اطلاعیه های مربوط به صندوق بین المللی پول و بازده بازار سهام: شواهدی از بخش های مالی و غیر مالی در اندونزی، کره جنوبی، و تایلند
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|17487||2007||25 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Pacific-Basin Finance Journal, Volume 15, Issue 1, January 2007, Pages 80–104
We examine the changes in daily financial sector stock returns in Indonesia, Korea, and Thailand in response to IMF-related news during the Asian crisis and compare them with those in non-financial sectors. We find that news of both program negotiations and approval increased financial sector returns in Indonesia and Korea, whereas only program approval is associated with higher returns in the financial sector in Thailand. Sectors such as cyclical consumer goods and non-cyclical services experienced higher returns in Thailand and Indonesia, while almost all sectors enjoyed higher returns in South Korea. We interpret the empirical results based on the characteristics of corporate governance and industrial development policies in these countries.
This paper examines the changes in the financial and non-financial sector stock returns due to IMF-related news, such as announcements of program negotiations and approval, in Indonesia, Korea, and Thailand during the Asian crisis. Our focus on financial sector returns is motivated by the widely-held belief that the vulnerabilities of the financial sector in these countries contributed to the crisis. In fact, it has been argued that the financial sectors of the crisis countries seriously suffered from adverse selection problem before the crisis. The much publicized government–financial firms–corporations triangle in Indonesia, Korea, and Thailand has been pointed out as the root cause of the crisis (Harvey and Roper, 1999, Krugman, 1998 and Stiglitz, 1999). We also examine the behavior of non-financial sector returns to see whether a similar response to IMF announcements took place in these sectors as well. Additionally, we interpret the impact of IMF-related news on relevant sector returns based on the corporate governance- and sector-based characteristics in these countries. Our study can be viewed as complementary to the existing, but still limited literature on the effects of IMF-related news on financial markets. Most studies analyze such effects with respect to the bond markets. Only a handful of studies examine the response of equity returns to IMF-related news (Brealey and Kaplanis, 2004, Dong et al., 2000, Evrensel and Kutan, 2006, Hayo and Kutan, 2005, Kho and Stulz, 2000, Lau and McInish, 2003, Sarno and Taylor, 1999 and Zhang, 2001). Our paper is different from the earlier studies in several respects. First, we focus on both financial and non-financial sector returns, while most studies focus on the banking sector returns. Second, most studies use an event study approach; we employ a GARCH model in order to capture the time varying volatility in stock returns. Third, the previous research implicitly assumes that Fund programs are credible such that market participants expect them to improve the efficiency in the economy in general and in the financial sector in particular. We instead interpret the changes in the financial and non-financial sector returns based on the available evidence on the corporate governance characteristics in Indonesia, Korea, and Thailand. Our results indicate that news of program negotiations and approval increased financial sector returns in Indonesia and Korea. In Thailand, only program approval was associated with higher returns in the financial sector. The response of the non-financial sector returns to IMF-related news indicates a pattern in Indonesia and Thailand. In these countries, especially news associated with the start of negotiations and program approval increased the stock returns in cyclical consumer goods and non-cyclical services. In Korea, almost all sectors responded to IMF-related news with higher returns. The paper is organized as follows. Section 2 defines the relevant IMF-related news and reports the results of the GARCH estimations of financial stock returns in Indonesia, Korea, and Thailand. Section 3 discusses the characteristics of these crisis countries' financial sector and interprets the empirical results regarding the financial sector returns. Section 4 examines the effects of IMF-related news on non-financial sector returns. Section 5 interprets the changes in non-financial sector returns based on the existing studies on corporate governance in Indonesia, Korea, and Thailand as well as the industrial development policies in these countries. Section 6 concludes.
نتیجه گیری انگلیسی
In this paper, we first investigate the changes in the financial sector returns due to IMF-related news in Indonesia, Korea, and Thailand during the Asian crisis. Our results indicate that financial sector returns in Thailand decline on the day of the negotiation announcement and during the window, but they increase on the day of the program approval. In Indonesia, financial sector returns increase on the day of the negotiation announcement and program approval, while there is no change in returns during the window. In Korea, financial sector returns increase on the day of the negotiation announcement and program approval, while there is a decline in returns during the window. Additionally, we examine the changes in the non-financial sector returns due to IMF-related news and find that non-financial sector returns indicate a pattern, especially in Indonesia and Thailand. In these countries, stock returns in cyclical consumer goods and non-cyclical services reacted favorably to the news associated with the start of negotiations and program approval. All sectors in South Korea responded to the same news with higher returns. The existing literature on the crisis countries' financial sectors suggests the existence of implicit guarantees. In fact, the weaknesses in the financial sectors of these countries have been viewed as a major source of the Asian crisis. While empirical studies related to the corporate governance in the crisis countries' financial sectors are almost nonexistent, there are empirical studies on the non-financial sectors' governance structure in Indonesia, Korea, and Thailand. These studies highlight the differences in overall corporate governance among these countries. Even though Korea scores higher than Indonesia and Thailand in terms of corporate governance, governments of all three countries have been somewhat involved in the promotion of certain sectors. While this involvement has been rather wide-ranged in Korea, it has been far more sector-specific (cyclical consumer goods and non-cyclical services) in Indonesia and Thailand. Therefore, positive responses of the financial and non-financial sector returns to IMF-related news may be due to the markets' expectation that the liquidity provided by the prospective IMF program will be partly used by the government to promote faster recovery in certain sectors as part of their industrial policy.