This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, bookto- market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

Nowadays, many construction engineering and technology enterprises are evolving to find that prosperity is driven and inspired by an open economy with dynamic markets and fierce multifaceted competition. Besides brand and product uniqueness, the ability to quickly provide customers with quotes are matters of concern. Such a requirement for prompt cost estimation of construction investment projects with the use of a construction price index poses a significant challenge to contractors. This is because the nature of the construction industry is shaped by changes in domestic and foreign economic factors, socio-financial issues, and is under the influence of various micro and macro factors. This paper presents a fuzzy decision-making approach for calculating critical factors that affect the construction price index. A qualitative approach was implemented based on in-depth interviews of experts in the construction industry in Vietnam. A synthetic comparison matrix was calculated using Buckley approach. The CoA approach was applied to defuzzified the fuzzy weights of factors that affect the construction price index. The research results show that the top five critical factors affecting the construction price index in Vietnam are (1) consumer price index, (2) gross domestic product, (3) basic interest rate, (4) foreign exchange rate, and (5) total export and import.

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 factors affecting apartment prices in the real estate market of Ho Chi Minh City, Vietnam. The study uses primary data based on surveys of customers who have traded successfully, and collects transaction data from real estate trading companies that are the top investors in Ho Chi Minh City real estate market. The collected data include 384 observations in a total of 24 districts, detailing that each district surveyed on a minimum of four projects, each project carried out a survey on a minimum of four apartments. The survey collected 339 valid questionnaires for analysis and model testing. This study employs multivariate regression with the data of 339 observations. The research results reveal that five significant factors affect positively the price of apartments in Ho Chi Minh City – apartment area, toilet and bedroom, apartment floor, reference price, and apartment interior. Besides, there are three significant factors affecting negatively the price of apartments – next price trend, distance to city center, and potential building. From the results, the research proposes solutions in the pricing of apartments in the real estate market in Ho Chi Minh City – better information system, a real estate transaction index, and stricter management of small brokerage activities.

This study examines and analyzes the effect of innovation on the price to book value mediated by managerial ownership in Indonesian companies. In order to achieve the goals and objectives, the company increases its value by increasing shareholders. Improving the welfare of shareholders can be done through investment and financial policies, and is reflected in share prices in the capital market. The higher the share price, the better the owner’s welfare, and the company’s value will also increase. The population of this study is the manufacturing companies – as many as 162 – listed on the Indonesia Stock Exchange in 2012-2017. By using a purposive sampling method, 25 companies met the criteria for the sample. The data comes from the companies’ annual report taken from the Indonesia Stock Exchange website. The data is further analyzed using partial least square (PLS). The results of the study showed that innovation has a significant effect on price to book value. The companies with high marketing innovation produce high company performance as well. The companies get a commensurate reward from marketing innovation activities to carry out continuous marketing innovations. In addition, managerial ownership does not mediate the relationship between innovation and price to book value

The study aims to identify and measure factors affecting the perception of the selling price of luxury apartments in Hanoi. We conducted a questionnaire consisting of 29 observation variables with a 5-point Likert scale. Independent variables were measured from 1 “without effect” to 5 “strongly”. Based on the desk review and results of interviews, a total of 500 questionnaires were sent to research participants for collection; 458 of them met standard and were subject to be analyzed. This study employs Cronbach’s Alpha test, and regression model. The results of Exploratory Factor Analysis (EFA) and Multiple Regression Analysis (MRA) identify five main determinants influencing the perception of the selling price of luxury apartments in Hanoi, including Physical characteristics of a luxury apartment (PC); Location and position of an apartment (LP); Surrounding Area (SA); Quality of service provided by managers; (QS) and Demographics factor (DF). Based on the findings, some recommendations have been proposed to help the firm leaders design appropriate personnel policies for creating better price satisfaction for customers in the future. On this basis, the authors propose a number of recommendations to improve the quality of luxury apartments, thereby contributing to the development of the market for luxury apartments in Hanoi

