IFRS adoption, stock price synchronicity and firm-specific information in Indonesia stock market

Figures & data

Table 1. Sample selection procedure

Criterion	Number of Firms
Firms listed in the IDX in 2007 and still listed there as of 2019	337
Excluding firms in banking and financial services	(53)
Excluding firms with missing data	(44)
Final sample	240

Table

SYNCH	= Stock Price Synchronicity
dTRANS	= Adoption of IFRS in its transitional period (dummy variable; “1” if the year is between 2012 and 2014, and “0” otherwise)
dPOSTIFRS	= post-IFRS adoption period (dummy variable; “1” if the year is between 2015 and 2019, and “0” otherwise)
Independent variables include the following:
AVGTRADVOL	= average daily trading volume of shares within a window period of 15 days
LEV	= leverage = total liabilities divided by total assets
STD5YROA	= standard deviation of ROA-return on assets = volatility of firm’s earnings over the preceding five-year period including the current year
DPS	= annual dividend per share
MBV	= market to book value ratio
LNFORSALES	= natural logarithm of foreign sales or export
LNNETINC	= natural logarithm of net income
dBIG4	= dummy variable; “1” when firms have hired one of the big four international auditors, and “0” otherwise)

Table 2. Descriptive statistics

	Mean	Median	Minimum	Maximum	Std. Dev
SYNCH	−1.39	−1.24	−8.10	0.61	1.09
dTRANS	0.23	0.00	0.00	1.00	0.42
dPOSTIFRS	0.38	0.00	0.00	1.00	0.49
AVGTRADVOL	1.33 e + 07	386,526.60	0.00	1.38 e + 09	5.62 e + 07
LEV (%)	86.96	50.34	0.06	97,340.65	1,743.67
STD5YROA (%)	5.93	2.83	0.01	442.52	19.41
DPS	177.81	0.20	0.00	86,555.42	2045.24
MBV (%)	5.16	1.04	−33,618.13	31,617.01	1,009.48
LNFORSALE	4.73	0.00	0.00	13.55	5.64
LNNETINC	8.72	10.60	0.00	13.51	4.47
dBIG4	0.39	0.00	0.00	1.00	0.49

Figure 1. The mean values of SYNCH.

Table 3. Correlation matrix

	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
1. SYNCH	1.000
2. dTRANS	−0.028	1.000
3. dPOSTIFRS	−0.019	−0.433	1.000
4. LARGEST	−0.173	−0.027	0.010	1.000
5. AVGTRADVOL	0.080	−0.047	−0.037	−0.257	1.000
6. LNASSET	0.146	0.029	0.180	0.188	0.211	1.000
7. LEV	0.024	−0.011	0.025	−0.027	−0.004	−0.050	1.000
8. STD5YROA	0.038	0.021	0.016	−0.066	0.003	−0.079	0.071	1.000
9. DPS	0.016	0.014	0.008	0.042	−0.003	0.044	−0.002	0.004	1.000
10. MBV	−0.007	−0.001	−0.017	0.013	−0.001	−0.023	−0.001	−0.014	−0.001	1.000
11. LNSALES	0.088	0.037	0.124	−0.014	0.093	0.720	−0.042	−0.088	0.071	−0.028	1.000
12. LNFORSALE	−0.059	−0.001	0.032	0.055	−0.009	0.162	−0.015	−0.047	0.064	−0.002	0.274	1.000
13. LNNETINC	0.040	0.041	−0.085	0.008	0.017	0.280	−0.043	−0.132	0.055	−0.042	0.387	0.088	1.000
14. dBIG4	0.035	0.012	−0.002	0.178	−0.051	0.390	−0.017	−0.054	0.098	−0.002	0.470	0.178	0.219	1.000
15. LNMCAP	0.178	0.051	0.124	−0.095	0.160	0.700	0.001	−0.044	0.028	−0.012	0.696	0.099	0.362	0.423	1.000

Table 4. The variance inflating factor (VIF)

	Variable	VIF	1/VIF
1	LNNETINC	6.04	0.165598
2	dPOSTIFRS	2.11	0.474886
3	dBIG4	1.92	0.521030
4	LNFORSALE	1.88	0.530757
5	dTRANS	1.64	0.609378
6	AVGTRADVOL	1.18	0.848319
7	STD5YROA	1.12	0.889685
8	DPS	1.02	0.976670
9	LEV	1.02	0.984777
10	MBV	1.00	0.996740

Table 5. Model panel regression results

	Variable Predicted Sign	PLS		FEM		REM			Robust FEM		Estimation of Panel Corrected Standard Error
		Coef. (t-stat)	P > ǀ t ǀ	Coef. (t-stat)	P > ǀ t ǀ		Coef. (z-stat)	P > ǀ z ǀ	Coef. (t-stat)	P > ǀ t ǀ	Coef. (z-stat)	P > ǀ z ǀ
Constant		−3.2862		−0.2784			−1.3900		−0.2784		−3.1925
dTRANS	neg. (−)	−0.1902 (−3.35)***	0.000	−0.1292 (−2.52)**	0.012		−0.1132 (−2.30)**	0.021	−0.1292 (−2.55)**	0.012	−0.1890 (−1.35)	0.176
dPOSTIFRS	neg. (−)	−0.1665 (−3.13)***	0.000	−0.0803 (−1.69)*	0.091		−0.0750 (−1.75)*	0.079	−0.0803 (−1.66)*	0.099	−0.1630 (−1.34)	0.180
AVGTRADVOL	neg. (−)	6.76e-11 (−1.24)	0.215	−8.73e-10 (−2.17)**	0.030		5.32e-10 (1.46)	0.145	−8.73e-10 (−3.08)**	0.002	9.65e-11 (0.22)	0.824
LEV	pos. (+)	0.0000		4.01e-06			0.0000		−4.01e-06		0.0000
		(1.24)	0.214	(0.36)	0.717		(0.98)	0.325	(2.98)**	0.003	(1.21)	0.226
STD5YROA	neg. (−)	0.0018 (2.04)	0.378	0.0014 (1.11)	0.268		0.0021 (1.97)**	0.049	0.0014 (1.04)	0.299	0.0018 (2.01)**	0.044
DPS	neg. (−)	0.0000		0.0000			7.93e-06		0.0000		0.0000
		(1.37)	0.172	(1.11)	0.268		(0.83)	0.406	(3.23)**	0.001	(1.48)	0.139
MBV	neg. (−)	−5.58e-06 (−0.24)	0.807	−6.33e-06 (−0.34)	0.733		−4.91e-06 (−0.26)	0.792	−6.33e-06 (−0.67)	0.503	−5.68e-06 (−0.28)	0.782
LNFORSALE	neg. (−)	−0.0119 (−4.63)***	0.000	−0.0071 (−1.15)	0.251		−0.114 (−2.70)**	0.007	−0.0071 (−1.19)	0.235	−0.0121 (−3.41)**	0.001
LNNETINC	neg. (−)	−0.0042 (−1.24)	0.217	−0.0051 (0.89)	0.375		0.0080 (1.65)*	0.098	0.0051 (0.89)	0.374	−0.0046 (−0.81)	0.417
dBIG4	neg. (−)	−0.0011 (1.45)	0.146	−0.1884 (−1.84)*	0.065		0.0543 (1.03)	0.302	−0.1884 (−1.62)	0.107	−0.0009 (−0.02)	0.985
Observations		3,120		3,120			3,120		3,120		3,120
R^2		0.061		0.014			0.015		0.018		0.069
Note: t- and z-statistics are in parentheses; ***, **, * show the value significant at 1%, 5% and 10%, respectively