The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay’s (1988) conventional variance ratio test, and Chow-Denning’s (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.

The purpose of this research study is to examine the stock market’s response to terrorist attacks. The study uses data of terrorist attacks in different parts of the country (Pakistan) from June 1, 2014 to May 31, 2017. The event window procedure applies to a 16-day window in which 5 days before and 10 days after the attack. In addition, several event windows have been built to test the response of the Pakistan Stock Exchange. KSE-100 index is taken as proxy of response. The total terrorist attacks are classified into four categories: attacks on law enforcement agencies, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats. The standard market model is used to estimate the abnormal return of the Pakistan Stock Exchange, which takes 252 business days each year. Furthermore, BMP test is used to check statistical significance of cumulative abnormal rate of return (CAAR). The results of this study reveal that total number of terrorist attacks and attacks on law enforcement agencies show long-term effects on Pakistan stock exchange. However, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats have little effect on the Pakistan Stock Exchange.

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories – the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1st 2000 to October 25th 2019 of the two Vietnamese stock indices: VN index and HNX index, the two oil price indices: BRENT and WTI, and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data, we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility, both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests, the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.

The study examines lagged economic effects of research and development (R&D) investment on the market value of manufacturing firms listed on the Shanghai Stock Exchange or the Shenzhen Stock Exchange in China. This study applies panel data analysis methods to address the following issues: 1) There might be an adjustment lag in the impact of R&D investment on corporate market value, and 2) Unobserved firm effects must be taken into account. The balanced panel data includes a total of 1,462 observations with 34 cross-sections of manufacturing firms listed on Chinese stock markets and with 27 time-specific quarterly periods from 2007 to 2017. The results indicate that the R&D investment of Chinese manufacturing firms tends to yield favorable market value of the firm with some adjustments to time. The results show that R&D investment exhibits a strong positive impact on their market value of manufacturing firms in Chinese stock markets. Moreover, R&D investment has a positive time-lag effect on the market value of the firm. Interestingly, the R&D investment of Chinese manufacturing firms generate a relatively constant positive effect on their market value, supporting the notion that the corresponding returns of R&D investment for such firms yield lagged but added market values.

The objective of this study is to enrich the literature by investigating the impact of introduction of index future trading on spot market returns and trading volume in Vietnam. Data used in this study mainly consist of daily VN30-Index and market trading volume series during the period from February 6th, 2012 to December 31st, 2019. Using OLS, GARCH(1,1) and EGARCH(1,1) models, the empirical findings consistently confirm that the introduction of index future trading has no impact on the spot market returns. In addition, the results of the EGARCH(1,1) model indicate that the leverage effect on the spot market volatility is existence in HOSE. Specifically, bad news has a greater effect on the market volatility than good news of the same size. Moreover, our empirical findings reveal that the introduction of index future contracts has the positive impact on the underlying market trading volume. Specifically, the trading volume of the post-index futures introduction increases by 7.5 percent compared with the pre-index futures introduction. Finally, the results obtained from the Granger causality test for the relationship between the spot market returns and the future trading activity confirm that only uni-directional causality running from the market returns to the future trading activity exists in HOSE.

This study investigates the short-run and long-run causal behavior of the Philippine stock market index volatility under vector error correction environment. The variables were tested first for stationarity and then long-run equilibrium relationship. Moreover, an impulse response function was estimated to examine the extent of innovations in the independent variables in explaining the Philippine stock market index volatility. The results reveal that the volatility of the Philippine stock market index exhibit long-run equilibrium relationship with Peso- Dollar exchange rate, London Interbank Offered Rate, and crude oil prices. The short-run dynamics-based VECM estimates indicate that in the short-run, increases (i.e., depreciation) in Peso-Dollar exchange rate cause PSEI volatility to increase. As for the London Interbank Offered Rate, it causes increases in PSEI volatility in the short-run. The adjustment coefficients used with the long-run dynamics validates the presence of unidirectional causal long-run relationship from Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices to PSEI volatility, and bidirectional causal long-run relationship between PSEI volatility and London Interbank Offered Rate. The impulse response functions developed within the VECM framework demonstrate the positive and negative reactions of PSEI volatility to unanticipated Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil price shocks.

