• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.361-372
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• 2021

This research aimed to analyze the momentum strategy of foreign investors with the smallest trading transactions in the Indonesian stock market. This study applied a quantitative method approach using intraday transaction data of companies listed on the LQ-45 Index for March, April, and May 2017, obtained from the Indonesia Capital Market Institute (TICMI) which is a subsidiary of the Indonesia Stock Exchange (IDX). The number of companies with available data is 35 companies, consisting of 23 non-government stocks and 12 government stocks. The number of observations from the 35 companies was 8,686,030 observations where the government companies recorded 2,751, 545 and the non-government companies 1,387,016 observations. All data was then squeezed and grouped into small, medium, and large trade transaction orders. The data analysis method used was paired t-test with SPSS to analyze cumulative abnormal returns in the formulation and test periods. This study found that small foreign investors carried out momentum strategies on stocks listed on the LQ-45 Index. However, re-testing was done by separating government and non-government shares. It turned out that small foreign investors performed a momentum strategy on non-government and a contrarian strategy on government.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.1083-1094
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• 2021

This paper explores the effect of IFRS on the financial performance of Iraqi commercial banks. It also investigates the value significance of financial performance statements using the Ohlson model, which has been used for the stock value relevance test in a number of studies. Using a sample of 66 listed banks on the Iraq Stock Exchange over three years of IFRS pre-adoption (2011-2013) and three years of IFRS post-adoption (2016-2018), we find financial performance components EPS and BVS value relevant to the stock returns. The findings also indicate that the implementation of IFRS has a major positive effect on the value relevance of the BVS, while the adoption of IFRS does not have a significant impact on the value relevance of the EPS reported by Iraqi banks. Our results indicate that the market value of the bank rises dramatically with enhanced financial performance reporting. In addition, the implementation of IFRS has a major effect on the financial performance measures and the value relevance of financial reporting in the Iraqi banking sector. This paper adds to previous value relevance literature and IFRS by throwing light on the banking sector in a developing country that has recently moved from applying local accounting standards to IFRS.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.61-67
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• 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
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• v.8 no.3
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• pp.845-853
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• 2021

The stock market shows the current health of an economy, and investment performance represents it. This study aims to clarify the relationship between financial behavior and investment decisions as well as its impact on investment results. Determine the influence of behavioral factors on individual investors' investment decisions and investment performance on the Vietnam stock market. The study surveyed 250 investors. The main analytical methods used are Exploratory Factor Analysis (EFA), Confirmatory Factor Analysis (CFA), and Structural Equation Modeling (SEM). Research results show that Heuristic, Prospect, Market, and Herding directly and positively affect investment decision-making. Besides, the above factors have a direct and positive effect on investment performance. In particular, the Prospect factor has the strongest influence on investment decision-making and investment performance. The major findings of this study suggested that the important role of Heuristic, Prospect, Market, and Herding on Investment Decision-making and Investment Performance. Prospect had the strongest impact on Investment decision-making (β = 0.275). Heuristic had the second strongest impact (β = 0.257), then Herding (β = 0.202), and finally Market (β = 0.189) had the weakest effect. Regarding Investment Performance, the Prospect factor has a higher degree of impact than Heuristic Herding and Market.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.635-646
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• 2021

The objectives of this research are to establish and confirm the human resources competency components for listed companies in the Stock Exchange of Thailand. The sample group used in this research includes the company president, business owner, managing director, assistant managing director, general manager or human resources manager of 140 listed companies. The research instrument is a scale-estimated questionnaire. The obtained data were subjected to principal component analysis and were analyzed for the rotation of the perpendicular component using the Varimax method. Results were generated through the analysis of eight components, consisting of decision-making, creativity, strategic thinking, relationship and communication, teamwork, adaptability, self-management, and motivation. The research results demonstrate important components in human resource performance that are critical to the successful development of organizations. Organizations can apply these components to the development of human resource competencies in accordance with the operations that need to be adjusted to suit the changes that occur. These rapidly-changing conditions are important factors that can be studied and developed into variables and components that affect human resource performance in the future. As a result, organizations need to adjust to be well prepared to face problems and challenges in the harsh competitive environment in the future.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.433-446
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• 2021

This study aims to identify the elasticities and casualties of financial performance and determinants of the mining and extractive companies listed in Jordan's stock market over the 2005-2018 period. The conceptual framework is based on the Resource-Based View theory and Arbitrage Pricing theory is used to describe the relationship between the external environment and the financial performance of the companies. Profitability ratio (return on assets) is utilized as a proxy of financial performance measurement. Meantime, the company's characteristics, macroeconomic variables, and non-economic factors are utilized as independent factors. Data sources are panel data set for mining and extractive companies over the above period. Fully Modified Ordinary Least Square (FMOLS), Dynamic Ordinary Least Squares (DOLS), and Pooled Mean Group (PMG) methods are applied. The empirical findings indicated that company size, sales growth, financial leverage, liquidity, and GDP growth were the critical determinants of mining and extractive companies' financial performance in the Amman Stock Exchange. Thus, the findings conclude that company characteristics and GDP growth mainly drive financial performance. Moreover, the findings reveal that a bidirectional causal elasticity exists between GDP and financial leverage and return on assets (ROA). Sound financial performance can be obtained by paying more attention to GDP growth and firms' characteristics.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.311-324
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• 2021