The study investigates the effect of the widened daily stock price limits on the usefulness of accounting information in Korea: 1) whether investors place a higher importance on audit quality, an indicator of the reliability of accounting information, and 2) whether there are differences in the relationships between audit quality and stock-price earning-rates two years before and after June 15, 2016. This study employs samples of two years (2013 to 2015) before the widening and two years after the widening (2016 to 2017). The samples are limited to the companies listed on the Korea Stock Exchange, accounting settled in December, collected from Fn-Guide and TS-2000 of the Korea Listed Companies Association. The results show that the positive association between audit quality and stock return was increased during the later period, compared to the preceding period. This tendency was more evident in companies with higher debt ratios and companies with lower levels of income smoothing, which is considered to have higher risks. The findings suggest that it is the first study evaluating the effect of widening daily stock price limits, made on June 15, 2015, on the usefulness of audit quality information by examining the relevance between audit quality and stock return.

Stock price multiple is one of the most well-known equity valuation technique used to forecast equity price. It measures by multiplying “the ratio of stock price to a value driver” by a value driver. The value driver can be earning per share (EPS), sales or other financial measurements. The objective of price multiple technique is to evaluate the value of assets and compare how similar assets are priced in the market. Although stock price multiple technique is common in financial filed, studies on the application of the technique in Thailand is still limited. The present study is conducted to serve three major objectives. The first objective is to apply the technique to measure value of firms in banking sector in the Stock Exchange of Thailand. The second objective is to develop composite price multiple index to forecast equity prices. The third objective is to compare valuation accuracy of different value drivers of price multiple (i.e. EPS, Earnings Growth, Earnings Before Interest Taxes Depreciation and Amortization, Sales, Book Value and Composite Index) in forecasting equity prices. Results indicated that EPS is the most accurate value drivers of price multiple used to forecast equity price of firms in baking sector.

Purpose: This research aims to investigate the impact of corporate integrity on stock price crash risk. Research design, data, and methodology: Taking 1419 firms listed in Shenzhen Stock Exchange in China as a sample, this paper empirically analyzed the relationship between corporate integrity and stock price crash risk. The main integrity data was hand-collected from Shenzhen Stock Exchange Website. Other financial data was collected from CSMAR Database. Results: Findings show that corporate integrity can significantly decrease stock price crash risk. After changing the selection of samples, model estimation methods and the proxy variable of stock price crash risk, the conclusion is still valid. Further research shows that the relationship between corporate integrity and stock price crash risk is only found in firms with weak internal control and firms in poor legal system areas. Conclusions: Results of the study suggest that corporate integrity has a significant influence on behaviors of managers. Business ethics reduces the likelihood of managers to overstate financial performance and hide bad news, which leads to the low likelihood of future stock price crashes. Meanwhile, corporate integrity can supplement internal control and legal system in decreasing stock price crash risks.

국내의 경우 아파트 등 공동주택의 안전점검과 진단은 2-6년 주기로 수행되고 있다. 하지만 최근 2016년 이후의 안전점검 및 진단 용역의 적법 수행여부에 대한 정부합동점검결과, 공동주택의 부실수행 비율이 매우 높다. 이는 공동주택의 경우 법정 대가기준 대비 평균 1-10% 수준에서 용역이 낙찰되기 때문인 것으로 분석된다. 본 연구에서는 공동주택의 안전전검 및 진단에 대한 결과조사를 바탕으로 업체형태, 협약방식 별로 협약대가, 조사 및 시험의 충실성 등 현황을 분석하였다. 조사대상은 년도, 규모, 지역 등 다양한 변수 분포를 가지며, 이를 바탕으로 공동주택의 안전점검 및 진단의 부실 현황을 분석하였다.

