Asian Academy of Management Journal of Accounting and Finance最新文献_第4页

Forecasting the High-Frequency Exchange Rate Volatility with Smooth Transition Exponential Smoothing 平稳过渡指数平滑预测高频汇率波动

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.10

J. Ho, W. Choo, Ruxian Zhangyu, C. Yee, W. Lau

{"title":"Forecasting the High-Frequency Exchange Rate Volatility with Smooth Transition Exponential Smoothing","authors":"J. Ho, W. Choo, Ruxian Zhangyu, C. Yee, W. Lau","doi":"10.21315/aamjaf2022.18.2.10","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.10","url":null,"abstract":"Smooth Transition Exponential Smoothing (STES) is a popular exponential smoothing method for volatility forecasting; whereby the success of the STES model lies in the choice of the transition variable. In this paper, three realized variance (RV), daily, weekly and monthly RV were used as the transition variables in STES methods to evaluate the performance of intraday data. While daily squared return is a noisy series, squared residual and daily RV were employed as the proxy for actual volatilities in this study. With five series of exchange rates, a comparative analysis was conducted for Ad Hoc methods, Generalised Autoregressive Conditional Heteroscedastic (GARCH) models, and STES methods using various RV combinations. The empirical results showed that when daily RV was used as proxy for actual volatility, the traditional STES models and STES models with RV as the transition variables outperformed Ad Hoc methods and GARCH models under the RMSE evaluation criteria. Similar promising results were also observed for traditional STES models and STES models with RV as the transition variables under MAE evaluation. The MCS results generally reaffirmed the results from both the MAE and RMSE evaluation criteria.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42071330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market 股市相互依存、传染、金融次贷危机与欧洲主权债务危机——来自中国股市的证据

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.6

Selma Jayech, Lamia Jaidane Mazigh, E. Abdennadher

引用次数: 0

Audit Committee Effectiveness, Internal Audit Function and Financial Reporting Lag: Evidence from Malaysia 审计委员会效能、内部审计职能与财务报告滞后:来自马来西亚的证据

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.8

Rohaida Ismail, N. Mohd-Saleh, Rubayah Yaakob

{"title":"Audit Committee Effectiveness, Internal Audit Function and Financial Reporting Lag: Evidence from Malaysia","authors":"Rohaida Ismail, N. Mohd-Saleh, Rubayah Yaakob","doi":"10.21315/aamjaf2022.18.2.8","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.8","url":null,"abstract":"This study examines the association among the effectiveness of audit committee, arrangement of internal audit function (IAF), and financial reporting lag (FRL). It also expands the literature by exploring the effect of IAF sourcing arrangement on financial reporting lag. Financial reporting lag is measured based on the number of days between the dates of the financial year end to the date of announcement of financial reporting. The effectiveness of the audit committee consists of size, independence, meetings, experts, and the chairperson’s qualifications. The internal audit arrangement is either performed in-house or outsourced to a third-party internal audit service provider and the cost of incurred for the IAF in the financial year. The agency theory is applied to explain the framework of this study and tested on 2,284 Malaysian listed companies from 2012 to 2015. Results show that IAF sourcing arrangement and cost are significantly associated with financial report lag. These findings offer important implications on audit committee and IAF literature through improving the timeliness of financial information.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44736958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How Do Depositors Respond to Bank Dividend Policy? Evidence from Market Discipline, Global Financial Crisis and COVID-19 Pandemic 存款人对银行分红政策的反应如何?来自市场纪律、全球金融危机和COVID-19大流行的证据

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.2

D. Tran

引用次数: 0

Effect of the 2015 Code Revision to the Corporate Governance Code on Japanese Listed Firms 2015年公司治理准则修订对日本上市公司的影响

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.3

Tomotaka Yanagida

引用次数: 0

Does Electronic Payment Services Create Value to Bank Performance? Evidence from Southeast Asia 电子支付服务为银行业绩创造价值吗？来自东南亚的证据

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.7

M. Lu, C. Ooi, K. Lee, Zunarni Kossim

{"title":"Does Electronic Payment Services Create Value to Bank Performance? Evidence from Southeast Asia","authors":"M. Lu, C. Ooi, K. Lee, Zunarni Kossim","doi":"10.21315/aamjaf2022.18.2.7","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.7","url":null,"abstract":"This study examines the nexus between four electronic payment channels’ transaction values and bank performance of Malaysia, Singapore and Thailand for 2010–2020. We find that, the impact of credit and charge card’s transaction value on banks’ return on equity (ROE) is significantly positive across various econometric specifications, including firm fixed effect panel regression, two-way clustering method and generalised method of moment. Instead, the impacts of the other three payment channels (e-money, debit card and internet and mobile banking) are negative but not significance across all econometric specification. These suggest that only the credit and charge card is economically relevant to the banks’ shareholders. We further add that only credit and charge card significantly improves banks’ operating income, while all four payment channels are not significantly related to revenue growth of the banks. In the additional analysis, we find that e-money, debit card, internet and mobile banking are negatively influencing the relationship between banks’ operating income and ROE. In summary, our study implies that majority of the electronic payment services offered by banks are not economically sustainable in the long run.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42921348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Impacts of Multi-blockholder Contestability and Coalition on the Risk of Korean Companies 多区块主体竞争与联盟对韩国企业风险的影响

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-12-30 DOI: 10.21315/aamjaf2022.18.2.1

H. Kim, Kyung-shick Cho

{"title":"The Impacts of Multi-blockholder Contestability and Coalition on the Risk of Korean Companies","authors":"H. Kim, Kyung-shick Cho","doi":"10.21315/aamjaf2022.18.2.1","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.1","url":null,"abstract":"We examine the relationship between multi-blockholder contestability and coalition and firm risk using an unbalanced panel of 646 Korean non-financial firms with 7,582 firm-years from 2010 to 2017 (8 years). For multi-blockholder contestability, we use the second-to-first blockholder contestability index and the second-and third-to-first blockholder contestability index. The Herfindahl-Harshman Index Concentration and Herfindahl-Harshman Index Difference are used for a multi-blockholder coalition. Using different measures of contestability, we show that contestability among multiple blockholders is negatively related to beta. It is also shown that the probability (variance) of forming a dominant coalition among multiple blockholders is negatively related to beta. This suggests that contestability and the probability of forming a dominant coalition among multiple blockholders reduce corporate risk. This study expands on the existing literature on the relationship between corporate risk and ownership. This study shows that the multi-blockholder contestability and coalition may be one factor determining the risk of a company. Our findings will contribute to policymakers and investors who are interested in the relationship between corporate risk and blockholder contestability and dispersion in the Korean stock market.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45758890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Volatility spillover from the global oil price to ASEAN stock markets: A cross-quantilogram analysis 全球油价波动对东盟股市的溢出效应:交叉量化分析

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-07-29 DOI: 10.21315/aamjaf2022.18.1.9

Mien Nguyen Thi Ngoc

引用次数: 0

Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective 韩国个人投资者在首次公开募股（IPO）市场上是否不理性？从胜利者诅咒的角度进行解释

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-07-29 DOI: 10.21315/aamjaf2022.18.1.2

J. Min

{"title":"Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective","authors":"J. Min","doi":"10.21315/aamjaf2022.18.1.2","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.1.2","url":null,"abstract":"Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42674306","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Corporate diversification and stock price crash risk: Do female directors matters? Evidence from Malaysia 公司多元化与股价暴跌风险：女性董事重要吗？来自马来西亚的证据

IF 0.9

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-07-29 DOI: 10.21315/aamjaf2022.18.1.4

K. Lee

引用次数: 2