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Abstract

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Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels
Type: Book
ISBN: 978-0-44452-122-4

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Article
Publication date: 2 December 2021

Sreenu N and Suresh Naik

In any stock market, volatility is a significant factor in strengthening their asset pricing. The upsurge in volatility in the stock market can activate and bring changes…

Abstract

Purpose

In any stock market, volatility is a significant factor in strengthening their asset pricing. The upsurge in volatility in the stock market can activate and bring changes in the financial risk. According to financial conventional theory, the stakeholders (investors) are selected to be balanced and variations in pertinent risk are also to be anticipated due to the outcome of the drive-in basic factors in Indian stock markets. The hypothesis shows that there are actions in systematic and unsystematic risks that are determined by volatility. It is allied to sentiment-driven in the trader movement.

Design/methodology/approach

The paper used the methodology of generalized autoregressive conditional heteroskedasticity-in mean GARCH-M and exponential GARCH-M (E-GARCH-M) methods on the Indian stock market. The data have been covered from 2000 to 2019.

Findings

Finally, the study suggests that due to the unfitness of the capital asset pricing model (CAPM), the selection has enhanced with sentiment is an important risk factor.

Practical implications

The investor sentiment and stock return volatility statement are established by using the investor sentiment amalgamated stock market index built.

Originality/value

The outcome of the study shows that there is an important association between stakeholder (investor) sentiment and stock return, in case of volatility behavioural finance can significantly explain the behaviour of stock returns on the Indian Stock Exchange.

Details

Asia-Pacific Journal of Business Administration, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1757-4323

Keywords

Open Access
Article
Publication date: 7 September 2021

Wenwen Jiang and Hwa-Sung Kim

The authors show that there is a negative relationship between economic policy uncertainty (EPU) and firm overinvestment using Korean data from 2007 to 2016. Since Jensen…

Abstract

The authors show that there is a negative relationship between economic policy uncertainty (EPU) and firm overinvestment using Korean data from 2007 to 2016. Since Jensen (1986) shows that a firm's free cash flow is an important factor of overinvestment, the authors examine how free cash flow influences the sensitivity of overinvestment to EPU. The authors find that a high level of free cash flow attenuates the negative effect of EPU on overinvestment. The authors find that there is no significant difference in the effect of EPU on overinvestment between Chaebol (Korean family-run conglomerates) and non-Chaebol firms, which is consistent with the literature that the features of Chaebol are weakening.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 4
Type: Research Article
ISSN: 1229-988X

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Article
Publication date: 12 October 2021

Phan Huy Hieu Tran and Thu Ha Tran

The authors examine whether the uncertainty avoidance culture and the stringency of government response play a role in shaping the stock market's response to coronavirus…

Abstract

Purpose

The authors examine whether the uncertainty avoidance culture and the stringency of government response play a role in shaping the stock market's response to coronavirus disease 2019 (COVID-19). The authors find that investors' response to the pandemic will not only depend on their instinct of uncertainty aversion but also on their expectation about the effectiveness of the government measures. The uncertainty avoidance culture amplifies the irrational actions of investors. However, harsh government responses will weaken this effect. Harsh government responses also send a negative signal to the market about the extent of the pandemic and the economic damage caused by anti-COVID measures. Governments need to be balanced in imposing anti-COVID measurements to preserve market confidence.

Design/methodology/approach

In this article, the authors investigate whether the stock market volatility of emerging countries is simultaneously driven by two factors: the uncertainty-aversion culture of investors in a country and the stringency of the government's response to the pandemic. The authors conduct an empirical study on a sample of 20 emerging countries during the period from January 2020 to March 2021.

Findings

The authors find that the national-level uncertainty aversion amplifies the irrational actions of investors during the period of crisis. However, harsh government responses will weaken this effect. The authors’ findings show evidence that investors' response to the pandemic will not only depend on their instinct of uncertainty aversion but also on their expectation about the effectiveness of the government measures. Although harsh government responses can stabilize the investors' sentiment in countries with high levels of uncertainty aversion, they also send a negative signal to the market about the extent of the pandemic as well as the economic damage caused by anti-COVID measures.

