• Journal of East Asia Management
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• 제3권1호
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• pp.41-55
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• 2022

This study investigates whether foreign investors' behavior is involved in firm-specific investor sentiment. Because the mixed role of foreign investors on investor sentiment formation seems to exist in the Korean stock market, it needs to examine the moderate or incremental effect of foreign investors on the stock price crash risk which is due to investor sentiment. The analysis results using Korea Stock Exchanges - listed firms for the period of 2011-2019 show the increased future stock price crash risk which is attributable to high investor sentiment is mitigated for firms with the high foreign ownership, indicating the moderate effect. This study expands the literature on the foreign investors' behavior in the Korean stock market, by showing foreign investors are not involved in firm-specific investor sentiment, which improves market's efficiency in the Korean stock market. Also, the paper is valuable to the academic and practice field in that the findings shed light on the foreign investors' mitigating role in stock price crashes in the behavioral finance perspective.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.265-275
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• 2021

This study's motivation is to investigate the association between the stock market, remittance, and the pandemic of COVID-19 for the period from March 3, 2020, to December 14, 2020. For evaluating the impact of COVID-19 and remittances on stock market behaviour during the pandemic, the study applies Autoregressive Distributed lagged (ARDL) for magnitudes estimation and directional association through the Toda-Yamamoto causality test. Study findings from ARDL estimation revealed that COVID-19 measured by detecting new cases negatively influences the stock market both in the long-term and short-term. Remittance positively influences the stock market behaviour, particularly in the long-term. Furthermore, the directional causality test disclosed unidirectional causal effects between COVID-19 and the stock market behaviour, which establishes all proxy measures for the equation's stock market. The hypothesis results explain the causal relationship between remittance inflows and the stock market in Bangladesh. The study's application will help policymakers rethink the policies for channelizing remittances for productive investment areas. Furthermore, the study's findings will reinstate the widely perceived notions, which is the critical role of remittance in the economy even though the economy passes through a great pandemic.

• Management Science and Financial Engineering
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• 제21권1호
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• pp.31-39
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• 2015

Financial integration is a phenomenon in which global financial markets are closely connected with each other. This article investigates the integration of Korean stock market with other stock markets using a multivariate GARCH analysis. We chose total seven countries including Korea for this paper based on the amount of export and then we chose major stock indices which can be thought as representative stock markets of those countries. The empirical analysis has shown that countries' financial integration.

• Journal of the Korean Data and Information Science Society
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• 제21권6호
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• pp.1337-1341
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• 2010

The paper investigates linkages between the Korea stock market and each of the major Asia-Pacific stock markets, namely those of the Japan, China, Australia, New-Zealand, We employs the Johansen technique to test for pairwise cointergration between the Korea stock market and each of the major Asia-Pacific stock markets. The major stock indices of the markets are used, from 1 September 2006 to 31 August 2010. The results from the test implies that the Korea market is not cointergrated with any of the major Asia-Pacific markets during the period. Our study implies that there are no long-run linkages between the Korea and any of the major Asia-Pacific stock markets.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.185-195
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• 2020

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories - the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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• pp.17-26
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• 2016

This study investigates daily stock market anomalies in Chinese stock market, using nine most representative stock indices over an eleven year time period spanning from pre-financial crisis era to six years into the financial crisis. This research is the first to test the presence of the day of the week effect on stock returns in the Chinese stock exchanges during the financial crisis. We find that the day of week effects have been strongly significant in Chinese stock exchanges since 2004. However, unlike the previously found negative Monday effect and positive Friday effect in the U.S., Chinese stock market shows positive returns on Mondays and negative returns on Tuesdays. More importantly, the negative Tuesday effect is only significant after the inception of financial crisis. The results indicate a positive effect on Mondays and a negative effect on Thursdays. More importantly, we find a negative Tuesday effect during the financial crisis, which suggests a spillover of the Monday effect from the U.S. stock market. Our results shed some light on the degree of market efficiency in the largest emerging capital market in the world, and its increasingly close relationship with the U.S. capital market.

