Company Size Effect in the Stock Market of Thailand

The outperformance of small capitalization companies over large capitalization companies is a well-known occurrence in developed markets (Gorn, 1962), (Jacobs, 1989) with (Banz, 1981) numerically showing that this effect on stocks in the New York Stock Exchange. This phenomenon is based on the idea that some company specific characteristics can have a statistically significant impact on stock performance. The existence, or otherwise of this effect in emerging markets has received less attention. Given the very different characteristics of emerging markets compared to mature markets like the US is not immediately evident that the same conclusions can be extrapolated. One of the immediate clear differences between emerging and mature markets is the depth with markets like the US having a large amount of listed companies as well as large average trading volumes. In fact, when this analysis has been repeated in some emerging markets, such as Sri Lanka, the results seem to indicate that there is no statistically appreciable difference between the return of small and large capitalization stocks (Macn, 2013). It should be noted that in the case of the Sri Lanka case there were only, at the time of the article, 25 listed companies, of which only 12 were included in the analysis. The specific case of the stock market of Thailand is analyzed in this paper. The results of this article seem to point towards the existence of a size effect, affecting stock performance, in the Thai stock market. Some articles covering emerging market as a whole as pointed towards the opposite results. Given the substantial differences among emerging markets countries it is perhaps a better approach to follow an individualized analysis, country per country, rather than treat it as a homogenous group.

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Absence of the weekend effect and industry-style portfolios

Journal of Financial Economic Policy ◽

10.1108/jfep-04-2019-0066 ◽

2019 ◽

Vol 12 (4) ◽

pp. 463-475

Author(s):

Selma Izadi ◽

Abdullah Noman

Keyword(s):

New York ◽

Stock Market ◽

Structural Breaks ◽

Stock Exchange ◽

Structural Break ◽

Weekend Effect ◽

Content Type ◽

Market Portfolio ◽

The Us ◽

Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

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A comparative study on strategy disclosure between emerging markets and developed markets

Journal of Indian Business Research ◽

10.1108/jibr-09-2017-0168 ◽

2019 ◽

Vol 11 (1) ◽

pp. 2-22

Author(s):

Morungwa Lumka Phala ◽

Yaeesh Yasseen ◽

Nirupa Padia ◽

Waheeda Mohamed

Keyword(s):

New York ◽

Stock Exchange ◽

Emerging Market ◽

Listed Companies ◽

Annual Reports ◽

New York Stock Exchange ◽

Content Type ◽

Johannesburg Stock Exchange ◽

York Stock Exchange ◽

Market Sample

Purpose This study aims to compare the extent of voluntary strategy disclosure in the annual/integrated reports of listed companies in an emerging market with the extent of strategy disclosure in the annual/integrated reports of listed companies in a developed market. Design/methodology/approach A developed market sample that was made up of the top 50 companies on the New York Stock Exchange and the Australian Stock Exchange was compared to an emerging market sample that was made up of the top 50 companies on the Johannesburg Stock Exchange and the Bombay Stock Exchange. The comparison was conducted by scoring the amount of strategy disclosure reported in the annual/integrated reports of the companies for the years 2011, 2012 and 2013. Findings The emerging market companies had average to good strategy disclosures in their annual reports, whereas the annual reports of companies in the developed market showed low strategy disclosure. Originality/value This study expanded upon the limited research available on strategy disclosure by comparing the extent of strategy disclosures in two developmental markets (the developed and emerging market).

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The Impact of COVID-19 on Stock Market Returns in Vietnam

Journal of Risk and Financial Management ◽

10.3390/jrfm14090441 ◽

2021 ◽

Vol 14 (9) ◽

pp. 441

Author(s):

Dao Van Hung ◽

Nguyen Thi Minh Hue ◽

Vu Thuy Duong

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Exchange ◽

Emerging Market ◽

Random Effect Model ◽

Financial Sector ◽

Listed Companies ◽

Government Control ◽

Stock Market Returns ◽

The Impact

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market—a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed companies on both HOSE (the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2 January 2020 to 13 December 2020. The study shows that the number of daily COVID-19 confirmed cases in Vietnam has a negative impact on stock returns of listed companies in the market. The impacts were more severe for the pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors, with the financial sector being the most affected. With significant government control and influence over the bank-dominated financial system, the financial sector was expected to absorb some of the negative shocks hitting the real sector. Such expectations were reflected in the stock market movement during the pandemic.

