This paper examines the impacts of actual share repurchases on stock liquidity of companies listed on the Stock Exchange of Thailand (SET) over 2001-2010. The results show that bid-ask spreads are narrower, price impact is lower, and turnover is higher on repurchase days compared to those on non-repurchase days. In addition, the number of actual shares repurchased is found to be negatively related to bid-ask spreads and price impact, and positively related to turnover. Overall, the findings clearly indicate that actual share repurchases have positive impacts on stock liquidity.
{"title":"Actual Share Repurchases and Liquidity: Evidence from Thailand","authors":"Yordying Thanatawee","doi":"10.2139/ssrn.2182552","DOIUrl":"https://doi.org/10.2139/ssrn.2182552","url":null,"abstract":"This paper examines the impacts of actual share repurchases on stock liquidity of companies listed on the Stock Exchange of Thailand (SET) over 2001-2010. The results show that bid-ask spreads are narrower, price impact is lower, and turnover is higher on repurchase days compared to those on non-repurchase days. In addition, the number of actual shares repurchased is found to be negatively related to bid-ask spreads and price impact, and positively related to turnover. Overall, the findings clearly indicate that actual share repurchases have positive impacts on stock liquidity.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129697425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other universes do but large-size companies such as the KOSPI 50 components hinder the performance of the momentum strategy. The observation is also cross-checked with size portfolios and liquidity portfolios. Transactions by investor groups, in particular, the trading patterns by foreign investors can be a source of the momentum universe shrinkage effect in the momentum returns.
{"title":"Momentum Universe Shrinkage Effect in Price Momentum","authors":"Jaehyung Choi, Sung-soo Choi, Wonseok Kang","doi":"10.2139/ssrn.2180556","DOIUrl":"https://doi.org/10.2139/ssrn.2180556","url":null,"abstract":"We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other universes do but large-size companies such as the KOSPI 50 components hinder the performance of the momentum strategy. The observation is also cross-checked with size portfolios and liquidity portfolios. Transactions by investor groups, in particular, the trading patterns by foreign investors can be a source of the momentum universe shrinkage effect in the momentum returns.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126525943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-11-01DOI: 10.5089/9781475588682.001
Selim Elekdağ, Phurichai Rungcharoenkitkul, Yiqun Wu
This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as well as policies. In line with Asia's growing role in the global economy - including through deeper financial integration - regional financial markets have become more sensitive to systemic economies. Asian financial sensitivities to systemic economies exhibit cyclical fluctuations, and reached historically high levels during the latest global financial crisis of 2008-09. While macroeconomic policy frameworks have helped Asian economies cope well with market turbulence, they cannot completely insulate Asian financial markets against major global financial shocks.
{"title":"The Evolution of Asian Financial Linkages: Key Determinants and the Role of Policy","authors":"Selim Elekdağ, Phurichai Rungcharoenkitkul, Yiqun Wu","doi":"10.5089/9781475588682.001","DOIUrl":"https://doi.org/10.5089/9781475588682.001","url":null,"abstract":"This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as well as policies. In line with Asia's growing role in the global economy - including through deeper financial integration - regional financial markets have become more sensitive to systemic economies. Asian financial sensitivities to systemic economies exhibit cyclical fluctuations, and reached historically high levels during the latest global financial crisis of 2008-09. While macroeconomic policy frameworks have helped Asian economies cope well with market turbulence, they cannot completely insulate Asian financial markets against major global financial shocks.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122405865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract: 포트폴리오 성과측정시 일반적으로 사용하는 CAPM을 기반으로 한 측정방법은 대용포트폴리오와 측정대상 포트폴리오의 측정오류로 인하여 성과의 과대 혹은 과소평가의 현상을 유발 시키게된다. 이를 시정하기 위하여 본 논문은 역회귀분석을 이용하여 측정 불가능한 진정한 β와 α의 범위를 제시하여 해당 포트폴리오의 초과수익률이 존재하지 않음에도 불구하고 존재한다는 판단의 오류를 막는 방법을 제시한다. 이를 위하여 국내 대형 10개사가 매년 초(혹은 말)에 발표하는 우수종목(Top Picks)에 대한 장기(1년) 성과측정을 조사기간 7년에 걸쳐 직접과 역회귀분석을 실시하였다. 역회귀식의 결과에 의하면 대부분의 증권사 Top Picks 포트폴리오들에 대한 유의한 초과수익률은 전 조사기간에 걸쳐 발견되지 않았다. 한편 다른 전통적인 성과분석 방법(Sharpe 지수, Treynor 지수와 시장조정모형)을 사용했을 경우에는 시장대비 전 증권사가 7년 조사기간 중 4년 이상의 우월한 결과를 보였다. 그러나 증권사별 성과순위는 매년 달라져 우수성과의 지속성은 없는 것으로 밝혀졌다. 올바른 위험의 측정 없이 성과측정을 할 경우 증권사의 Top Picks는 일반투자자에게 정보의 가치는 있을 수 있다고 볼 수 있다. 그러나 우수종목을 추천하는 증권사의 우월성은 지속된다고는 볼 수 없다. 한편 위험을 고려할 경우, 진정한 위험계수(β)와 초과수익률계수(α)를 측정할 수 없는 현실에서 α의 범위로 보수적으로 판단할 경우에는 증권사 Top Picks는 정보의 가치가 있다고 볼 수 없을 것이다.