The study examines the impact of corporate social responsibility (CSR) activity on the firm market value, in particular, market capitalization of tour operators listed on Chinese stock markets. This study employs panel data analysis methods to examine endogeneity concerns in observational data. The balanced panel data includes a total of 1,296 observations with 27 cross-sections of tour operators listed on Chinese stock markets and with 48 time-specific periods from March 2006 to December 2017. The results indicate that CSR activity has a negative impact on the market value of the firm for the concurrent period, but from one-period time lag and afterwards CSR activity has a strong positive impact on the market value and sustains its positive impact on the market value even for a two-period time lag. The findings suggest that the economic effect of CSR activity on the firm market value tends to take some degree of lagged effects to be fully showcased in the market capitalization of tour operators and travel companies listed on Chinese stock markets. The findings suggest that, though CSR activity may carry some financial risk for an immediate short-term, tour operators must put a lot of time and effort into making CSR actions effective.

The research investigates the impact of the lockdown period caused by the COVID-19 to the stock market of India. The study examines the extent of the influence of the lockdown on the Indian stock market and whether the market reaction would be the same in pre- and post-lockdown period caused by COVID-19. Market Model Event study methodology is used. A sample of 31 companies listed on Bombay Stock Exchange (BSE) are selected at random for the purpose of the study. The sample period taken for the study is 35 days (24 February-17 April, 2020). An event window of 35 days was taken with 20 days prior to the event and 15 days during the event. The event (t1) being the official announcement of the lockdown. The results indicate that the market reacted positively with significantly positive Average Abnormal Returns during the present lockdown period, and investors anticipated the lockdown and reacted positively, whereas in the pre-lockdown period investors panicked and it was reflected in negative AAR. The study finds evidence of a positive AR around the present lockdown period and confirms that lockdown had a positive impact on the stock market performance of stocks till the situation improves in the Indian context.

Multi-criteria stock selection is a critical issue for effective investment since the improper stock investment might cause many problems affecting investors negatively. Investors need a range of financial indicators while they are choosing the optimal set of stocks to invest. This study aims to rank the stock of agriculture companies indexed on the Vietnam Stock Exchange Market. The data of 13 agriculture companies during the 2016-2019 periods was analyzed by analytical hierarchy process (AHP) integrated with grey relational analysis (GRA), multiobjective optimization ratio analysis (MOORA), and technique for order performance by similarity to ideal solution (TOPSIS). The AHP method is employed to determine the weights of the proposed financial ratios, and GRA, TOPSIS, and MOORA approaches are used to obtain final ranking. The results indicated that HSL is the top stock with the highest rank and GRA, MOORA, and TOPSIS rankings have strong correlation values between 0.78-1. The findings suggest that the integrated model could be implemented effectively to specific analysis of industries such as oil and gas, textiles, food, and electronics in future research. Further, other techniques like COPRAS, KEMIRA, and EDAS could be employed to evaluate the financial performance of other companies to solve investment problems.

The paper examines the impact of information about cash flow from operating activities of firms listed on Vietnam’s stock market to the decision making of individual investors. Data were collected from interviews with 160 individual investors about their investment decisions based on information on profit growth and cash flow growth from operating activities. T-test was conducted to research on Vietnam’s stock market - a market considered as information that is not really public, transparent and ineffective. The research results show that: (1) investors do not care about cash flow from operating activities when making investment decisions if the company’s profits grow positively, (2) information about cash flow from operating activities only affects the decisions of individual investors once profit growth is negative, and (3) conflicting information between profit growth and cash flow growth from business activities significantly affects the confidence and comfort of investors in Vietnam’s stock market when they make investment decisions. Then, the study points out the mistake of investors when making investment decisions, and offers recommendations to investors when making investment decisions, not only concerned with profit growth, but also paying special attention to cash flow growth, especially cash flow from the company’s business operations.

The research paper examines the influence of elections on the stock market. The study analyses whether the market reaction would be the same when a party wins and comes to power for the second consecutive time. The study employs Market Model Event study methodology. The sample period taken for the study is 2014 to 2019. A sample of 31 companies listed in Bombay Stock Exchange is selected at random for the purpose of the study. For the elections held in 2014, an event window of 82 days was taken with 39 days prior to the event and 42 days post event. The event (t0) being the declaration of the election results. For the elections held in 2019 an event window of 83 days was taken with 41 days prior to the event and 41 days post event. The results indicate that the market reacts positively with significantly positive Average Abnormal Returns. The findings of the study reveal that the impact on the market is not the same between any two elections even when the same party comes to power for the second time. The semi-strong form of efficient market hypothesis holds true in the context of emerging markets like India.