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Does New York Stock Exchange Appreciate IFRS More than European Stock Markets? Evidences from Cross Listed Companies

SSRN Electronic Journal ◽

10.2139/ssrn.2016688 ◽

2012 ◽

Cited By ~ 3

Author(s):

Maurizio Ricciardi

Keyword(s):

New York ◽

Stock Markets ◽

Stock Exchange ◽

Listed Companies ◽

New York Stock Exchange ◽

York Stock Exchange ◽

European Stock Markets

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Conditional stock liquidity premium: is Warsaw stock exchange different?

Studies in Economics and Finance ◽

10.1108/sef-03-2020-0075 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Szymon Stereńczak

Keyword(s):

Emerging Markets ◽

Stock Returns ◽

Stock Exchange ◽

Emerging Market ◽

Market Liquidity ◽

Investment Horizon ◽

Liquidity Premium ◽

Stock Liquidity ◽

Content Type ◽

Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

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IFRS and Stock Returns: An Empirical Analysis in Brazil

Binus Business Review ◽

10.21512/bbr.v7i2.1593 ◽

2016 ◽

Vol 7 (2) ◽

pp. 179 ◽

Cited By ~ 1

Author(s):

Rodrigo F. Malaquias ◽

Anderson Martins Cardoso ◽

Gabriel Alves Martins

Keyword(s):

New York ◽

Stock Market ◽

Stock Returns ◽

Stock Exchange ◽

Relevant Information ◽

Graphic Analysis ◽

Accounting Numbers ◽

Before And After ◽

Accounting Reports ◽

Accounting Convergence

In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III) at the New York Stock Exchange (NYSE). For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

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Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

International Journal of Financial Research ◽

10.5430/ijfr.v11n6p318 ◽

2020 ◽

Vol 11 (6) ◽

pp. 318

Author(s):

Jaber Yasmina

Keyword(s):

Stock Market ◽

Financial Market ◽

Stock Exchange ◽

Emerging Market ◽

Explanatory Power ◽

Trading Activity ◽

Auto Correlation ◽

The Asymmetry ◽

The Impact ◽

The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

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Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

International Journal of Economics and Finance ◽

10.5539/ijef.v9n11p35 ◽

2017 ◽

Vol 9 (11) ◽

pp. 35

Author(s):

Jibrin Daggash ◽

Terfa W. Abraham

Keyword(s):

South Africa ◽

Exchange Rate ◽

Stock Market ◽

Stock Exchange ◽

Equity Prices ◽

The Us ◽

Short Run ◽

Us Dollar ◽

The Exchange Rate ◽

The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

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LONG-TERM MEMORY IN EMERGING MARKETS: EVIDENCE FROM THE CHINESE STOCK MARKET

International Journal of Information Technology & Decision Making ◽

10.1142/s0219622006002088 ◽

2006 ◽

Vol 05 (03) ◽

pp. 495-501 ◽

Cited By ~ 3

Author(s):

CHAOQUN MA ◽

HONGQUAN LI ◽

LIN ZOU ◽

ZHIJIAN WU

Keyword(s):

Stock Market ◽

Emerging Markets ◽

Emerging Market ◽

Long Term Memory ◽

Chinese Stock Market ◽

Market Returns ◽

Stock Market Returns ◽

Term Memory ◽

Rescaled Range Analysis

The notion of long-term memory has received considerable attention in empirical finance. This paper makes two main contributions. First one is, the paper provides evidence of long-term memory dynamics in the equity market of China. An analysis of market patterns in the Chinese market (a typical emerging market) instead of US market (a developed market) will be meaningful because little research on the behaviors of emerging markets has been carried out previously. Second one is, we present a comprehensive research on the long-term memory characteristics in the Chinese stock market returns as well as volatilities. While many empirical results have been obtained on the detection of long-term memory in returns series, very few investigations are focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. By means of using modified rescaled range analysis and Autoregressive Fractally Integrated Moving Average model testing, this study examines the long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significant long-term dependence. It would be beneficial to encompass long-term memory structure to assess the behavior of stock prices and to research on financial market theory.

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