Originality/value

First, the study’s results complement evidence from existing studies on the effect of uncertainty avoidance culture in determining stock market responses to COVID-19. Second, an important difference from previous studies, this paper adds to the behavioral finance literature by showing that investors' investment decisions in the face of economic uncertainty are not driven solely by their cultural values but also by their expectation about the effectiveness of the government policy. During a crisis, when the market has neither rational information nor adequate experience to forecast the future, the government must play an important role in stabilizing investors' sentiment and reactions.

Details

Review of Behavioral Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 22 September 2021

Ali Yavuz Polat, Ahmet Faruk Aysan, Hasan Tekin and Ahmet Semih Tunali

This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s (BTC) return, volatility and transaction volume. The authors divide the…

Abstract

Purpose

This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s (BTC) return, volatility and transaction volume. The authors divide the sample into two subperiods to capture the changing dynamics during the COVID-19 pandemic.

Design/methodology/approach

The authors retrieve the novel fear sentiment data from Thomson Reuters MarketPsych Indices (TRMI). The authors denote the subperiods as pre- and post-COVID-19 considering January 13, 2020, when the first COVID-19 confirmed case was reported outside China. The authors use bivariate vector autoregressive models given below with lag-length k, to investigate the dynamics between BTC variables and fear sentiment.

Findings

BTC market measures have dissimilar dynamics before and after the Coronavirus outbreak. The results reveal that due to the excessive uncertainty led by the outbreak, an increase in fear sentiment negatively affects the BTC returns more persistently and significantly. For the post-COVID-19 period, an increase in fear also results in more fluctuations in transaction volume while its initial and cumulative effects are both negative. Due to extreme uncertainty caused by the COVID-19 pandemic, investors may trade more aggressively in the initial phases of the shock.

Practical implications

The authors are convinced that the results in this paper have more far-reaching implications for other markets regulated by the states. BTC provides a natural benchmark to understand how fear sentiment drives and impacts the markets isolated from any interventions. Hence, the results show that in the absence of regulatory frameworks, market dynamics are likely to be more volatile and the fear sentiment has more persistent impacts. The authors also highlight the importance of using micro, asset-specific sentiment measures to capture market dynamics better.

Originality/value

BTC is not associated with any regulatory authority and is not produced by the governments and central banks. COVID-19 as a natural experiment provides an opportunity to explore the pure effects of market sentiment on BTC considering its decentralized and unregulated features. The paper has two main contributions. First, the authors use BTC-specific fear sentiment novel data set of TRMI instead of more general market sentiments used in the existing studies. Next, this is the first study to examine the association between fear and BTC before and after COVID-19.

Details

Studies in Economics and Finance, vol. 39 no. 1
Type: Research Article
ISSN: 1086-7376

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Book part
Publication date: 4 July 2019

Reyhan Can and Işın Dizdarlar

This study is concerned with markets operating in Turkey in the Istanbul Stock Exchange (BIST), which have been observed and studied in relation to herd behavior. During…

Abstract

This study is concerned with markets operating in Turkey in the Istanbul Stock Exchange (BIST), which have been observed and studied in relation to herd behavior. During the research part of the study, the existence of herd behavior was investigated with the help of the daily closing price data of the firms in BIST between January 2011 and December 2017. In the research section of the study, the authors used regression analysis. In the analysis, the authors used the index value of the BIST whole Index. The average value of the index value of BIST whole Index was taken. Then, according to this average, 1% percentile and 5% percentile were taken. In the periods in the 1% percentile (at the dates) the result was that herd behavior was present. The herd behavior was observed for the periods (for dates) included in the percentile of 1%. On the other hand, the results of the analysis for the 5% percentile show that the herd behavior is only seen in the upper extremes.

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Article
Publication date: 12 July 2021

Natasja Steenkamp and Roslyn Roberts

This paper aims to explore how advanced integrated report preparers internalise and operationalise material value creation information to manage the generation of such…

Abstract

Purpose

This paper aims to explore how advanced integrated report preparers internalise and operationalise material value creation information to manage the generation of such information for the integrated report.

