• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.63-74
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• 2020

This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is abnormal, what strategy is followed, whether herd behavior is present, and whether the actions destabilize the market. Foreign investors' trading behavior is measured by net buying volume divided by market capitalization, whereas the stock market behavior is measured by logged return on the SET index portfolio. The data are daily from Tuesday, August 28, 2018, to Monday, May 18, 2020. The study extends the conditional-regression model in an event-study framework and extracts the unobserved abnormal trading behavior using the Kalman filtering technique. It then applies vector autoregressions and impulse responses to test for the investors' chosen strategy, herd behavior, and market destabilization. The results show that foreign investors' abnormal trading volume is negative and significant. An analysis of the abnormal trading volume with stock returns reveals that foreign investors are not positive-feedback investors, but rather, they self-herd. Although foreign investors' abnormal trading does not destabilize the market, it induces stock-return volatility of a similar size to normal trade. The methodology is new; the findings are useful for researchers, local authorities, and investors.

• 아태비즈니스연구
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• 제11권4호
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• pp.317-332
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• 2020

Purpose - This study examines the information effect and trading behavior of investors for the 430 stock split data from January 2004 to June 2018 in the Korean stock market. Design/methodology/approach - The stock split samples are classified into two groups by split ratio as well as three groups by price level prior to split. We also investigate the trading behavior of investors categorized by institutional versus individual investors. Findings - First, we find a significantly positive information effect on the announcement day. In particular, the information effect is more distinct in the group of larger split ratio and higher price level of stocks. Second, we find a huge increase in turnover following the stock splits, which mainly results from the trading by individual investors. Also, the increase in turnover by individual investors is evident in the group of larger split ratio and higher price level of stocks. Third, the stock splits have a negative impact on the long-term stock performance. The negative buy-and-hold abnormal return(BHAR) makes no difference in the groups by split ratio as well as price level of stocks. Lastly, we find individual investors tend to buy splitted stocks, which exhibit the long-term under-performance. Research implications or Originality - The results in this paper suggest that the liquidity hypothesis is not supported in the Korean stock splits. In addition, we observe that individual investors are exposed to losses due to their unfavorable trading behavior following the stock split.

• The Journal of Asian Finance, Economics and Business
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• 제9권9호
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• pp.9-24
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• 2022

With a view to attracting foreign investment and growing the economy, the Vietnamese government has hastened financial reforms, including the lifting of limitations on foreign investment, which has resulted in rapidly rising foreign ownership in recent years. To study the relationship between transactions of foreign investors and transactions of domestic investors on two stock exchanges in Vietnam Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX). This study applies a secondary dataset comprising daily market trading information of 912 stocks from 18 industries listed on 2 Vietnam stock exchanges, including HSX and HNX, which includes executed price, executed volume, daily Buy Orders, and Sell Orders categorized into domestic investors' orders and foreign investors orders from 01.04.2010 to 10.04.2018. The regression results show a significantly positive relationship between foreign investors' trading and domestic investors' transaction in all trading activities in both up and down markets. Therefore, these results indicate that domestic investors in Vietnam are concerned with foreign investors' trading as an important sign, and domestic investors tend to follow their counterparties without appropriate fundamental information. From there, there are signs of herding behavior of domestic investors following foreign investors in transactions on the stock market in Vietnam.

• 재무관리논총
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• 제3권1호
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• pp.179-211
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• 1996

This study examines whether trading mechanisms or market microstructures of markets have an effect on the integration issue of the international equity market. If the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of return. If different market microstructures, or trading mechanisms cause differences in characteristics of stock price behavior, those can lead to different rates of return because of different liquidity risk for the same stocks between markets. This study proposes international asset pricing with liquidity risk related to trading mechanisms. Systematic risk by itself cannot predict the sign of expected rate of return difference for the same stocks between international markets. Liquidity risk factors related to market microstructure provide explanations for the sign of rate of return differences between markets, However, liquidity risk factors related to market microstructure do not have a significant effect on the rate of return differences and sensitivity of return differences between markets, Trading mechanisms or market microstructures might not have a significant effect on the interpretation of the international equity market integration studies, if trading volume or other factors are controlled.

• 경영정보학연구
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• 제18권2호
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• pp.23-38
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• 2016

지금까지 수행된 연구들은 온라인 주식게시판 정보가 주식시장 활동에 미치는 영향의 유무만을 보이는 것에 초점을 맞추었으며, 온라인 주식게시판 정보가 주식투자자에게 매수 의도를 갖도록 하는지, 혹은 매도 의도를 갖도록 하는지에 대해서 연구되지 않았다. 따라서 본 연구의 목적은 온라인 주식게시판 정보가 주로 주식투자자의 어떠한 거래행태를 불러일으키는지 확인하는 것이다. 본 연구의 목적을 달성하기 위하여, 온라인 주식게시판 정보로서 주식 게시물 수를 온라인 구전활동 정도로 보았으며, 매수 및 매도 거래행태로서 주문불균형을 주식투자자의 거래방향성으로 보았다. 그리고 이를 기반으로 온라인 주식게시판의 장내 및 장외 주식게시물 수와 주문불균형 간의 상관관계를 확인하였다. 실증분석을 위하여, KOSPI에 상장된 40개 주식종목에 대한 온라인 주식시판으로부터 3개월 동안의 전체 게시물 46,077개를 수집하였고, 코스콤 데이터베이스로부터 해당 주식 종목에 대한 매수 및 매도 주도거래 데이터를 수집하여 절대 거래횟수 주문불균형 데이터를 설정하였다. 수집한 모든 데이터는 종목 및 시간에 따른 균형 패널데이터(balanced panel data)로 구성하였고, 패널 벡터자기 회귀 분석을 수행하였다. 본 연구의 분석결과를 살펴보면, 온라인 주식게시판의 1, 2일 전(t-1, t-2) 장내 게시물 수는 당일 주문불균형에 양의 영향을 미치는 것으로 나타났다. 그리고 온라인 주식게시판의 1일 전(t-1) 장외 게시물 수는 당일 주문불균형에 양의 영향을 미치는 것으로 나타났다. 즉, 온라인 주식게시판 정보는 주식투자자에게 주로 주식매수 결정에 영향을 미치는 것으로 보여 졌으며, 온라인 주식게시판 정보는 주로 해당 주식을 매수하도록 하는 감성(strong buy or buy sentiment)의 속성을 가진 것으로 추정되었다. 이러한 실증분석 결과를 바탕으로 정보시스템 및 재무행태학 부문의 학술적, 실무적 기여점을 제시한다.