English Abstract: This study examines the performance of stocks(Top Picks) recommended by major securities firms in Korea. When CAPM-based empirical models are used to measure the portfolio abnormal returns, the presence of either benchmark error and/or nonsynchronous trading of portfolio stocks tends to cause the estimated beta to be biased downward, thus causing the estimated alpha to be generally biased upward. In order to avoid the judgement about the abnormal returns of top Picks, this study applies the direct and reverse regressions which can provide a lower bound and an upper bound in the unknown true beta and the alpha to measure the performance of Top Picks. The results from direct-reverse regressions show that most of top Picks over 7 years measurement periods have shown no significant abnormal returns. However, when other performance measure methods (Sharpe index, Treynor index and Market adjusted model) are used, all of Top Picks from all securities firms have shown high values than the market(KOSPI) more than 4 yea out of 7 examining periods. However, judging from the Friedman Test results for rank correlation, we can conclude that the past performances of securities firms do not effect on the performances of the following periods. From the general investors' point of view the information about top Picks could to be valuable. But the information about the securities firm's past performance could not be valuable. However, from academic point of view, when we measure the abnormal returns of Top Picks based on the conservative risk measure, the information about top Picks could not be valuable.
Korean Abstract:在评估有价证券组合成果时，以通常使用的CAPM为基础的测量方法，会因代用有价证券组合和测试对象有价证券组合的测量错误而导致成果的夸大或过低评价现象。为了纠正这一错误，本论文提出了一种利用逆向回归分析，提出无法测定的真正的β和α的范围，防止在不存在相应有价证券组合的超额收益率的情况下仍然存在的判断错误的方法。为此，对国内10家大型公司在每年年初(或年末)发表的优秀项目(Top Picks)的长期(1年)成果测定，经过7年的调查期间，直接进行了逆向回归分析。反向回归的结果显示，在整个调查期间，大部分证券公司Top Picks有价证券组合的显著超额收益率都没有发现。另外，如果使用其他传统的成果分析方法(Sharpe指数、Treynor指数和市场调整模型)，所有证券公司在7年的调查中显示出了4年以上的优越结果。但据调查，各证券公司的成果排名每年都发生变化，因此与优秀性没有持续性。在没有进行正确的风险测定的情况下，进行成果测定的情况下，证券公司的Top Picks可以看作是对一般投资者来说具有信息的价值。但是，不能说推荐优秀项目的证券公司的优越性会持续下去。另外，考虑到风险，在无法测定真正的风险系数(β)和超额收益率系数(α)的现实情况下，如果以α的范围保守地判断，证券公司Top Picks就不能认为有信息的价值。英语Abstract: This study examines the performance of stocks(Top Picks) recommended by major securities firms in Korea。When CAPM-based empirical models are used to measure the portfolio abnormal returns;benchmark error and/or nonsynchronous trading of portfolio stocks tends to cause the estimated beta to be biased downward;thus causing the estimated alpha to be generally biased upward。In order to avoid the judgement about the abnormal returns of top Picksthis study applies the direct and reverse regressions which can provide a lower bound and an upper bound in the unknown true beta and the alpha to measure the performance of Top Picks。The results from direct-reverse regressions show that most of top Picks over 7 years measurement periods have shown no significant abnormal returns。However, when other performance measure methods (Sharpe index, Treynor index and Market adjusted model) are used，韩国综合股价指数(KOSPI) more than 4 yea out of 7 examining periods。However, judging from the Friedman Test results for rank correlation, we can conclude that the past performances of securities firms do not effect on the performances of the following periods。From the general investors' point of view the information about top Picks could to be valuable。But the information about the securities firm's past performance could not be valuable。However, from academic point of view, when we measure the abnormal returns of Top Picks based on the conservative risk measure, the information about Top Picks could not be valuable。
