• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.7-14
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• 2021

This paper examines the impact of foreign ownership on stock price volatility in an emerging market, namely, Thailand. The data were obtained from SETSMART, the database of the Stock Exchange of Thailand (SET). After removing financial firms, banks, and insurance companies as well as filtering outliers, the final sample covers 1,755 firm-year observations from 371 nonfinancial firms listed on the SET over the five-year period from 2014 to 2018. The regression model consists of stock price volatility, measured by two methods, as the dependent variable, foreign ownership as the main independent variable, and firm characteristics including firm size, leverage, market-to book ratio, and stock turnover as the control variables. The pooled OLS, fixed effects, and random effects estimations are employed to examine the relationship between foreign ownership and stock price volatility. The results reveal that foreign ownership has a negative and significant impact on stock price volatility. The two-stage least squares (2SLS) are also performed to address potential endogeneity problem. The results still indicate a negative relationship between foreign ownership and stock price volatility. Taken together, the findings of this study suggest that foreign investors help reduce stock price volatility and thus stabilize share price in the Thai stock market.

• Journal of Korean Institute of Industrial Engineers
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• v.3 no.2
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• pp.41-55
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• 1977

The physical distribution system is composed of all the activities associated with getting products from the factory to the consumer through the firm's channels of distribution. An increasing amount of attention has been recently devoted to the component problems associated with distribution system analysis. This paper analyzes effect of system parameters which are safety factor of depot's stock, limitation of direct supply from shop stock to customer and ordering quantity on the physical distribution cost and the evaluated items by the Simulation. The distribution system simulator views system as being composed of three structural entities, presents a case study of a Chemical manufactures and carried on one year computer running.

• The Journal of Asian Finance, Economics and Business
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• v.3 no.3
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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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• v.7 no.9
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• pp.117-123
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• 2020

The objective of this study is to examine whether the four-factor model explains variation in the expected return of stocks on the Stock Exchange of Thailand. The study used individual monthly data for all stock with continuous trading on the Stock Exchange of Thailand. The study used sample data of 429 listed stocks to construct 8 portfolios bases on the industries. In this study, subject to market factors such as size, the book-to-market ratio, the market beta, and stock liquidity are taken into account. The Empirical analysis reveals that not all of the variables included in the four-factor asset pricing model are statistically significant to do affect the formation of the rate of return on stocks calculated on a monthly basis. The result shows that market beta, stock liquidity, and the book-to-market ratio has a significant increase in the rate of return on shares listed on the Consumer Products. It is therefore apparent that at least in respect of monthly analysis, the predictions of bass models in the field of modern finance theory systematic risk measured by the beta coefficient did play a significantly important role in the formation of the rate of return on the Stock Exchange of Thailand.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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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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• v.7 no.11
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• pp.107-115
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• 2020

This study is concerned with the relationship between firm's ownership structure and the co-movement of the stock return with the market return. Four different types of firm ownership, including managerial ownership, state ownership, foreign ownership, and concentrated ownership, are among the main features of the company's governance mechanism and have been separately documemented in the previous research to understand their impact on stock price synchronicity. We constructed the regression model, using stock price synchronicity as the dependent variable and the above four components of ownership structure as explanantory variables. The pooled OLS, the fixed effects model, and the random effects are employed to investigate the outcome of the study. Data used in the reserch are of public firms listed on the Ho Chi Minh City Stock Exchange (HOSE) during the five-year period term from 2015 to 2019. The data sample contains 235 companies from 10 industries with 1135 observations. The results revealed by the fixed effects model, the large ownership and the managerial ownership are found to have adverse effect on the stock price synchronicity, whereas the foreign ownership model is revealed to have positive influence on the stock return co-movement. The effect of the state ownership on the stock price synchronicity is not confirmed.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.143-154
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• 2021

This study aims to explore the dynamic conditional correlation (DCC) between ten Asian stock indexes, the US stock index, and Bitcoin by using the dynamic conditional correlation model. The time span of the daily data is between January 2015 to May 2021, the total observation is 1,116. DCC(1,1)-EGARCH(1,1) with multivariate t and normal distributions for the DCC and EGARCH models, respectively, outperforms other models by the goodness of fit values. Except for Bitcoin, we discovered that the majority of the securities' volatilities have a very high volatility persistence. Furthermore, the negative shocks/news have more impact on the volatilities than positive shocks/news in most of the cases, except the stock index of China and Bitcoin. Most of the correlation pairs exhibit higher correlation during the COVID-19 pandemic compared to the pre-COVID-19, except Hong Kong-The US and Malaysia-Indonesia. Moreover, the correlation between Asian stock indexes during the COVID-19 pandemic is statistically higher than the pre-COVID-19 pandemic. However, there are a few instances where the Hong Kong stock index and a few countries are identical. The result of correlation size shows the connectedness between Asian stock markets, which are well-connected within the region, especially with South Korea, Singapore, and Hong Kong.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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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.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.77-88
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• 2021

The stock markets in the BRICS (Brazil, Russia, India, China and South Africa) countries are the leading emerging markets globally. Therefore, it is pertinent to ascertain the critical drivers of stock market development in these economies. The currrent study empirically investigates to identify the linkages between stock market development, key macro-economic factors and institutional factors in the BRICS economies. The study covers the time period from 2000 to 2017. The dependent variable is the country's stock market development and the independent variables consist of six macroeconomic variables and five institutional variables. The study employs a panel cointegration test, Fully Modified OLS (FMOLS), a Pooled Mean Group (PMG) approach and a heterogeneous panel non-causality test.The findings of the study indicate co-integration among the selected variables across the BRICS stock markets. Long-run estimations reveal that five macroeconomic variables and four variables related to institutional quality are positive and statistically significant. Further, short-run causalities between stock market capitalization and selected variables are detected through the test of non-causality in a heterogeneous panel setting. The findings suggest that policymakers in the BRICS countries should enhance robust macroeconomic conditions to support their financial markets and should strengthen the institutional quality drivers to stimulate the pace of stock market development in their countries.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.399-407
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• 2021

Stock movement is difficult to predict because it has dynamic characteristics and is influenced by many factors. Even so, there are some approaches to predict stock price movements, namely technical analysis, fundamental analysis, and sentiment analysis. Many researches have tried to predict stock price movement by utilizing these analysis techniques. However, the results obtained are varied and inconsistent depending on the variables and object used. This is because stock price movement is influenced by a variety of factors, and it is likely that those studies did not cover all of them. One of which is that no research considers the use of fundamental analysis in terms of currency exchange rates and the use of foreign stock price index movement related to the technical analysis. This research aims to predict stock price movements in Indonesia based on sentiment analysis, technical analysis, and fundamental analysis using Support Vector Machine. The result obtained has a prediction accuracy rate of 65,33% on an average. The inclusion of currency exchange rate and foreign stock price index movement as a predictor in this research which can increase average prediction accuracy rate by 11.78% compared to the prediction without using these two variables which only results in average prediction accuracy rate of 53.55%.