• 지능정보연구
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• 제2권2호
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• pp.43-54
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• 1996

Financial markets are operating 24 hours a day throughout the world and interrelated in increasingly complex ways. Telecommunications and computer networks tie together markets in the from of electronic entities. Financial practitioners are inundated with an ever larger stream of data, produced by the rise of sophisticated database technologies, on the rising number of market instruments. As conventional analytic techniques reach their limit in recognizing data patterns, financial firms and institutions find neural network techniques to solve this complex task. Neural networks have found an important niche in financial a, pp.ications. We a, pp.y neural networks to Standard and Poor's (S&P) 500 stock index futures trading to predict the futures marker behavior. The results through experiments with a commercial neural, network software do su, pp.rt future use of neural networks in S&P 500 stock index futures trading.

• 재무관리연구
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• 제24권2호
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• pp.41-79
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• 2007

본 논문은 주가지수 선물과 옵션의 만기일이 주식시장에 어떠한 영향을 미치는가에 대한 분석을 통해 한국주식시장에서 만기일 효과가 존재하는지를 검증한다. 주가지수를 이용한 기존의 논문과는 달리 만기일에 현물 주식시장의 움직임을 개별 종목별로 분석했다는 점에서 본 논문은 차별성을 지닌다. 주가지수는 시장 움직임의 평균으로 개별 종목의 고유한 특성을 반영하지 못하기 때문에 주가지수를 이용한 분석은 만기일 효과를 해석하고 그 원인을 분석하는데 한계를 지니고 있다. 분석 결과 한국주식시장에서 선물 만기일 효과는 분명히 존재하지만, 옵션 만기일 효과는 뚜렷하지 않은 것으로 드러났다. 선물 만기일에 KOSPI 200 지수와 개별 종목은 가격상승 압력이 존재하고, 변동성과 거래량이 증가하며, 만기일 다음날 수익률은 반전하는 경향이 있는 것으로 나타났다. 그러나 비교표본인 NON-KOSPI 200 지수와 개별 종목에서 만기일 효과가 존재한다고 할 만한 증거를 찾지 못했다. 만기일 효과가 시장 전체적으로 나타나는 것처럼 보이지만 KOSPI 200에 속하는 대규모 기업에 한정되며, 장 후반에 집중적으로 나타난다는 사실은 프로그램 매매와 만기일의 결제제도가 만기일 효과의 간접적 원인임을 시사한다. 또한 만기일 다음날 가격이 반전하는 현상이 KOSPI 200에 속하는 대규모 기업에 한정되어 나타나는 사실은 만기일 효과가 새로운 정보의 반영에 의한 정보 효과(information effects)가 아니라 일시적 거래불균형에 의한 유동성 효과(liquidity effects)임을 보여주는 증거가 된다.

• East Asian Economic Review
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• 제27권2호
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• pp.145-176
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• 2023

This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling possibility, we did not find any conclusive evidence of abusive short selling behaviors in the overall intraday trading activities. While foreign investors demonstrate higher levels of participation in short-sale trading, their impact on price declines is not as pronounced compared to the effects of pure selling. Following the lift of the short-sale ban, foreign investors appear to engage in long selling trading more frequently, and their influence on price changes primarily stems from long selling rather than short selling compared to the past.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.135-143
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• 2021

Information has an essential role in decision-making for investors who will invest in financial markets, especially regarding the policies on the condition of COVID-19. The purpose of this study is to determine the market reaction to the information published by the government regarding the policy changes to the provisions of Trading Halt on the IDX in an emergency using the event study method. The population in this study was companies listed on the Indonesia Stock Exchange in March 2020; the sample selection technique was purposive sampling. Data analysis used a normality test and one sample T-test. The results of the study found that there were significant abnormal returns on the announcement date, negative abnormal returns around the announcement date, and significant trading volume activity occurring three days after the announcement. The existence of a significant positive abnormal return on the announcement date indicates that the market responds quickly to information published by the government. The practical implication of this research can be taken into consideration for investors in making investment decisions to analyze and determine the right investment options so that investors can minimize the risk of their investment and maximize the profits they want to achieve.

• 재무관리논총
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• 제2권2호
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• pp.221-256
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• 1995

This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European and Japanese dually-listed stocks with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for these stocks are remarkably similar even though public information flows differ markedly across these stocks during the trading day. In the early morning, all stocks have higher volatility than later in the day, but this phenomenon is most pronounced for Japanese stocks and affects American stocks the least. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information but are inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.