{"title":"증권사 추천종목에 대한 성과분석 (Performance Measure on Stocks Recommended by Securities Firms in Korea)","authors":"Dong Han, Dong-hee Cho","doi":"10.2139/ssrn.3017063","DOIUrl":"https://doi.org/10.2139/ssrn.3017063","url":null,"abstract":"<b>Korean Abstract:</b> 포트폴리오 성과측정시 일반적으로 사용하는 CAPM을 기반으로 한 측정방법은 대용포트폴리오와 측정대상 포트폴리오의 측정오류로 인하여 성과의 과대 혹은 과소평가의 현상을 유발 시키게된다. 이를 시정하기 위하여 본 논문은 역회귀분석을 이용하여 측정 불가능한 진정한 β와 α의 범위를 제시하여 해당 포트폴리오의 초과수익률이 존재하지 않음에도 불구하고 존재한다는 판단의 오류를 막는 방법을 제시한다. 이를 위하여 국내 대형 10개사가 매년 초(혹은 말)에 발표하는 우수종목(Top Picks)에 대한 장기(1년) 성과측정을 조사기간 7년에 걸쳐 직접과 역회귀분석을 실시하였다. 역회귀식의 결과에 의하면 대부분의 증권사 Top Picks 포트폴리오들에 대한 유의한 초과수익률은 전 조사기간에 걸쳐 발견되지 않았다. 한편 다른 전통적인 성과분석 방법(Sharpe 지수, Treynor 지수와 시장조정모형)을 사용했을 경우에는 시장대비 전 증권사가 7년 조사기간 중 4년 이상의 우월한 결과를 보였다. 그러나 증권사별 성과순위는 매년 달라져 우수성과의 지속성은 없는 것으로 밝혀졌다. 올바른 위험의 측정 없이 성과측정을 할 경우 증권사의 Top Picks는 일반투자자에게 정보의 가치는 있을 수 있다고 볼 수 있다. 그러나 우수종목을 추천하는 증권사의 우월성은 지속된다고는 볼 수 없다. 한편 위험을 고려할 경우, 진정한 위험계수(β)와 초과수익률계수(α)를 측정할 수 없는 현실에서 α의 범위로 보수적으로 판단할 경우에는 증권사 Top Picks는 정보의 가치가 있다고 볼 수 없을 것이다.<br><br><b>English Abstract:</b> This study examines the performance of stocks(Top Picks) recommended by major securities firms in Korea. When CAPM-based empirical models are used to measure the portfolio abnormal returns, the presence of either benchmark error and/or nonsynchronous trading of portfolio stocks tends to cause the estimated beta to be biased downward, thus causing the estimated alpha to be generally biased upward. In order to avoid the judgement about the abnormal returns of top Picks, this study applies the direct and reverse regressions which can provide a lower bound and an upper bound in the unknown true beta and the alpha to measure the performance of Top Picks. The results from direct-reverse regressions show that most of top Picks over 7 years measurement periods have shown no significant abnormal returns. However, when other performance measure methods (Sharpe index, Treynor index and Market adjusted model) are used, all of Top Picks from all securities firms have shown high values than the market(KOSPI) more than 4 yea out of 7 examining periods. However, judging from the Friedman Test results for rank correlation, we can conclude that the past performances of securities firms do not effect on the performances of the following periods. From the general investors' point of view the information about top Picks could to be valuable. But the information about the securities firm's past performance could not be valuable. However, from academic point of view, when we measure the abnormal returns of Top Picks based on the conservative risk measure, the information about top Picks could not be valuable.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"355 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132656892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper reviews current development of the Asian Bond Markets Initiative (ABMI) and addresses the macroeconomic effects of credit guarantee schemes through the Credit Guarantee Investment Facility (CGIF) along with the ABMI. The findings from international macroeconomic simulations include that (i) even though East Asian financial cooperation upgrades some countries' credit fundamentals, it helps increase both the corresponding countries' real GDP and East Asia's regional real GDP, and (ii) this effect becomes greater as credit rating upgrade happens to more ASEAN 3 member countries in East Asia. These results strongly recommend that ASEAN 3 efforts along with the ABMI should move toward building local currency bond markets on the existing achievements. For the ABMI to be more effective, moreover, the importance of regional prudential supervision and regional market infrastructure is given with greater emphasis.