The paper aims to investigate the impact of the gap between domestic and international gold price on money demand in Vietnam, an emerging economy in the Asian region. We use a quarterly database collected from the first quarter of 2004 to the fourth quarter of 2016. The time-series database includes 52 observations. The money demand is represented by M2; Domestic income is the Gross domestic product at the constant prices of 1994; Inflation rate is calculated by the Customer Price Index from the General Statistics Office of Vietnam. The result confirms the existence of a long-term cointegration relationship between the money demand and the gap between domestic and international gold price as well as some variables including domestic income, inflation, and real exchange rate. The regression results also show that the gap between domestic and international gold price has a positive impact on money demand in the Vietnamese economy. Besides, the domestic income and international gold price have positive impacts on money demand while the inflation and real exchange rate are negatively related in the long run. This proves that the gap between the domestic and international gold price really has a positive impact on money demand in Vietnam during the study period.

The paper aims to measure stock price volatility on Ho Chi Minh stock exchange (HSX). We apply symmetric models (GARCH, GARCH-M) and asymmetry (EGARCH and TGARCH) to measure stock price volatility on HSX. We used time series data including the daily closed price of VN-Index during 1/03/2001–1/03/2019 with 4375 observations. The results show that GARCH (1,1) and EGARCH (1,1) models are the most suitable models to measure both symmetry and asymmetry volatility level of VN-Index. The study also provides evidence for the existence of asymmetric effects (leverage) through the parameters of TGARCH model (1,1), showing that positive shocks have a significant effect on the conditional variance (volatility). This result implies that the volatility of stock returns has a big impact on future market movements under the impact of shocks, while asymmetric volatility increase market risk, thus increase the attractiveness of the stock market. The research results are useful reference information to help investors in forecasting the expected profit rate of the HSX, and also the risks along with market fluctuations in order to take appropriate adjust to the portfolios. From this study’s results, we can see risk prediction models such as GARCH can be better used in risk forecasting especially.

The paper aims to test long-term and short-term causality from four exchange rates, the Korean won/$US, the Korean won/Euro, the Korean won/Japanese yen, and the Korean won/Chinese yuan, to the Korea Composite Stock Price Index in the presence of several macroeconomic variables using monthly data from January 1986 to June 2018. The results of Johansen cointegration tests show that there exists at least one cointegrating equation, which indicates that long-run causality from an exchange rate to the Korean stock market will exist. The results of vector error correction estimates show that: for long-term causality, the coefficient of the error correction term is significant with a negative sign, that is, long-term causality from exchange rates to the Korean stock market is observed. For short-term causality, the coefficient of the Japanese yen exchange rate is significant with a positive sign, that is, short-term causality from the Japanese yen exchange rate to the Korean stock market is observed. The coefficient of the financial crises i.e. 1997-1999 Asian financial crisis and 2007- 2008 global financial crisis on the endogenous variables in the model and the Korean economy is significant. The result indicates that the financial crises have considerably affected the Korean economy, especially a negative effect on money supply.

The purpose of this study is to explore the dynamic properties of causality and asymmetric price transmission in the distributional channel of the tomato market in Korea. Using the wholesale and retail price series of the tomato market, we obtain the following results. First, the price transmission mechanism reveals the causal relationship channeling from the wholesale price to the retail price. Second, we find an asymmetric price transmission from the analysis using the threshold partial adjustment model. The retail price responds strongly when the wholesale price increases. On the other hand, the retail price shows sluggish adjustment when the wholesale price decreases.

