• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.285-294
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• 2021

The most basic forces of stock market are supply and demand, which increases or decreases on the basis of information. The crucial point is that investor's perception is depending on the availability of information at a particular time. But it is very difficult to understand what they take from a piece of information, and the decision varies from person to person; hence, it is important to understand the behavior of investors in the stock market. In this context, this study is focusing on behavioral investor-type diagnosis testing among financial market players (FMPs) in Oman. The study conducted a review of behavioral types among stock market investors, and attempted to assess the influence of age and gender factors on investor bias. It classifies investor type biases according to the gender and age of respondents. This study employs primary data with a structured questionnaire distributed to an equal number of male and female stock market investors in Muscat Securities Market. The study used sample t-test, one-way ANOVA, CATPCA and ALSCAL to identify the significant difference among age, gender and experience of the respondents. The present study found that all of the investors are influenced by different cognitive biases and, moreover, it depends on investor's gender.

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

• Asian Journal of Innovation and Policy
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• 제4권1호
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• pp.35-54
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• 2015

The purpose of this study is to compare the valuation of technology firms in the KOSPI and KOSDAQ. This study analyzed 224 market reports for KOSDAQ firms and 602 reports for KOSPI firms. We compare the two markets under 3 definitions on the accuracy of stock price forecasting. Findings are as follows: Although PER multiples is the most used method of valuation, KOSDAQ valuation more heavily relies on the method than KOSPI valuation. In stock market, the period of earnings forecasting is mostly 2-3 years. Multiples of KOSDAQ is generally higher than those of KOSPI. Even for technology firms, valuation in KOSPI mostly relies on earnings of the company, but that in KOSDAQ mostly relies on relative price. In stock price forecasting, generally overestimation prevails. Moreover, forecasting of KOSPI reports is more accurate than that of KOSDAQ reports. ROE and COE of KOSDAQ firms are generally higher than those of KOSPI firms.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.41-49
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• 2020

This study investigates the short-run and long-run causal behavior of the Philippine stock market index volatility under vector error correction environment. The variables were tested first for stationarity and then long-run equilibrium relationship. Moreover, an impulse response function was estimated to examine the extent of innovations in the independent variables in explaining the Philippine stock market index volatility. The results reveal that the volatility of the Philippine stock market index exhibit long-run equilibrium relationship with Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices. The short-run dynamics-based VECM estimates indicate that in the short-run, increases (i.e., depreciation) in Peso-Dollar exchange rate cause PSEI volatility to increase. As for the London Interbank Offered Rate, it causes increases in PSEI volatility in the short-run. The adjustment coefficients used with the long-run dynamics validates the presence of unidirectional causal long-run relationship from Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices to PSEI volatility, and bidirectional causal long-run relationship between PSEI volatility and London Interbank Offered Rate. The impulse response functions developed within the VECM framework demonstrate the positive and negative reactions of PSEI volatility to unanticipated Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil price shocks.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.697-710
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• 2021

The purpose of this study is to explore the reaction of sharia stock in the Indonesian capital market to the global Covid-19 pandemic. The method used in this study is an event study with a Market Adjusted Model (MAM) approach. The population of this study is shares listed on the Indonesian Stock Exchange (IDX), with the sample chosen from the Jakarta Sharia (Islamic) Index. The result of this study found that the global Covid-19 pandemic is bad news, with the indicators as follows: a) the average expected return is negative; b) the average actual return is negative; c) the average abnormal return is negative, and d) the increase selling action of stock as a cut loss strategy. There is a negative abnormal return and significant Trading Volume Activity (TVA) before, during, and after the announcement of the global Covid-19 pandemic. However, this study found no difference in abnormal return and TVA before and after the announcement of the global Covid-19 pandemic. From these results, this study indicates that the sharia stocks in the capital market in Indonesia can respond quickly to the information that existed. Therefore, the capital market of Indonesia is a capital market with a semi-strong efficient form.

• 융합경영연구
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• 제7권2호
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• pp.1-5
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• 2019

Purpose - Along with the rise of foreign investments in the Korean stock market, there has been a variety of studies on their influence. The conflicting findings on the question of information asymmetry of foreign investors among existing literatures appear to be a result of mixture of research method problems, what information is defined as being comparable, individual business levels, or the entire stock market. This paper empirically investigates what factors contribute to foreign investments in firms in the Korean stock market. Research design, data, and Methodology - Samples are constructed by manufacturing firms listed on the stock market of Korea as well as those who settle accounts in December from 2001 to 2018. Financial institutions are excluded from the sample as their accounting procedures, governance and regulations differ. This study adopted the panel regression model to assess the sample construction including yearly and cross-sectional data. Result - This paper find that firms' R&D, dividends, size give significant positive impact to foreign investment, whereas debt gives significant negative impact to foreign investment. This relationship does not change when the samples are divided before and after the 2008 global financial crisis. Conclusion - This results support the literatures that foreign investors favor firms lowering their information asymmetry.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.683-692
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• 2020

