Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

Hearn, Bruce

doi:10.1016/j.irfa.2010.08.007

Cited by 19 publications

(8 citation statements)

References 37 publications

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“…The regression estimation documented that beta was insignificant to measure the variance in stock return because of asymmetric information and underdevelop equity markets in the South Asia region. Findings for size factor were compatible with existing literature which illustrated that firms having smaller market capitalization outperform the market with larger market capitalization and findings are consistent with (Hearn, 2010). Book to market and earning to price ratios used as a proxy to determine the value factor and both ratios showed a consistent result which indicated that the smaller companies with lower book value generate a more significant return in comparison of larger companies with higher value ratios Fama and French (2016), who specifies that tax regimes and prudential regulations cause to generate a difference in investor behavior in the market.…”

Section: Conclusion and Practical Implications 51 Conclusionsupporting

confidence: 87%

The relevance of financial and economic informational environment: evidence from South Asian markets

Arshad

Khan

Ishfaq

et al. 2020

JEAS

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PurposeThis study aims to explore the firm's specific, opacity and economy-specific variables to explain the variation in South Asian market returns and indicate that how the difference in adoption of accounting standards refers to the effect of the movement in stock returns.Design/methodology/approachFollowing the scope of the study, factor analysis, fixed effect, Driscoll and Kraay standard errors (DKSE) and Panel Corrected standard error (PCSE) models have been inducted to determine the influence of firm-specific, opacity and economy-specific variables on stock returns. The sample of study comprises 1,885 firms from five countries located in the South Asia region with the period 2005–2018. To ensure the reliability of data, firm-specific data have been collected from DataStream International, while an international country risk guide was used to compile the data for economy-specific variables.FindingsThis study concluded that firm-specific variables showed a consistent and significant association with stock return except for beta, accrual and momentum while earning aggressiveness was the only factor in opacity measure to capture the variation in stock return. The implementation of international accounting standards seemed to be significant and proves to be helpful to enhance the quality of accounting information.Research limitations/implicationsThe limitations of this study comprised the estimation error by avoiding the firm's observations with negative equity in case of earning opacity and majority (more than 50%) of the observation belongs to a single market as India out of final sample which leads to having biasedness in findings.Practical implicationsThis study helps the investors to consider the firms with smaller market capitalization and lower book to market ratio and avoid the momentum strategy under firm specific factors. Moreover, earning aggressiveness under opacity domain capture the variation in stock return and must be considered while investing funds.Originality/valueThe influence of adoption of international accounting standards along with firm and economy specific variable in South Asian Equity Markets return was the major contribution. Moreover, the inclusion of DKSE and PCSE models to examine the relevance of the financial and economic informational environment was also considered as a part of major contribution of this study.

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Section: Conclusion and Practical Implications 51 Conclusionsupporting

confidence: 87%

The relevance of financial and economic informational environment: evidence from South Asian markets

Arshad

Khan

Ishfaq

et al. 2020

JEAS

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“…Many liquidity studies include trading volume per time interval (Qt) (Campbell et al, 1993;Lee & Swaminathan, 2000;Lo & Wang, 2006a;Chordia & Swaminathan, 2000;Wang, 2002;Sun, 2003;Nagel, 2005;Hearn et al, 2010;Hearn, 2010;Chandrapala, 2011). The average number of shares traded every day during year t-1 is known as trading volume (Chordia & Swaminathan, 2000).…”

Section: Raneem Ghazi Aldekimentioning

confidence: 99%

Herding behavior and financial market price behavior under the COVID-19 pandemic: implications for the Amman Stock Exchange

Aldeki

2022

JED

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Purpose — This study investigates herding behavior and the link between herding behavior with the liquidity and volatility of financial markets amid the COVID-19 pandemic.Research method —This study employed the Cross-Sectional Absolute Deviation (CSAD) approach technique for each of the previous and COVID-19 phases, as well as for the complete sample period. The sample includes 172 securities that have been traded in the Amman Stock Exchange from January 2006 to February 2022. The full sample data was separated into three subsamples: 1) the whole period from January 1, 2006, to February 28, 2022; 2) prior the COVID-19 outbreak from January 1, 2006 to February 28, 2020; and 3) during the COVID-19 outbreak from March 1, 2020, to February 28, 2022.Result — The results for the whole sample period show that herding behavior may be detected in the Amman Stock Exchange during down-market intervals, and the result does not change before or during the COVID-19. Furthermore, both down liquidity and down volatility periods exhibit contrary herding behavior. The study found that financial market price behavior is an important factor that may contribute to herding behavior, which occurs when volatility increases and liquidity decreases in the Amman Stock Exchange, and the result does not change prior to the COVID-19 period. While liquidity has a negative and large influence throughout the COVID-19 period, herding tendency does not increase when volatility changes.Recommendation — This research assists traders in planning their purchasing and selling strategies in the COVID-19 various scenarios.

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“…Similar results were obtained by Chang et al (2010) and Dinh (2017) while evaluating the liquidity of stocks across different sizes and by Baradarannia and Peat (2013) during the pre-crisis period. Furthermore, Hearn (2010Hearn ( , 2011 found that market liquidity plays an important role in determining stock returns mainly in less competitive stock markets as these markets are characterized to have a high cost of equity.…”

Section: Measurement Of Stock Market Liquiditymentioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

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Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

Cited by 19 publications

References 37 publications

The relevance of financial and economic informational environment: evidence from South Asian markets

The relevance of financial and economic informational environment: evidence from South Asian markets

Herding behavior and financial market price behavior under the COVID-19 pandemic: implications for the Amman Stock Exchange

Stock Market Liquidity: A Literature Review

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