Investors have increasingly become interested in macroeconomic antecedents in order to better understand the investment environment and estimate the scope of profitable investment in equity markets. This study endeavors to examine the interdependency between the macroeconomic antecedents (international oil price (COP), Domestic gold price (GP), Rupee-dollar exchange rates (ER), Real interest rates (RIR), consumer price indices (CPI)), and the BSE Sensex and Nifty 50 index return. The data is converted into a natural logarithm for keeping it normal as well as for reducing the problem of heteroscedasticity. Monthly time series data from January 1992 to July 2019 is extracted from the Reserve Bank of India database with the application of financial Econometrics. Breusch-Godfrey serial correlation LM test for removal of autocorrelation, Breusch-Pagan-Godfrey test for removal of heteroscedasticity, Cointegration test and VECM test for testing cointegration between macroeconomic factors and market returns,] are employed to fit regression model. The Indian market returns are stable and positive but show intense volatility. When the series is stationary after the first difference, heteroskedasticity and serial correlation are not present. Different forecast accuracy measures point out macroeconomics can forecast future market returns of the Indian stock market. The step-by-step econometric tests show the long-run affiliation among macroeconomic antecedents.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.209-216
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• 2021

This study aim is to examine 1) the impact of corporate social responsibility disclosure and tax aggressiveness on firm value, 2) the impact of tax aggressiveness on firm value, and 3) the impact of corporate social responsibility on firm value. The sample of this study is 29 manufacturing companies listed on the Indonesia Stock Exchange. The period of research spans three years, from 2017 to 2019. The data is gathered from the annual report of the companies or website of companies and also the website from Indonesia Stock Exchange (IDX). This study uses Structural Equation Model with Partial Least Square. The research findings show that corporate social responsibility and tax aggressiveness have a negative and significant impact on firm value. The tax aggressiveness and firm value have a negative and significant impact. Corporate social responsibility has a positive and significant impact on firm value. This study uses the manufacturing sector, so that the findings of this study cannot be generalized to other sectors. Future research should explore other sectors such as mining, banking, etc. This study uses Effective Tax Rate (ETR) to measure tax aggressiveness. Further research should use another measurement, for instance, Current Effective Tax Rate (CETR).

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.179-185
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• 2021

The aim of this study is to examine the impact of board of directors' activity on the audit committee's effectiveness score among manufactured listed companies on Saudi Stock Exchange (Tadawul) for the period 2015-2017. The final sample of this study consists of 195 firm-year observations that represent manufactured companies listed on Saudi Stock Exchange (Tadawul) for the years 2015-2017. The data of this study in terms of board of directors' meetings, audit committee size and meetings, firm leverage, firm performance, and firm age were hand-collected from the annual reports of the considered companies. The Pooled OLS regression's result indicate that audit committee's effectiveness score is influenced by the board of directors' activity. This result gives support to the agency theory prediction. This result is also consistent with the complementary function of corporate governance mechanisms in which board of directors' activity complements the function of audit committee's effectiveness score. The result of this study should be useful for manufacturing companies, Saudi Stock Exchange, auditors, and regulators which relates to the association between board of directors' activity and audit committee's effectiveness score. This study provides a new empirical evidence on the impact of board activity on the audit committee's effectiveness score in an interesting context which is Saudi Arabia.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.1-13
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• 2021

Previous studies have found the significant adverse effects of coronavirus disease 2019 (COVID-19) on stock returns and volatility. The effects varied with the confirmed cases and deaths. However, the extent of the effects have never been measured exactly. This study proposes a measurement model for the COVID-19 effects. In the proposed model, stock returns in the COVID-19 period are weighted averages of pre-COVID-19 normal returns and COVID-19-induced returns. The effects are measured by the contributing weights of the COVID-19-induced returns. Kalman filtering is used to estimate the model for the world and Chinese markets, in combination with 10 markets - five most affected countries (United States, India, Brazil, Russia, and France) and five best recovering countries (Hong Kong, Australia, Singapore, Thailand, and South Korea). The sample returns are daily, obtained from the closing Morgan Stanley global investable market indexes. The full period is from September 24, 2018, to October 30, 2020, whereas the COVID-19 period is from November 18, 2019, to October 30, 2020. The contributing weights are significant and close to 100% for all markets. The COVID-19-induced returns replace the pre-COVID-19 normal returns; they are negatively auto-correlated and highly volatile. The COVID-19-induced returns are new normal returns in the COVID-19 period.