Pub Date : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.10
J. Ho, W. Choo, Ruxian Zhangyu, C. Yee, W. Lau
Smooth Transition Exponential Smoothing (STES) is a popular exponential smoothing method for volatility forecasting; whereby the success of the STES model lies in the choice of the transition variable. In this paper, three realized variance (RV), daily, weekly and monthly RV were used as the transition variables in STES methods to evaluate the performance of intraday data. While daily squared return is a noisy series, squared residual and daily RV were employed as the proxy for actual volatilities in this study. With five series of exchange rates, a comparative analysis was conducted for Ad Hoc methods, Generalised Autoregressive Conditional Heteroscedastic (GARCH) models, and STES methods using various RV combinations. The empirical results showed that when daily RV was used as proxy for actual volatility, the traditional STES models and STES models with RV as the transition variables outperformed Ad Hoc methods and GARCH models under the RMSE evaluation criteria. Similar promising results were also observed for traditional STES models and STES models with RV as the transition variables under MAE evaluation. The MCS results generally reaffirmed the results from both the MAE and RMSE evaluation criteria.
{"title":"Forecasting the High-Frequency Exchange Rate Volatility with Smooth Transition Exponential Smoothing","authors":"J. Ho, W. Choo, Ruxian Zhangyu, C. Yee, W. Lau","doi":"10.21315/aamjaf2022.18.2.10","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.10","url":null,"abstract":"Smooth Transition Exponential Smoothing (STES) is a popular exponential smoothing method for volatility forecasting; whereby the success of the STES model lies in the choice of the transition variable. In this paper, three realized variance (RV), daily, weekly and monthly RV were used as the transition variables in STES methods to evaluate the performance of intraday data. While daily squared return is a noisy series, squared residual and daily RV were employed as the proxy for actual volatilities in this study. With five series of exchange rates, a comparative analysis was conducted for Ad Hoc methods, Generalised Autoregressive Conditional Heteroscedastic (GARCH) models, and STES methods using various RV combinations. The empirical results showed that when daily RV was used as proxy for actual volatility, the traditional STES models and STES models with RV as the transition variables outperformed Ad Hoc methods and GARCH models under the RMSE evaluation criteria. Similar promising results were also observed for traditional STES models and STES models with RV as the transition variables under MAE evaluation. The MCS results generally reaffirmed the results from both the MAE and RMSE evaluation criteria.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42071330","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.6
Selma Jayech, Lamia Jaidane Mazigh, E. Abdennadher
This study analyses the contagion effects of the American, the British and the Greek stock markets on the Chinese stock market in the context of the 2007–2010 American and European financial crises. Two contagion tests have been performed using the Archimedean copula functions. The results of the first test suggest that the financial contagion existed between UK/China in the 2007 subprime financial crisis period and between U.S./China and U.K./China in the 2010 European sovereign debt crisis period. Finally, the second test shows that the contagion effects of the 2010 European sovereign debt crisis were clearly more intense than those caused by the 2007 subprime financial crisis just for the U.S./China pair. Investors' sentiment and behavior indirectly have impact on financial risk contagion in Chinese stock markets.