Purpose – The purpose of this study examines when the optimism impact on financial asset price forecasting and the boundary condition of optimism in the financial asset price forecasting. People generally tend to optimistically forecast their future. Optimism is a nature of human beings and optimistic forecasting observed in daily life. But is it always observed in financial asset price forecasting? In this study, two factors were focused on considering whether the optimism that people have applied to predicting future performance of financial investment products (e.g., mutual fund). First, this study examined whether the degree of optimism varied depending on the direction of the prior price trend. Second, this study examined whether the degree of optimism varied according to the forecast period by dividing the future forecasted by people into three time horizon based on forecast period. Research design, data, and methodology – 2 (prior price trend: rising-up trend vs falling-down trend) x 3 (forecast time horizon: short term vs medium term vs long term) experimental design was used. Prior price trend was used between subject and forecast time horizon was used within subject design. 169 undergraduate students participated in the experiment. χ2 analysis was used. In this study, prior price trend divided into two types: rising-up trend versus falling-down trend. Forecast time horizon divided into three types: short term (after one month), medium term (after one year), and long term (after five years). Results – Optimistic price forecasting and boundary condition was found. Participants who were exposed to falling-down trend did not make optimistic predictions in the short term, but over time they tended to be more optimistic about the future in the medium term and long term. However, participants who were exposed to rising-up trend were over-optimistic in the short term, but over time, less optimistic in the medium and long term. Optimistic price forecasting was found when participants forecasted in the long term. Exposure to prior price trends (rising-up trend vs falling-down trend) was a boundary condition of optimistic price forecasting. Conclusions – The results indicated that individuals were more likely to be impacted by prior price tends in the short term time horizon, while being optimistic in the long term time horizon.

Purpose – Unstable vegetable prices have been one of the major concerns in Korean agricultural and food marketing system. The Korean government has implemented a number of policy instruments, including government purchasing programs in order to alleviate fluctuations in vegetable prices. The economic impact of policy instruments has been assessed based on the average monthly price change rate before and after the implementation of the policy. However, this approach failed to provide a net impact of policy measures on price stabilization in the vegetable markets, as policy impacts could not be successfully distinguished from other effects on price changes in the vegetable market. The purpose of this study is to evaluate the net impact of the government purchasing program on the price volatility of dried red pepper which is considered one of the major vegetables in Korea. Research design, data, and methodology – This study develops a monthly dynamic partial equilibrium model of Korean dried red pepper market. Behavioral equations in the model were estimated by OLS and synthetic method based on the annual and monthly time series data from 1993 to 2015. The model is first simulated to yield actual dried red pepper market conditions in 2015 as a baseline and then compared it to the scenario assuming that there were no government purchases of dried red pepper in 2015. Results - According to the ex-post scenario analysis using the developed model, without the government procurements in 2015, the average monthly price change rate and the value of coefficient of variation of dried red pepper in 2015 would be respectably 7.9 percent and 0.10. It is relatively higher than the actual average monthly price change rate and the value of coefficient of variation of dried red pepper in 2015 which were respectively 1.7 percent and 0.06. Conclusions - The ex-post simulation results in this study shows that if there were no government purchases of dried red pepper in 2015, the dried red pepper market would have had much higher volatile price movements. The results of this study would provide useful information for future price stabilization policy of vegetable markets in Korea.

Purpose – This study examines the effect of control-ownership wedge on stock crash risk. In Korea, controlling shareholders have exclusive control rights compared to their cash flow rights. With increasing disparity, controlling shareholders abuse their power and extract private benefits at the expense of the minority shareholders. Managers who are controlling shareholders of the companies tend not to disclose critical information that would prevent them from pursuing private interests. They accumulate negative information in the firm. When the accumulated bad news crosses a tipping point, it will be suddenly released to the market at once, resulting in an abrupt decline in stock prices. We predict that stock price crash likelihood due to information opaqueness increases as the wedge increases. Research design, data, and methodology – 831 KOSPI-listed firm-year observations are from KisValue database from 2005 to 2011. Control–ownership wedge is measured as the ratio (UCO −UCF)/UCO where UCF(UCO) is the ultimate cash-fl ow(control) rights of the largest controlling shareholder. Dependent variable CRASH is a dummy variable that equals one if the firm has at least 1 crash week during a year, and zero otherwise. Logistic regression is used to examine the relationship between control–ownership wedge and stock price crash risk. Results – Using a sample of KOSPI-listed firms in KisValue database for the period 2005–2011, we find that stock price crash risk increases as the disparity increases. Specifically, we find that the coefficient of WEDGE is significantly positive, supporting our prediction. The result implies that as controlling shareholders’ ownership increases, controlling shareholders tend to withhold bad news. Conclusions – Our results show that agency problems arising from the divergence between control rights and cash flow rights increase the opaqueness of accounting information. Eventually, the accumulated bad news is released all at once, leading to stock price crashes. It could be seen that companies with high control-ownership wedge are likely to experience future stock price crashes. Our study is related to a broader literature that examined the effect of the control-ownership wedge on stock markets. Our findings suggest that the disparity is a meaningful predictor for future stock price crash risk. The results are expected to provide useful implications for firms, regulators, and investors.