{"title":"A Quantitative Assessment of Credit Guarantee Scheme in Asian Bond Markets","authors":"Young-joon Park, Dong‐Eun Rhee","doi":"10.2139/ssrn.2319776","DOIUrl":"https://doi.org/10.2139/ssrn.2319776","url":null,"abstract":"This paper reviews current development of the Asian Bond Markets Initiative (ABMI) and addresses the macroeconomic effects of credit guarantee schemes through the Credit Guarantee Investment Facility (CGIF) along with the ABMI. The findings from international macroeconomic simulations include that (i) even though East Asian financial cooperation upgrades some countries' credit fundamentals, it helps increase both the corresponding countries' real GDP and East Asia's regional real GDP, and (ii) this effect becomes greater as credit rating upgrade happens to more ASEAN 3 member countries in East Asia. These results strongly recommend that ASEAN 3 efforts along with the ABMI should move toward building local currency bond markets on the existing achievements. For the ABMI to be more effective, moreover, the importance of regional prudential supervision and regional market infrastructure is given with greater emphasis.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130970292","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Business entities are able to exert their influence on particular stakeholders for the benefit of their interest by managing the information they disseminate to the public, particularly if there is no regulation on such issue in place. Accordingly, the extent of accounting information disclosed to the public, specifically voluntary environmental information, is determined by the internal characteristics of the business entities. The objective of this research is to test the financial, non-financial, and corporate governance attributes of Indonesian public companies which contribute to the extent of environmental information disclosure in Indonesia. This research measured the extent of Indonesian public companies’ environmental disclosure using Environmental Disclosure Index (EDI) as a dependent variable. The index is developed from the parameters under environmental protocols of the Global Reporting Initiative (GRI) G3 framework. Samples of 35 Indonesian public companies are purposively chosen for each of the year from 2005-2008 to form a total of 140 observations. The testing results conclude that size of company, economic performance, and industry sensitivity positively affect environmental disclosure. This research is limited by an assumption that Indonesian public companies employ annual report as the primary means to publicize financial and non-financial information to public.
{"title":"The Impact of Financial, Non-Financial, and Corporate Governance Attributes on the Practice of Global Reporting Initiative (GRI) Based Environmental Disclosure","authors":"G. Mada, I. Kusuma","doi":"10.22146/GAMAIJB.5488","DOIUrl":"https://doi.org/10.22146/GAMAIJB.5488","url":null,"abstract":"Business entities are able to exert their influence on particular stakeholders for the benefit of their interest by managing the information they disseminate to the public, particularly if there is no regulation on such issue in place. Accordingly, the extent of accounting information disclosed to the public, specifically voluntary environmental information, is determined by the internal characteristics of the business entities. The objective of this research is to test the financial, non-financial, and corporate governance attributes of Indonesian public companies which contribute to the extent of environmental information disclosure in Indonesia. This research measured the extent of Indonesian public companies’ environmental disclosure using Environmental Disclosure Index (EDI) as a dependent variable. The index is developed from the parameters under environmental protocols of the Global Reporting Initiative (GRI) G3 framework. Samples of 35 Indonesian public companies are purposively chosen for each of the year from 2005-2008 to form a total of 140 observations. The testing results conclude that size of company, economic performance, and industry sensitivity positively affect environmental disclosure. This research is limited by an assumption that Indonesian public companies employ annual report as the primary means to publicize financial and non-financial information to public.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121796780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Bangladesh is a moderate Islamic country. There are six full pledged Islamic banks providing services to wide range of customers. This study is designed to examine the impact of demographic disparities on the bank selection criteria applied by diversified customers of domestic Islamic banks in Bangladesh. We have run regression analysis after controlling for four demographic groupings such as Gender, Marital Status, Age and Educational Qualification. The beta scores were taken for identifying the influential factors chosen by the customers of Islamic Banks. Mostly, non-Islamic factors such as Corporal efficiency, Core-Banking services, Confidence, etc. were given higher weights by majority of the respondents. The report recommends introducing complete E-Banking solution, to increase advanced marketing efforts and to hire experienced human resources for better Islamic Banking activities in Bangladesh.