{"title":"Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market","authors":"Selma Jayech, Lamia Jaidane Mazigh, E. Abdennadher","doi":"10.21315/aamjaf2022.18.2.6","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.6","url":null,"abstract":"This study analyses the contagion effects of the American, the British and the Greek stock markets on the Chinese stock market in the context of the 2007–2010 American and European financial crises. Two contagion tests have been performed using the Archimedean copula functions. The results of the first test suggest that the financial contagion existed between UK/China in the 2007 subprime financial crisis period and between U.S./China and U.K./China in the 2010 European sovereign debt crisis period. Finally, the second test shows that the contagion effects of the 2010 European sovereign debt crisis were clearly more intense than those caused by the 2007 subprime financial crisis just for the U.S./China pair. Investors' sentiment and behavior indirectly have impact on financial risk contagion in Chinese stock markets.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41883979","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.8
Rohaida Ismail, N. Mohd-Saleh, Rubayah Yaakob
This study examines the association among the effectiveness of audit committee, arrangement of internal audit function (IAF), and financial reporting lag (FRL). It also expands the literature by exploring the effect of IAF sourcing arrangement on financial reporting lag. Financial reporting lag is measured based on the number of days between the dates of the financial year end to the date of announcement of financial reporting. The effectiveness of the audit committee consists of size, independence, meetings, experts, and the chairperson’s qualifications. The internal audit arrangement is either performed in-house or outsourced to a third-party internal audit service provider and the cost of incurred for the IAF in the financial year. The agency theory is applied to explain the framework of this study and tested on 2,284 Malaysian listed companies from 2012 to 2015. Results show that IAF sourcing arrangement and cost are significantly associated with financial report lag. These findings offer important implications on audit committee and IAF literature through improving the timeliness of financial information.
{"title":"Audit Committee Effectiveness, Internal Audit Function and Financial Reporting Lag: Evidence from Malaysia","authors":"Rohaida Ismail, N. Mohd-Saleh, Rubayah Yaakob","doi":"10.21315/aamjaf2022.18.2.8","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.8","url":null,"abstract":"This study examines the association among the effectiveness of audit committee, arrangement of internal audit function (IAF), and financial reporting lag (FRL). It also expands the literature by exploring the effect of IAF sourcing arrangement on financial reporting lag. Financial reporting lag is measured based on the number of days between the dates of the financial year end to the date of announcement of financial reporting. The effectiveness of the audit committee consists of size, independence, meetings, experts, and the chairperson’s qualifications. The internal audit arrangement is either performed in-house or outsourced to a third-party internal audit service provider and the cost of incurred for the IAF in the financial year. The agency theory is applied to explain the framework of this study and tested on 2,284 Malaysian listed companies from 2012 to 2015. Results show that IAF sourcing arrangement and cost are significantly associated with financial report lag. These findings offer important implications on audit committee and IAF literature through improving the timeliness of financial information.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44736958","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.2
D. Tran
Our study investigates how depositors respond to the bank dividend policy via the interest rate channel. The results suggests that by paying dividend, banks mitigate the information asymmetry between insiders and outsiders, then enjoying a lower deposit cost than banks that do not pay dividend. Dividend-paying banks that are subject to higher funding costs may enjoy a greater decrease of funding costs than non-payers. Banks that are under greater pressure from regulators, but encounter losses have to pay higher deposit costs when deciding to pay dividend. The study emphasizes the downside of deposit insurance scheme when documenting the indifference of insured but uninsured depositors during the global financial crisis, but the COVID-19 crisis, suggesting the wake-up calls for depositors.
{"title":"How Do Depositors Respond to Bank Dividend Policy? Evidence from Market Discipline, Global Financial Crisis and COVID-19 Pandemic","authors":"D. Tran","doi":"10.21315/aamjaf2022.18.2.2","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.2","url":null,"abstract":"Our study investigates how depositors respond to the bank dividend policy via the interest rate channel. The results suggests that by paying dividend, banks mitigate the information asymmetry between insiders and outsiders, then enjoying a lower deposit cost than banks that do not pay dividend. Dividend-paying banks that are subject to higher funding costs may enjoy a greater decrease of funding costs than non-payers. Banks that are under greater pressure from regulators, but encounter losses have to pay higher deposit costs when deciding to pay dividend. The study emphasizes the downside of deposit insurance scheme when documenting the indifference of insured but uninsured depositors during the global financial crisis, but the COVID-19 crisis, suggesting the wake-up calls for depositors.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45104726","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.3
Tomotaka Yanagida
The Corporate Governance Code, revised in 2015, recommends that the firms listed within the first and second sections of Japan’s Tokyo Stock Exchange select two or more independent outside directors (Corporate Governance Code 4-8). Japanese listed firms must either comply with or explain the reason for non-compliance. This study investigates how the Corporate Governance Code affects Japanese listed firms. Using a difference-in-differences approach for our sample of 4,200 firm–year observations in 2014–2015, we find that the Corporate Governance Code increases the proportion of outside directors by approximately 8.8%. This finding implies that such companies might have found it difficult to explain non-compliance with this rule to their shareholders. Moreover, we find no evidence that increases in the ratio of outside directors are related to a firm’s future performance.