Purpose - This work analyzes, in detail, the specification of vector error correction model (VECM) and thus examines the relationships and impact among seven economic variables for USA - balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), a measure of the money supply that includes total currency as well as large time deposits, institutional money market funds, short-term repurchase agreements and other larger liquid assets (M3), real rate of interest (IR_REAL) and household credits (LOAN). In particular, we search for the main explanatory variables that have an effect on stock and real estate market, respectively and investigate the causal and dynamic associations between them. Research design, data, and methodology – We perform the time series vector error correction model to infer the dynamic relationships among seven variables above. This work employs the conventional augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root techniques to test for stationarity among seven variables under consideration, and Johansen cointegration test to specify the order or the number of cointegration relationship. Granger causality test is exploited to inspect for causal relationship and, at the same time, impulse response function and variance decomposition analysis are checked for both short-run and long-run association among the seven variables by EViews 9.0. The underlying model was analyzed by using 108 realizations from Q1 1990 to Q4 2016 for USA. Results – The results show that all the seven variables for USA have one unit root and they are cointegrated with at most five and three cointegrating equation for USA. The vector error correction model expresses a long-run relationship among variables. Both IR_REAL and M3 may influence real estate market, and GDP does stock market in USA. On the other hand, GDP, IR_REAL, M3, STOCK and LOAN may be considered as causal factors to affect real estate market. Conclusions – The findings indicate that both stock market and real estate market can be modelled as vector error correction specification for USA. In addition, we can detect causal relationships among variables and compare dynamic differences between countries in terms of stock market and real estate market.

Purpose – This research examines the short-run and long-run effect of external shocks (oil price and exchange rate) on domestic food price in Indonesia. Research design, data, and methodology – Three variables are used in this research. The variables are food price index, Rupiah’s exchange rate of Indonesia, and crude oil price from 1998 until 2015 using Vector Error Correction Model (VECM). Results - The increasing of oil price and the depreciation of Rupiah’s rate push the domestic food price in long-run, but do not impact significantly in short- term . The response of food price to oil prices shock and exchange rate shock are positive and persistent throughout the entire sample period. The exchange rate and oil price shocks have a small proportion explaining for the fluctuations of food price index but increasing over time. Conclusions - The policymaker should concern on solving the problem of oil price increase and depreciation of exchange rate on Indonesia’s food price as they are important factors that can affect the price stability. The government should not rely on food imports because the price is strongly influenced by the movements in the exchange rate.

This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour of those commodities. The empirical results show that the own-volatility spillover are relatively significant for all food prices. The own-volatility spillover effect for sugar price is relatively large compared with the volatility spillover of other staple food commodities. The findings also highlight that the price volatility of wheat increases during food crisis more than it does when the condition is stable. Also, the own-volatility of rice and wheat in the period of the food crisis is significant and higher compared to the period before food crisis indicates that the past own-volatility effects during food crisis are relatively more difficult to predict because of the uncertainty and high price volatility. Policy recommendations that can be proposed based on the findings are: (1) a better trade agreement in food commodity trade, (2) Indonesia should not depend on wheat importation, and (3) early warning system to minimize food price volatility risks.