{"title":"Customer Demographics Affecting Bank Selection Criteria, Preference, and Market Segmentation: Study on Domestic Islamic Banks in Bangladesh","authors":"M. Rashid, M. Hassan","doi":"10.5539/IJBM.V4N6P131","DOIUrl":"https://doi.org/10.5539/IJBM.V4N6P131","url":null,"abstract":"Bangladesh is a moderate Islamic country. There are six full pledged Islamic banks providing services to wide range of customers. This study is designed to examine the impact of demographic disparities on the bank selection criteria applied by diversified customers of domestic Islamic banks in Bangladesh. We have run regression analysis after controlling for four demographic groupings such as Gender, Marital Status, Age and Educational Qualification. The beta scores were taken for identifying the influential factors chosen by the customers of Islamic Banks. Mostly, non-Islamic factors such as Corporal efficiency, Core-Banking services, Confidence, etc. were given higher weights by majority of the respondents. The report recommends introducing complete E-Banking solution, to increase advanced marketing efforts and to hire experienced human resources for better Islamic Banking activities in Bangladesh.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128343035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract: 최근 들어 투자자의 심리상태의 변화가 주가수익률과 변동성에 효과를 미칠 수 있다는 행태재무학적 접근 방법이 관심을 끌고 있다. 본 연구에서는 행태재무학적 접근 방법을 토대로 우리나라의 날씨가 주가수익률 및 변동성 그리고 거래량 및 변동성에 미치는 영향을 살펴보았다. 2000년 8월부터 2006년 7월말까지의 계절 조정된 구름양(Seasonally Adjusted Sky Cover)과 주가수익률과 거래량을 사용하여 기존의 날씨가 가격에 미치는 영향을 분석했을 뿐만 아니라 비대칭적 변동성 유무의 검정을 위해 EGARCH(exponential generalized autoregressive conditional heteroskedasticity)모형을 사용하였다. 실증분석에 의하면 날씨를 나타내는 계절 조정된 구름양, 주가수익률 및 거래량 모두 GARCH 효과가 지속적으로 나타났으며, 관측 기간 동안 계절 조정된 구름양은 주가수익률의 가격 및 거래량 변화율에 영향을 미치지 못해 효율적 시장가설을 뒷받침하였다. 그러나 계절조정된 구름양은 투자자들의 심리에 영향을 주어 주가수익률의 변동성과 같은 방향으로 영향을 주는 것으로 나타나고 있었다.
English Abstract: In this paper, we investigate if the weather affects the stock returns, the volatility of stock returns, and the trading volumes in the Korean stock market. We use the deseasonalized sky cover (SKC*) as a measure of weather and EGARCH(exponential generalized autoregressive conditional heteroskedasticity) as an econometric method. Using the stock return data from August 2000 to July 2006, empirical results show that a persistent GARCH effect exists in deseasonalized sky cover and stock returns. The weather does not affect the price of the stock returns and the trading volume but the volatility of stock returns is however affected.
Korean Abstract:最近，投资者心理状态的变化能够对股价收益率和变动性产生效果的形态财务学接近方法备受关注。本研究以形态财务学接近方法为基础，观察了我国天气对股价收益率及变动性、交易量及变动性产生的影响。利用2000年8月至2006年7月底的季节调整云量(Seasonally Adjusted Sky Cover)和股价收益率及交易量，不仅分析了现有天气对价格的影响，而且为了检验是否有非对称变动性，exponential generalized autoregressive conditionalheteroskedasticity)模型。根据实证分析,显示了天气季节调整的云,羊,주가수익률及成交量都出现了garch效果持续期间,观测季节调整的羊주가수익률云的价格及成交量变化影响率不到有效市场假说进行了支持。但据调查，季节调整后的云量会对投资者的心理产生影响，与股价收益率的变动性产生相同的影响。English Abstract: In this paper, we investigate if the weather affects the stock returns, the volatility of stock returns, and the trading volumes In the Korean stock market。We use the deseasonalized sky cover (SKC*) as a measure of weather and EGARCH(exponential generalized autoregressive conditional heteroskedasticity) as an econometric method。“Using the stock return data from August 2000 to July 2006, empirical results show that a persistent GARCH effect exists in deseasonalized sky cover and stock returns。The weather does not affect The price of The stock returns and The trading volume but The volatility of stock returns is however affected。
{"title":"날씨가 주가수익률의 변동성과 주식거래량에 미치는 효과 분석 (Weather, the Volatility of Stock Returns and Trading Volumes)","authors":"Joo-Ha Nam, Sang-Bong Kim","doi":"10.2139/SSRN.3018250","DOIUrl":"https://doi.org/10.2139/SSRN.3018250","url":null,"abstract":"<b>Korean Abstract:</b> 최근 들어 투자자의 심리상태의 변화가 주가수익률과 변동성에 효과를 미칠 수 있다는 행태재무학적 접근 방법이 관심을 끌고 있다. 본 연구에서는 행태재무학적 접근 방법을 토대로 우리나라의 날씨가 주가수익률 및 변동성 그리고 거래량 및 변동성에 미치는 영향을 살펴보았다. 2000년 8월부터 2006년 7월말까지의 계절 조정된 구름양(Seasonally Adjusted Sky Cover)과 주가수익률과 거래량을 사용하여 기존의 날씨가 가격에 미치는 영향을 분석했을 뿐만 아니라 비대칭적 변동성 유무의 검정을 위해 EGARCH(exponential generalized autoregressive conditional heteroskedasticity)모형을 사용하였다. 실증분석에 의하면 날씨를 나타내는 계절 조정된 구름양, 주가수익률 및 거래량 모두 GARCH 효과가 지속적으로 나타났으며, 관측 기간 동안 계절 조정된 구름양은 주가수익률의 가격 및 거래량 변화율에 영향을 미치지 못해 효율적 시장가설을 뒷받침하였다. 