{"title":"Effect of the 2015 Code Revision to the Corporate Governance Code on Japanese Listed Firms","authors":"Tomotaka Yanagida","doi":"10.21315/aamjaf2022.18.2.3","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.3","url":null,"abstract":"The Corporate Governance Code, revised in 2015, recommends that the firms listed within the first and second sections of Japan’s Tokyo Stock Exchange select two or more independent outside directors (Corporate Governance Code 4-8). Japanese listed firms must either comply with or explain the reason for non-compliance. This study investigates how the Corporate Governance Code affects Japanese listed firms. Using a difference-in-differences approach for our sample of 4,200 firm–year observations in 2014–2015, we find that the Corporate Governance Code increases the proportion of outside directors by approximately 8.8%. This finding implies that such companies might have found it difficult to explain non-compliance with this rule to their shareholders. Moreover, we find no evidence that increases in the ratio of outside directors are related to a firm’s future performance.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43007708","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.7
M. Lu, C. Ooi, K. Lee, Zunarni Kossim
This study examines the nexus between four electronic payment channels’ transaction values and bank performance of Malaysia, Singapore and Thailand for 2010–2020. We find that, the impact of credit and charge card’s transaction value on banks’ return on equity (ROE) is significantly positive across various econometric specifications, including firm fixed effect panel regression, two-way clustering method and generalised method of moment. Instead, the impacts of the other three payment channels (e-money, debit card and internet and mobile banking) are negative but not significance across all econometric specification. These suggest that only the credit and charge card is economically relevant to the banks’ shareholders. We further add that only credit and charge card significantly improves banks’ operating income, while all four payment channels are not significantly related to revenue growth of the banks. In the additional analysis, we find that e-money, debit card, internet and mobile banking are negatively influencing the relationship between banks’ operating income and ROE. In summary, our study implies that majority of the electronic payment services offered by banks are not economically sustainable in the long run.
{"title":"Does Electronic Payment Services Create Value to Bank Performance? Evidence from Southeast Asia","authors":"M. Lu, C. Ooi, K. Lee, Zunarni Kossim","doi":"10.21315/aamjaf2022.18.2.7","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.7","url":null,"abstract":"This study examines the nexus between four electronic payment channels’ transaction values and bank performance of Malaysia, Singapore and Thailand for 2010–2020. We find that, the impact of credit and charge card’s transaction value on banks’ return on equity (ROE) is significantly positive across various econometric specifications, including firm fixed effect panel regression, two-way clustering method and generalised method of moment. Instead, the impacts of the other three payment channels (e-money, debit card and internet and mobile banking) are negative but not significance across all econometric specification. These suggest that only the credit and charge card is economically relevant to the banks’ shareholders. We further add that only credit and charge card significantly improves banks’ operating income, while all four payment channels are not significantly related to revenue growth of the banks. In the additional analysis, we find that e-money, debit card, internet and mobile banking are negatively influencing the relationship between banks’ operating income and ROE. In summary, our study implies that majority of the electronic payment services offered by banks are not economically sustainable in the long run.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42921348","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 : 2022-12-30DOI: 10.21315/aamjaf2022.18.2.1
H. Kim, Kyung-shick Cho
We examine the relationship between multi-blockholder contestability and coalition and firm risk using an unbalanced panel of 646 Korean non-financial firms with 7,582 firm-years from 2010 to 2017 (8 years). For multi-blockholder contestability, we use the second-to-first blockholder contestability index and the second-and third-to-first blockholder contestability index. The Herfindahl-Harshman Index Concentration and Herfindahl-Harshman Index Difference are used for a multi-blockholder coalition. Using different measures of contestability, we show that contestability among multiple blockholders is negatively related to beta. It is also shown that the probability (variance) of forming a dominant coalition among multiple blockholders is negatively related to beta. This suggests that contestability and the probability of forming a dominant coalition among multiple blockholders reduce corporate risk. This study expands on the existing literature on the relationship between corporate risk and ownership. This study shows that the multi-blockholder contestability and coalition may be one factor determining the risk of a company. Our findings will contribute to policymakers and investors who are interested in the relationship between corporate risk and blockholder contestability and dispersion in the Korean stock market.