Design/methodology/approach

The paper adopts a qualitative approach using in-depth semi-structured interviews to examine how information about material value creation matters in six South African organisations are managed.

Findings

The findings will be useful to integrated reporting adopters as to how they might implement appropriate processes and systems to determine, communicate, collect and process information about matters that substantively affect their value creation.

Originality/value

The paper contributes to the body of knowledge by providing insight on how material value creation matters are determined, communicated internally and information about such matters generated.

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Book part
Publication date: 10 February 2020

Gokce Sinem Erbuga

In recent years, there has been considerable interest in corporate governance literature as a result of massive corporate scandals. In today’s world, almost all companies…

Abstract

In recent years, there has been considerable interest in corporate governance literature as a result of massive corporate scandals. In today’s world, almost all companies are exposed to the danger of fraud. Much work on the business risk of corporate fraud has been carried out; however, researchers still have tough discussions on the most effective methods to adopt to tackle fraud. In accordance with previous studies, it is possible to say that companies which obey the corporate governance codes to the letter can minimize the risk of fraud. The importance of this chapter lies in that it helps to explain the evidence that although the deterrent measures company can undertake may well, to a certain extent, work out the problem of fraud, they are way far from eliminating corporate crimes in establishing “corporate governance.” The latter is the key term that defines the public responsibility of corporates binding themselves to the rule of law. Corporate governance has been discussed as one of the effective ways of calling the attention of large firms to social problems and urging them to take necessary actions. The reason that companies cannot eliminate fraud is strictly linked to the evidences of critical organization studies that question the epistemic assumptions of mainstream strand of the same field. Some studies show that the subject is not rational decision-making, neither does it follow the interest, nor is it a pure homo economicus so that rationality is effective in deterring corporate frauds to a certain extent.

Details

Contemporary Issues in Audit Management and Forensic Accounting
Type: Book
ISBN: 978-1-83867-636-0

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Book part
Publication date: 1 March 2021

Harjum Muharam, Aditya Dharmawan, Najmudin Najmudin and Robiyanto Robiyanto

This study aims to analyze the herding behavior in Southeast Asian stock markets. A cross-sectional absolute deviation of the returns approach is used to identify the…

Abstract

This study aims to analyze the herding behavior in Southeast Asian stock markets. A cross-sectional absolute deviation of the returns approach is used to identify the presence of herding. Individual stocks and market returns were employed on each stock market on a daily basis during the period of January 2008 to December 2014 from five countries selected to obtain the necessary data. The samples observed consisted of stocks having higher liquidity and larger market capitalization for each stock market. The results suggest that there is significant evidence of herding behavior found in Kuala Lumpur and Philippines Stock Exchanges. In addition, there is no evidence of herding behavior in Indonesia, Singapore, and Thailand Stock Exchanges.

Details

Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics
Type: Book
ISBN: 978-1-83867-359-8

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Book part
Publication date: 8 November 2021

Agustin Palupi

This study aims to obtain empirical evidence and analyzes factors that are affecting earnings response coefficient (ERC). Manufacturing companies are used in this…

Abstract

This study aims to obtain empirical evidence and analyzes factors that are affecting earnings response coefficient (ERC). Manufacturing companies are used in this research, which are listed on the Indonesian Stock Exchange from 2016 to 2018. This study used panel data consisting of 114 firm years data. This research is using multiple regression method to examine the effect of independent variable to the dependent variable ERC. The result of this study shows that income smoothing (IS) and systematic risk (SR) have an effect on ERC; while IS, SR, and Firm Growth have an effect on Earnings Announcement; meanwhile, earnings persistence, audit quality, firm size, and leverage have no effect on Earnings Announcement. Implication of the research indicates that investors assess earnings quality of the company for their investment decision. These findings contribute to market reaction on earnings announcement and market-based accounting researches.

Details

Environmental, Social, and Governance Perspectives on Economic Development in Asia
Type: Book
ISBN: 978-1-80117-594-4

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