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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• pp.57-65
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• 2016

The purpose of this paper is to investigate the volatility of both Islamic and conventional stock market in Indonesia with the aim of identifying the most appropriate model for risk management practice. The study considers GARCH as a genre of model to measure the volatility of stock market movement. The results support the view that each model shows specific volatility from both Islamic and conventional stock market in Indonesia. In Islamic stock market, volatility is affected by exchange rate and money supply (M1) but not interest rate as interest is prohibited in Islam. However, interest rate is found as a principal factor that affects volatility of conventional stock market. The outcomes of this paper are of particular significance to policy makers, as it provides guidelines to maintain economic health. Furthermore, the findings may assist practitioners to understand the consequences of macroeconomic factors such as exchange rate, money supply and interest rate, which are very crucial for the market stability of Indonesian stock market. The paper enhances the understanding of stock market volatility and proposes guidelines risk management practices.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.913-921
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• 2021

The objective of the study is to investigate the impact of the COVID-19 pandemic on Saudi Arabia stock market. The study relied on the data of the daily closing stock market price index Tadawul All Share Index (TASI), and the number of daily cases infected with COVID-19 during the period from March 15, 2020, to August 10, 2020. The study employs the Vector Auto-Regressive (VAR) model, the Impulse Response Function (IRF) and Autoregressive Conditional Heteroscedasticity (ARCH) models. The results of the correlation matrix and the Impulse Response Function (IRF) show that stock market returns responded negatively to the growth in COVID-19 infected cases during the pandemic. The results of ARCH model confirmed the negative impact of COVID-19 pandemic on KSA stock market returns. The results also showed that the negative market reaction was strong during the early days of the COVID-19 pandemic. The study concluded that stock market in KSA responded quickly to the COVID-19 pandemic; the response varies over time according to the stage of the pandemic. However, the Saudi government's response time and size of the stimulus package have played an important role in alleviating the impacts of the COVID-19 pandemic on Saudi Arabia Stock Market.

• 아태비즈니스연구
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• 제13권4호
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• pp.45-59
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• 2022

Purpose - This study investigates the performance of investment strategies incorporating estimated stock market cycle based on a lead-lag relationship between business cycle and stock market cycle, thereby deriving empirical implications on risk management. Design/methodology/approach - The data period ranges from June 1953 to September 2022 and de-trended short rate, term spread, credit spread, stock market volatility are considered as major input variables to estimate business cycle and stock market cycle by applying probit model. Based on the estimated stock market cycle, two types of strategies are constructed and their performance relative to the benchmark is empirically examined. Findings Two types of strategies based on stock market cycle are considered: The first strategy is to long(short) on stocks when stock market stage is expected to be an expansion(a recession), and the second one is to long on stocks(bonds) when expecting an expansion(a recession). The empirical results show that the strategies based on stock market cycle outperforms a simple buy and hold strategy in both in-sample and out-of-sample investigation. Also the out-of-sample evidence suggests that the second strategy which is in line with asset allocation is more profitable than the first one. Research implications or Originality The strategies considered in this study are based on the estimated stock market cycle which only depends on a few easily available financial variables, thereby making easier to establish such a strategy. It implies that investors enhance investment performance by constructing a relatively simple trading strategies if they set their position on stocks or choose which asset class to buy conditioning on stock market cycle.

• 한국콘텐츠학회논문지
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• 제13권11호
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• pp.48-58
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• 2013

주식시장은 시간에 따라 계속 변하고 특별한 이유 없이 주가가 급등하거나 급락하는 사건들이 발생하기도 한다. 이런 이유로 주식시장은 복잡계로 인식되고 있으며 주가 변동을 예측하는 것은 어려운 일이다. 이 논문에서는 주식시장을 개별 주식들의 네트워크로 이해하고 시간에 따라 변하는 한국 주식시장 네트워크를 분석하였다. 코스피200 지수를 구성하는 137개 회사의 주식들을 대상으로 주식 사이의 상관관계를 측정한 결과 주식 간 상관관계가 매우 높을 때 주가가 급락하는 경향이 있는 것으로 나타났다. 또한, 우리는 이러한 네트워크 분석 결과를 바탕으로 주식 포트폴리오를 구성하는 방법을 제안한다. 제안 방법으로 구성된 포트폴리오의 효율성을 보이기 위해 실제 주식들을 대상으로 모의 투자 실험을 수행하였고, 마코위츠의 효율적 포트폴리오 구성 알고리즘을 이용해 구성한 포트폴리오의 수익률과 비교하였다. 실험 결과 제안 방법으로 구성된 포트폴리오는 평균적으로 약 10.6%의 수익률을 보였으며, 같은 기간 마코위츠의 효율적 포트폴리오의 수익률보다 약 3.7% 높으며, 코스피200 수익률보다 약 5.6% 정도 높게 나타났다.