• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.465-471
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• 2021

The study investigates the dynamic correlation of cryptocurrencies and equity in Vietnam and tests the safe-haven property of them from the perspective of the stock market in Vietnam during the pandemic crisis by applying the dynamic conditional correlation (DCC) GARCH model and regression with a dummy variable, respectively. This study employs time series data on the daily dataset from September 2014 to September 2021 with the focus on the two most popular cryptocurrencies - Bitcoin and Litecoin. The results show that the dynamic conditional correlations between cryptocurrencies and equity in Vietnam increased during the pandemic, however, in most periods, positive dynamic correlations often dominate. Besides, the regression results also indicate that Bitcoin and Litecoin act as weak safe-haven investments for stocks in Vietnam during the COVID-19 turmoil. They are more suitable for diversification purposes although the dynamic correlations between them and the stock index in Vietnam vary stronger during the pandemic crisis than before. The findings of this study suggest that in the period of pandemic crisis, cryptocurrencies are not concerned as effective safe-haven assets for stock in Vietnam. Instead, cryptocurrencies are only playing a potential role in diversification benefit in this economy.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.233-239
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• 2021

The objective of this study is to find out the factors affecting the employees' loyalty in private joint-stock commercial banks in Mekong Delta, Vietnam. Then, possible solutions can be proposed, which can be implemented to improve employees' engagement in private joint-stock commercial banks in Mekong Delta, Vietnam, in the future. The author conducted a survey of 300 employees at 6 private joint-stock commercial banks in 6 provinces in Mekong Delta: An Giang, Tra Vinh, Can Tho, Ben Tre, Soc Trang, and Tien Giang. The author also used the Cronbach Alpha reliability analysis method, exploratory factor analysis (EFA), and multivariate regression analysis. The results show the degree of influence of factors on employees' loyalty - according to decreasing importance: Income, Job characteristics, Working environment, Colleagues, Leadership. The authors propose some solutions based on the research findings, including focusing on assigning the right employees to the right jobs, creating a competitive and fair working environment, focusing on a reasonable income policy, and transparency in working relationships to help bank managers in the Mekong Delta, Vietnam improve human resource management to improve employee loyalty to private joint-stock commercial banks in Vietnam.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.707-715
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• 2021

This article examines the potential impact of the Covid-19 Lockdown on earnings manipulation and stock market sensitivity to earnings announcements. It also explores the effects of earnings manipulation after the COVID-19 outbreak on the share price sensitivity to the earnings disclosures. The study uses a quantitative method to analyze the financial data consisting of 87 firms listed on the Iraq Stock Exchange for the period from 2018 to 2020, which constitutes a total of (174 observations). We used Ohlson (1995) model to estimate financial market reaction and sensitivity to earnings manipulation fluctuations and accounting information. The results show that companies practice earnings manipulation to maintain earnings over a time series, which means a negative impact of earnings manipulation on all earnings measures' value relevance (EPS, BVS, and CFS). Accordingly, earnings manipulation negatively influences investor behavior in the financial market, based mainly on financial reporting. The value relevance of financial reports has also decreased because of the COVID-19 outbreak and related economic Lockdown. These results reflect a long-term adverse impact of earnings manipulation on investor behavior and financial statements reliability.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.623-635
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• 2021

The purpose of this research is to examine the impact of information risk on the Cost of Equity (COE) and whether the risk of a stock price crash mediates the relation between information risk and COE. To test the dynamic nature of the proposed model, the two-step system GMM dynamic panel estimators are applied to all the non-financial firms listed on the Pakistan Stock Exchange (PSX) from 2007- 2018. The results of this study show that all three types of information risk, as well as the risk of the share price crash, increases the COE. The crash risk strengthens the impact of information risk on the COE. Moreover, these three information risks are correlated with each other and an increase in information quality reduces the effect of asymmetric information and improves the investor interpreting ability, while an increase in private information decreases the transparency. The finding is crucial for asset pricing, portfolio management, and information disclosure. This study contributes to the literature by providing novel findings on the impact of three different types of information risk, i.e. private information, quality of information, and transparency of information on the COE as well as whether crash risk mediates the relationship.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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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.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.675-685
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• 2021

The purpose of this study is to examine the reaction of stock prices on the implementation of Extensible Business Reporting Language (XBRL) in companies listed on the Indonesia Stock Exchange (IDX). Using the event study method and calculating abnormal returns of the 2015 financial statements of 462 companies listed on the IDX, findings showed that 49 companies have not applied the XBRL format in their financial statements. Based on the results of the Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) values, using the one-sample test, investors react to shares in companies that have not implemented XBRL and who have implemented XBRL; however, based on the independent t-test based on average values there are differences between companies that have not applied XBRL and those who have implemented XBRL. This research only looks at the one-year implementation of XBRL in financial reporting (2015), then the research does not separate which companies are on time in the delivery of financial statements to the public through the IDX website. Our research contributes to the understanding of the use of XBRL in corporate financial reporting because before the XBRL financial reporting format was published, the company had published a financial statement format based on the legal provisions of financial statements in Indonesia.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.711-724
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• 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
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• v.8 no.4
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• pp.857-861
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• 2021

The study aims to find the asymmetric effect in National Stock Exchange in which the Nifty50 is considered as proxy for NSE. A return can be stated as the change in value of a security over a certain time period. Volatility is the rate of change in security value. It is an arithmetical assessment of the dispersion of yields of security prices. Stock prices are extremely unpredictable and make the investment in equities risky. Predicting volatility and modeling are the most profuse areas to explore. The current study describes the association between two variables, namely, stock yields and volatility in equity market in India. The volatility is measured by employing asymmetric GARCH technique, i.e., the EGARCH (1,1) tool, which was used in building the study. The closing prices of Nifty on day-to-day basis were used for analysis from the period 2011 to 2020 with 2,478 observations in the study. The model arrests the lopsided volatility during the mentioned period. The outcome of asymmetric GARCH model revealed the subsistence of leverage effect in the index and confirms the impact of conditional variance as well. Furthermore, the EGARCH technique was evidenced to be apt in seizure of unsymmetrical volatility.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.741-749
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• 2021

The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.383-391
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• 2021

This study examines the connectedness between the number of COVID-19 cases in Thailand and trading value among investors in the Stock Exchange of Thailand. Daily data of COVID-19 cases and trading value were sourced from the Thailand ministry of public health and the Stock Exchange of Thailand, from January 12, 2020 to May 11, 2021. This study applies a multiple linear regression analysis to explain the relationship between variables. Empirical evidence clearly shows that the volatility of trading value was affected by COVID-19's new, confirmed, and deaths cases within the first pandemic period more than during the second pandemic period. Nevertheless, during the third pandemic period there is no evidence that the new, confirmed, and deaths cases significantly influenced trading value. Furthermore, the results show that COVID-19's new and deaths cases have a negative coefficient that indicated the trading value-buy/sell decreased in response to COVID-19's new and deaths cases, whereas the confirmed COVID-19 cases have a positive coefficient that indicated the trading value-buy/sell increased in response to COVID's confirmed cases. In summary, this study suggests that the number of COVID-19 cases have a significant impact on the trading value in the short term more than in the intermediate and long term.