• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.833-843
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• 2021

This research examines the impact of audit quality on the extent to which firm-specific information is integrated with a firm's share price - which is determined inversely using stock price synchronicity. The study sample consists of non-financial companies listed on the Amman Stock Exchange i.e., the Jordanian Stock Market, from 2014-2018. After examining 810 firm-year observations from Jordanian industrial companies listed on the ASE, during the study period, we find that the companies using one of the BIG4 audit firms for auditing have less synchronous and more informative stock prices, suggesting high-quality audit improved governance and reduce information asymmetry between firms' insiders and investors which enhances the capitalization of firm's specific information into the stock price, thus less synchronous and more informative stock return. The findings remain consistent over 2 separate measurements of stock price synchronicity (Market and Industry model and Market Model) and show robustness for fixed effect tests. Our multivariate regression results are also robust after controlling for a number of features at the firm level with potential associations with stock price synchronicity. These include the firm size, leverage, return on assets (ROA), and market to book value (MBV).

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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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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• 제7권7호
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• pp.139-147
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• 2020

This paper aims to explore the relationship between the quality of the audit and the level of stock return co-movement in the context of the Vietnamese emerging market. The empirical study is designed based on the quatitative method and deductive approach. The panel dataset includes 256 listed firms from different industries,with 1115 firm-year observations on Ho Chi Minh City Stock Exchange for the period from 2014 to 2018. In the research, we built the econometric regression model, using stock return synchronicity and audit quality as the dependent and independent variable, respectively. Some control variables are also added to the econometric regression models as they are well-documented in prior research to have an effect on stock price synchronicity. To improve the accuracy of the regression coefficients, beside the Ordinary Least Squares, we employ the Random Effects Model and the Fixed Effects Model for better statistical analysis of panel data set. The results show that the quality of the audit is positively correlated to stock price synchronicity. This finding suggests that stock returns of companies with higher quality of the audit are more synchronous with the market. Results for other control variables also support our reasoning for the main findings.

• 한국전자거래학회지
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• 제25권4호
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• pp.125-141
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• 2020

최근의 연구들에서는 투자자들의 관심이나 감정이 주식 거래행태와 주가 변동에 미치는 영향에 대한 분석들이 증가하고 있다. 본 연구에서는 투자자들의 관심과 감정을 측정하기 위해 한국의 네이버 검색지수를 이용하여, 포털 검색량과 검색의 변동성이 주가동조성 및 총위험, 체계적 위험에 미치는 영향을 분석하였다. 먼저 평균적인 검색량이 증가할수록 주가동조성은 증가하는 반면, 검색의 변동성은 주가동조성을 감소시키는 것을 관찰하였다. 다음으로 평균 검색량과 검색의 변동성은 모두 주식의 총위험과 체계적 위험을 증가시키는 것으로 나타났다. 이러한 결과는 주가를 변동시키는 사건이 발생할 경우에만 개인투자자들의 검색이 증가하기 때문인 것으로 해석된다. 이러한 결과는 포트폴리오 분석, 고정효과 회귀분석 및 동적 패널 모형에서 일관되게 관찰된다.