The paper examines the dynamic relationship of domestic credit and stock market liquidity on the economic growth of the Philippines from 1995 to 2018 applying the autoregressive distributed lag (ARDL) bounds testing approach to cointegration, together with Granger causality test based on vector error correction model (VECM). The ARDL model indicated a long-run relationship of domestic credit and stock market liquidity on GDP growth. When the GDP per capita is the dependent variable there is weak cointegration. Also, the Johansen cointegration test confirmed the existence of long-run relationship of domestic credit and stock market liquidity both on GDP growth and GDP per capita. The VECM concludes a long-run causality running from domestic credit and stock market liquidity to GDP growth. At levels, domestic credit has significant short-run causal relationship with GDP growth. As for stock market liquidity at first lag, has significant short-run causal relationship with GDP growth. With regards to VECM for GDP per capita, domestic credit and stock market liquidity indicates no significant dynamic adjustment to a new equilibrium if a disturbance occurs in the whole system. At levels, the results indicated the presence of short-run causality from stock market liquidity and GDP per capita. The CUSUMSQ plot complements the findings of the CUSUM plot that the estimated models for GDP growth and GDP per capita were stable.

Building a target capital structure is one of the most important decisions in corporate financial management. The purpose of this article is to identify the determinants of capital structure and adjustment mechanism toward the target leverage. The partial adjustment model was applied on a sample of 306 non-financial companies listed on Vietnam stock exchange market during the period of 2008-2017. By the fixed effect model estimation method, the research results have discovered the factors of growth opportunities, firm size, tangible fixed assets and firm’s unique characteristics have a positive effect on the target capital structure of enterprises. Besides, profitability and dividend payment have a negative effect on the target capital structure of enterprises. Accordingly, the research results show that the average adjustment speed toward target leverage of the firms is 90.03%. Research results also demonstrate firms have higher or lower debt ratio than the target debt ratio, capital surplus or capital deficit also have an impact on the adjustment rate toward the target capital structure. The research results are consistent with the Dynamic Trade-off Theory. From this result, this article has provided policy implications for non-financial companies listed on Vietnam’s stock market in building a reasonable target capital structure according to operating timeline to maximize enterprise value.

This study analyzes the effect of the capital structure of Korean manufacturing firms on default risk based on Moody’s KMV option pricing model where the probability of default is obtained by measuring the distance to default as a covariant in logit model developed by Merton (1974). Based on the panel data of manufacturing firms, this study achieves its primary objective, using a fixed effect regression model and examines the effect of a firm’s capital structure on default risk amongst publicly listed firms on Korea exchange during 2005-2016. Empirical results obtained suggest that the rise in short-term debt to assets leads to increase the risk of default whereas the increase in long-term debt to assets leads to decrease the default risk. The benefits of short-term debt financing over a short-term period fade out in the presence of information asymmetry. However, long-term debt financing overcomes the information asymmetry and enjoys the paybacks of tax advantage associated with long-term debt. Additionally, size, tangibility and interest coverage ratio are also the important determinants of default risk. Findings support the trade-off theory of capital structure and recommend the optimal use of long-term debt in a firm’s capital structure.

Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea. Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM). Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index. Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.

The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends’ Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.

It is undisputable that crude oil and its price fluctuations are major components that affect most of the countries’ economies. Recent studies have demonstrated that beside the impact that crude oil price fluctuations have on common macroeconomic indicators like gross domestic product (GDP), inflation rates, exchange rates, unemployment rate, etc., it also has a strong influence on stock markets and their performance. This relationship has been examined in a number of settings, but it is yet to be unraveled in the Omani context. Accordingly, the main purpose of this study is to examine the possible effect of the oil price fluctuations on stock price movements. The study applies Toda and Yamamoto’s (1995) Granger non-causality test on the daily Oman stock index (Muscat Securities Market Index) and oil prices between the period of 2 January 2003 and 13 March 2016. The results indicated that the oil price fluctuations have a significant impact on stock index movements. However, the stock price movements do not have a significant impact on oil prices. These findings have significant implications not only for the Omani economy but also for the economy of similar countries, particularly in the Gulf Cooperation Council (GCC) countries. The latter should carefully consider their policies and strategies regarding crude oil production and the generated income allocation as it might potentially affect the financial markets performance in these countries.

The purpose of this paper is to investigate the volatility of both Islamic and conventional stock market in Indonesia with the aim of identifying the most appropriate model for risk management practice. The study considers GARCH as a genre of model to measure the volatility of stock market movement. The results support the view that each model shows specific volatility from both Islamic and conventional stock market in Indonesia. In Islamic stock market, volatility is affected by exchange rate and money supply (M1) but not interest rate as interest is prohibited in Islam. However, interest rate is found as a principal factor that affects volatility of conventional stock market. The outcomes of this paper are of particular significance to policy makers, as it provides guidelines to maintain economic health. Furthermore, the findings may assist practitioners to understand the consequences of macroeconomic factors such as exchange rate, money supply and interest rate, which are very crucial for the market stability of Indonesian stock market. The paper enhances the understanding of stock market volatility and proposes guidelines risk management practices.