The primary purpose of the study is to investigate the volatility spillovers from global economic policy uncertainty and macroeconomic factors to the Islamic stock market returns. The study focuses on the Islamic stock indices of emerging economies including Indonesia, Malaysia, and Turkey. The Macroeconomic factors are industrial production, consumer price index, exchange rate. EGARCH model is employed for investigation of volatility spillovers. The results show that the global economic policy uncertainty has a significant spillover effect only on the returns of Turkish Islamic stock index. Similarly, the shocks in macroeconomic factors have little influence on the volatility of Islamic indices returns. The volatility of Indonesian and the Turkish Islamic stock indices returns is not influenced from the fluctuations in macroeconomic factors. However, there is significant volatility spillover only from industrial production to the returns of Malaysian Islamic index. The results suggest that the Islamic stock markets are less likely to influence from the global economic policies and macroeconomic factors. The stability of Islamic stocks provide opportunity for diversification of portfolios, particularly in stressed market conditions. The major price factors of Islamic markets could be firms' specific factors or investors' behaviors. The findings are helpful for policy makers and investors in formulating policies and portfolios.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.1-7
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• 2021

The study examines the influence of COVID-19 on the stock market returns of Saudi Arabia. The data was analyzed through event study methodology using daily price data of Tadawul All Share Index (TASI). The study examines the behavior pattern of the Saudi Arabian stock market in different phases during the event period by selecting six-event windows with a range of 10 days. The results report a negative Abnormal Return (AR) of -0.003 on the event date, while the abnormal returns reversed the next day to 0.005 positively. The result of Cumulative Abnormal Return (CAR) is negative and significant at the 1 percent level in all the six-event windows starting from the event date to day 59 after the event for the TASI index. Even though the influence of the COVID-19 pandemic decreased after 30 days of the event date, it increased during the last ten days of the event window. The stock market volatility of Saudi Arabia increased during the post-event period compared to the pre-event period with a negative mean return of -0.326 and a greater standard deviation. In a conclusion, the study found a significant influence of the COVID-19 pandemic on the stock market returns of TASI.

• 한국지능정보시스템학회:학술대회논문집
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• 한국지능정보시스템학회 2003년도 춘계학술대회
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• pp.329-337
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• 2003

Stock market prediction is regarded as a challenging task of financial time-series prediction. There have been many studies using artificial neural networks in this area. Recently, support vector machines (SVMs) are regarded as promising methods for the prediction of financial time-series because they me a risk function consisting the empirical ewer and a regularized term which is derived from the structural risk minimization principle. In this study, I apply SVM to predicting the Korea Composite Stock Price Index (KOSPI). In addition, this study examines the feasibility of applying SVM in financial forecasting by comparing it with back-propagation neural networks and case-based reasoning. The experimental results show that SVM provides a promising alternative to stock market prediction.

• 재무관리연구
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• 제23권2호
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• pp.1-25
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• 2006

본 논문에서는 1980년부터 2003년까지 한국 증권시장을 대상으로 과거 주식수익률과 변동성을 이용한 반대투자전략의 초과수익을 분석하였다. 즉 과거 주식수익률을 이용한 투자전략의 초과수익에 시장변동성이나 개별기업의 변동성이 영향을 미치는지 검증하고자 하였다. 우선 한국 증권시장을 6년 단위의 하위 포트폴리로 구분하여 과거 주식수익률을 이용한 반대투자전략의 초과수익을 측정하였다. 그 결과 시장변동성이 가장 작은 기간이었던 1980년${\sim}$1986년까지의 표본기간에서는 계속투자전략이 유의한 투자전략으로 나타났으나 그 외의 기간에서는 반대투자전략이 유의한 투자전략으로 나타났다. 따라서 시장변동성 뿐 아니라 개별기업의 변동성 역시 과거 주식수익률을 이용한 투자전략의 초과수익에 영향을 미치는지 확인하였다. 개별기업의 변동성을 하나의 지표로 포트폴리오를 구성하여 과거 주식수익률을 이용한 투자전략의 초과수익을 확인한 결과 과거 개별기업의 변동성이 작았던 포트폴리오에서는 계속투자전략이 유의한 투자 전략으로 나타난데 비해서 과거 개별기업의 변동성이 큰 포트폴리오에서는 유의한 계속투자전략의 초과수익을 확인할 수 없었다. 따라서 과거 주식수익률 뿐 아니라 변동성까지 고려하여 투자전략을 구성하는 것이 보다 높은 양(+)의 초과수익을 얻는 방법이라고 할 수 있다.