그러나 계절조정된 구름양은 투자자들의 심리에 영향을 주어 주가수익률의 변동성과 같은 방향으로 영향을 주는 것으로 나타나고 있었다.<br><br><b>English Abstract:</b> In this paper, we investigate if the weather affects the stock returns, the volatility of stock returns, and the trading volumes in the Korean stock market. We use the deseasonalized sky cover (SKC*) as a measure of weather and EGARCH(exponential generalized autoregressive conditional heteroskedasticity) as an econometric method. Using the stock return data from August 2000 to July 2006, empirical results show that a persistent GARCH effect exists in deseasonalized sky cover and stock returns. The weather does not affect the price of the stock returns and the trading volume but the volatility of stock returns is however affected.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123165552","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Asian options are options based on some average of the underlying asset price. Generally, an Asian option is an option whose payoff depends on the average price of the underlying asset during a pre-specified period within the option’s lifetime, and a pre-specified observation frequency. We implement Vorst’s method in valuing these options and give the relevant formulas for the Delta and Gamma. We also list some pseudo VBA code.
{"title":"Valuing Asian Options Using Vorst's Approximation","authors":"A. Kotzé","doi":"10.2139/SSRN.2198401","DOIUrl":"https://doi.org/10.2139/SSRN.2198401","url":null,"abstract":"Asian options are options based on some average of the underlying asset price. Generally, an Asian option is an option whose payoff depends on the average price of the underlying asset during a pre-specified period within the option’s lifetime, and a pre-specified observation frequency. We implement Vorst’s method in valuing these options and give the relevant formulas for the Delta and Gamma. We also list some pseudo VBA code.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122844588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Stock Market is ever green field for Investment and good choice of investment provides very lucrative scope. But it is very difficult to select companies for investment as there are number of companies listed in different stock exchanges. In this paper I have tried to catagorise different stocks on the basis of Market Capitalisation and study them on the basis of performance of different Indices of Bombay Stock Exchange related to different Capitalisation Stocks i.e. Sensex for Large Cap Stocks, Mid Cap Index for Mid Cap Stocks and Small Cap Index for Small Cap Stocks. For my study I have used daily value of selected Indices from January 2007 to December 2009. In this study I have found that there is no major difference in risk and return of different capitalisation stocks, but there is significant difference in risk and return of same stocks in different phases of stock market i.e. Bearish Trend, Consolidation Period and Bullish Trend.
{"title":"A Study of Risk and Return of Different Capitalisation Stocks in Different Phases of Stock Market During 2007-2009 in India","authors":"Mrunal Joshi","doi":"10.2139/ssrn.2238541","DOIUrl":"https://doi.org/10.2139/ssrn.2238541","url":null,"abstract":"Stock Market is ever green field for Investment and good choice of investment provides very lucrative scope. But it is very difficult to select companies for investment as there are number of companies listed in different stock exchanges. In this paper I have tried to catagorise different stocks on the basis of Market Capitalisation and study them on the basis of performance of different Indices of Bombay Stock Exchange related to different Capitalisation Stocks i.e. Sensex for Large Cap Stocks, Mid Cap Index for Mid Cap Stocks and Small Cap Index for Small Cap Stocks. For my study I have used daily value of selected Indices from January 2007 to December 2009. In this study I have found that there is no major difference in risk and return of different capitalisation stocks, but there is significant difference in risk and return of same stocks in different phases of stock market i.e. Bearish Trend, Consolidation Period and Bullish Trend.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130901322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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