{"title":"The Impacts of Multi-blockholder Contestability and Coalition on the Risk of Korean Companies","authors":"H. Kim, Kyung-shick Cho","doi":"10.21315/aamjaf2022.18.2.1","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.1","url":null,"abstract":"We examine the relationship between multi-blockholder contestability and coalition and firm risk using an unbalanced panel of 646 Korean non-financial firms with 7,582 firm-years from 2010 to 2017 (8 years). For multi-blockholder contestability, we use the second-to-first blockholder contestability index and the second-and third-to-first blockholder contestability index. The Herfindahl-Harshman Index Concentration and Herfindahl-Harshman Index Difference are used for a multi-blockholder coalition. Using different measures of contestability, we show that contestability among multiple blockholders is negatively related to beta. It is also shown that the probability (variance) of forming a dominant coalition among multiple blockholders is negatively related to beta. This suggests that contestability and the probability of forming a dominant coalition among multiple blockholders reduce corporate risk. This study expands on the existing literature on the relationship between corporate risk and ownership. This study shows that the multi-blockholder contestability and coalition may be one factor determining the risk of a company. Our findings will contribute to policymakers and investors who are interested in the relationship between corporate risk and blockholder contestability and dispersion in the Korean stock market.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45758890","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 : 2022-07-29DOI: 10.21315/aamjaf2022.18.1.9
Mien Nguyen Thi Ngoc
This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimising their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.
{"title":"Volatility spillover from the global oil price to ASEAN stock markets: A cross-quantilogram analysis","authors":"Mien Nguyen Thi Ngoc","doi":"10.21315/aamjaf2022.18.1.9","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.1.9","url":null,"abstract":"This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimising their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42234956","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 : 2022-07-29DOI: 10.21315/aamjaf2022.18.1.2
J. Min
Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.
{"title":"Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective","authors":"J. Min","doi":"10.21315/aamjaf2022.18.1.2","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.1.2","url":null,"abstract":"Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42674306","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 : 2022-07-29DOI: 10.21315/aamjaf2022.18.1.4
K. Lee
This study examines the relation between corporate diversification and stock price crash risk and whether female directors moderate this relation. Using a sample of Malaysian publicly listed firms based on 2010–2016 data, our study finds diversification mitigates crash risk but only for highly diversified firms. Our study also finds that the mitigating effect of diversification is more pronounced for firms with higher proportion of female directors in the board in which it is aligned with the notion of gender diversity in promoting good corporate governance. Our findings are beneficial to stock investors in managing the “tail risk” in stock prices of conglomerates/diversified firms.
{"title":"Corporate diversification and stock price crash risk: Do female directors matters? Evidence from Malaysia","authors":"K. Lee","doi":"10.21315/aamjaf2022.18.1.4","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.1.4","url":null,"abstract":"This study examines the relation between corporate diversification and stock price crash risk and whether female directors moderate this relation. Using a sample of Malaysian publicly listed firms based on 2010–2016 data, our study finds diversification mitigates crash risk but only for highly diversified firms. Our study also finds that the mitigating effect of diversification is more pronounced for firms with higher proportion of female directors in the board in which it is aligned with the notion of gender diversity in promoting good corporate governance. Our findings are beneficial to stock investors in managing the “tail risk” in stock prices of conglomerates/diversified firms.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44533055","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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