The Influence of Google Search Intensity on the Stability of the Indonesian Capital Market in the Perspective of the Defense Economy

This study aims to determine the Influence of Google Search Intensity on the Stability of the Indonesian Capital Market, as well as looking at the defense and security aspects, especially the economy. The research sample is the shares of the banking sector companies listed on the Indonesia Stock Exchange for the 2016-2018 period. The independent variable used in this study is the Abnormal Search Volume Index. The control variables used are Volatility, and Abnormal Trading Volume Lagged. The dependent variable used is Abnormal Trading Volume. The sampling method used in this study used a purposive sampling technique. Obtained the number of samples as many as 18 companies. The analysis technique used in this research is panel data regression. The results of this study indicate that the intensity of Google searches using the ASVI proxy has a significant positive effect on the stability of the stock represented by Abnormal Trading Volume. This illustrates that the use of Google search intensity data can be used as a reference in making defense policies against non-military threats, especially the stability of the Indonesian Capital Market.

Disposition effect at the market level: evidence from Indian stock market

Purpose The purpose of this paper is to test the disposition effect at market level and propose an appropriate reference point for testing disposition at market level. Design/methodology/approach This is an empirical study conducted on 500 index stocks of NSE500 (National Stock Exchange). Winning and losing days for each stock are calculated using 52-week high and low prices as reference points. To test disposition effect, abnormal trading volumes of stocks are regressed on their percentage of winning (losing) days. Further using ANOVA, the difference between mean of percentage of winning (losing) days of high abnormal trading volume deciles and low abnormal trading volume deciles is tested. Findings Results show that a stock’s abnormal trading volume is positively influenced by the percentage of winning days whereas percentage of losing days show no such effect. Findings are consistent even after controlling for volatility and liquidity. ANOVA results show the presence of high percentage of winning days in higher deciles of abnormal trading volumes and no such pattern in case of losing days confirms the presence of disposition effect. Further an ex post analysis indicates that disposition prone investors accumulate losses. Originality/value This is the first study, which proposes the use of 52-week high and low prices as reference points to test the market-level disposition effect. Findings of this study enhance the limited literature available on disposition effect in emerging markets by providing evidence from Indian stock markets.

Differential Interpretations and Earnings Quality

SYNOPSIS We investigate the association between earnings quality and investor disagreement regarding the valuation consequences of earnings announcements. A primary purpose of financial reporting, including periodic earnings releases, is to convey useful information to investors. However, earnings may be of low quality due to an inherent failure in the accounting process to accurately represent the economic entity, unintentional errors, or intentional manipulation on the part of management. We argue that low-quality earnings will be associated with more divergent opinions regarding the implication of the earnings signal (i.e., differential interpretations) and, thus, be reflected in their trading activity. We use two abnormal accrual measures and an earnings persistence measure as proxies for earnings quality. We proxy for differential interpretations using abnormal trading volume unrelated to returns and analyst forecast jumbling. Our results show that low earnings quality is associated with more differential interpretations of earnings announcements measures.

The Investors Reaction to the Disclosure of Key Audit Matters: Empirical Evidence from Jordan

This study aims to examine the investors reaction to the disclosure of key audit matters (KAMs) as mandated by ISA701, the study’s sample consisted of all the (195) public shareholding companies listed in Amman Stock Exchange (ASE) as at the end of 2017, and through which we have conducted a manual content analysis to tracing the auditor practices in reporting KAMs, the final sample consisted of (128) public shareholding companies and for which we used the event study test to examine the study hypothesis, results revealed that the disclosure of KAMs has significantly affected the investors decisions measured by the abnormal trading volume, Our findings suggest that the mandating of KAM’s disclosure has informational value to the investors.

Consequences of Expanded Audit Reports: Evidence from the Justifications of Assessments in France

SUMMARY Since 2003, French auditors must disclose justifications of assessments (JOAs) in expanded audit reports. Like critical audit matters recently introduced in the U.S., and key audit matters introduced by international standard setters, the purpose of JOAs is to enhance the informative value of audit reports. Based on French audit reports from 2002 to 2011, we analyze the impact of first-time implementation of JOAs, and the impact of new JOAs in subsequent years, on investors (measured by abnormal returns and abnormal trading volume) and on the audit (measured by audit report lag, abnormal accruals, and audit fees). For both first-time implementation of JOAs and new JOAs in subsequent years, we find no significant market reaction to their disclosure and no significant effect on audit report lag, audit quality, and audit fees. Our results suggest that the French expanded audit report did not have the expected consequences on investors and the audit.

Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional

Capital market efficiency is one of the most important part in finance theory, in which assume the price of stock will fully reflect the information available in the market, hence the price will adjust directly and quickly. The objective of this study is to evaluate the efficiency of both Islamic and conventional stock markets, particularly in case of Indonesia. Event study of King Salman Visit in Indonesia was used as testing periods. Abnormal return and average abnormal trading volume activity of 30 companies listed in Jakarta Islamic Index (JII) to represent Islamic capital market and 17 companies listed in LQ45 to represent conventional capital market were employed to explain this issue. The result shows that from abnormal return perspectives both Islamic and conventional capital market are efficient. While from abnormal trading volume activities, shows that during the visit of King Salman, the trading activity in Islamic capital market is increased significantly rather than conventional counterpart. Keywords: Islamic capital market, capital market efficiency, abnormal return and abnormal trading volume activity

Leveling the Playing Field between Large and Small Institutions: Evidence from the SEC's XBRL Mandate

ABSTRACT We investigate how XBRL adoption affects smaller institutions' access to financial statement information relative to their larger counterparts. We examine three aspects of trading responsiveness: abnormal trading volume, response speed to 10-K information, and decision to trade immediately following the 10-K filing. With regard to all three aspects of trading responsiveness, we find that small institutions' responsiveness to 10-K news increases significantly more relative to the change experienced by large institutions from the pre- to post-XBRL periods. We further document that small institutions' stock picking skills in the 10-K filing period increase more compared to those of large institutions following the regulation. Our results are robust to a battery of falsification and sensitivity tests. Collectively, our results suggest that the informational playing field between small and large institutions has become more even following the SEC's XBRL mandate. JEL Classifications: G11; G24; M48.

Dampak Devaluasi Yuan Pada 11 Agustus 2015 Terhadap Abnormal Return Dan Abnormal Trading Volume Activity Saham Yang Tercatat Di Jakarta Islamic Index JII)

Government-related announcement is one of the determinants that potentially affect capital market. This research aims to see the reaction of stock market to Yuan Devaluation on August, 11 2015. The market reaction in this study is indicated by the presence of abnormal retun and abnormal trading volume activty. The approach taken in this research is the quantitative approach with event study method by using one sample t-test and paired sample t-test analysist. The variables in this research are Yuan Devaluation, AAR, and AATVA. The issuers observed in this research are stock listed on JII during the period of study. Results showed that stock listed on JII reacted to Yuan Devaluation, that is showed by significant results both in the AAR and AATVA, which means Yuan Devaluation bears valuable information for investor.

Reaksi Pasar Atas Pengumuman Dividen (Studi Pada Emiten Yang Terdaftar Di Jakarta Islamic Index)

This research aims to see market reaction over the increasing and declining dividend announcement. The objective in this research is to test whether the stock price reacts positively to the increasing dividend announcement and reacts negatively to the declining dividend announcement are shown by the significant abnormal return (AR) value in around the announcement date and by the significant difference of abnormal trading volume activity (ATVA) before and after the announcement. The results indicate that market does not react over increasing as well as decreasing dividend announcement. This indicates that the event of dividend changes announcement are not reacted by market.