP and Inflation taken from the World Bank database. The method used for data analysis in this study is multiple regression analysis. The study used NPL as a dependent variable and Return on Asset (ROA), Capital Adequacy Ratio (CAR), Bank Size, GDP growth, and Inflation as independent/explanatory variables. The result of this research shows that ROA, Bank Size, GDP, and Inflation have a significant effect on NPL but CAR does not have a significant effect on the NPL of banks. In other words, the GDP effect on NPL in this study shows a positive and significant effect while most studies show a negative effect. It demonstrates that when GDP growth increases, there is a significant increase in the growth of Nepalese banks even though there were no significant changes in income growth. Therefore, GDP growth has a positive and significant effect on the NPL of commercial banks. Thus, the bankers and policymakers need to consider GDP growth carefully while taking NPL-related decisions.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권3호
• /
• pp.539-549
• /
• 2021

This study aims to examine the relationship between corporate social responsibility (CSR) expenditures and both financial and non-financial performance of Jordanian commercial banks during the period 2008-2018. To measure the variables of interest, secondary data published on Amman Stock Exchange (ASE) website were processed to become preliminary data suitable for the nature of the study. The study sample amounted to 13 commercial banks, which represent all Jordanian commercial banks listed on ASE.. The study found that there is a positive, statistically significant relationship between CSR expenditures and financial performance, as the study showed that the return on equity (ROE) has a positive and significant relationship with CSR expenditure, while the return on assets (ROA) and Tobin's Q model have a statistically significant negative relationship with CSR expenditure, while the market stock price (MSP) had a positive, but not statistically significant. The study also found that there is a positive, statistically significant relationship between CSR expenditures and non-financial performance, which was represented by total deposits and total training expenditures in Jordanian commercial banks. Accordingly, the study recommends encouraging banks to prepare sustainability reports and CSR reports, which are considered comprehensive, and not only with disclosures within the annual reports.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권3호
• /
• pp.61-67
• /
• 2021

The covid-19 pandemic scenario caused the most extensive economic shocks the world has experienced in decades. Maintaining financial performance and economic stability is essential during the pandemic period. In these conditions, where movement is severely restricted, media consumption is considered to be increasing. The social media platform is one of the media online used by the public as a source of information and also expressing their sentiment, including individual investors in the capital market as social media users. Twitter is one of the social media microblogging platforms used by individual investors to share their opinion and get information. This study aims to determine whether microblogging sentiment investors can predict the capital market during pandemics. To analyze microblogging sentiment investors, we classified sentiment using the phyton text mining algorithm and Naïve Bayesian text classification into level positive, negative, and neutral from November 2019 to November 2020. This study was on 68 listed companies on the Indonesia stock exchange. A Vector Autoregression and Impulse Response is applied to capture short and long-term impacts along with a causal relationship. We found that microblogging sentiment investor has a significant impact on stock returns and volatility and vice-versa. Also, the response due to shocks is convergent, and microblogging investors in Indonesia are categorized as a "news-watcher" investor.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권3호
• /
• pp.833-843
• /
• 2021

This research examines the impact of audit quality on the extent to which firm-specific information is integrated with a firm's share price - which is determined inversely using stock price synchronicity. The study sample consists of non-financial companies listed on the Amman Stock Exchange i.e., the Jordanian Stock Market, from 2014-2018. After examining 810 firm-year observations from Jordanian industrial companies listed on the ASE, during the study period, we find that the companies using one of the BIG4 audit firms for auditing have less synchronous and more informative stock prices, suggesting high-quality audit improved governance and reduce information asymmetry between firms' insiders and investors which enhances the capitalization of firm's specific information into the stock price, thus less synchronous and more informative stock return. The findings remain consistent over 2 separate measurements of stock price synchronicity (Market and Industry model and Market Model) and show robustness for fixed effect tests. Our multivariate regression results are also robust after controlling for a number of features at the firm level with potential associations with stock price synchronicity. These include the firm size, leverage, return on assets (ROA), and market to book value (MBV).

• The Journal of Asian Finance, Economics and Business
• /
• 제8권8호
• /
• pp.297-309
• /
• 2021

In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.