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Full-Text Articles in Finance and Financial Management
Inflation Level And Equity Mutual Fund Flows In Aggregate, Boontarikar Dangsritham
Inflation Level And Equity Mutual Fund Flows In Aggregate, Boontarikar Dangsritham
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the relationship of inflation level and aggregate equity mutual fund flows using Thai evidence. Sample period covered from 2006 to 2020. For the first objective, we investigate the relationship between realized inflation and net flow of money into equity mutual fund. Next, since investors are forward-looking, we extend the analysis to investigate the same relationship using forecasted inflation instead. Lastly, money supply is increasing since 2008 because of the first launch of QE. Also, inflation trend becomes lower since then. Our further exploration is whether there is a change in the relationship between inflation and aggregate equity …
Option Returns Around Earning Announcement In London, Thanawat Thangchadakorn
Option Returns Around Earning Announcement In London, Thanawat Thangchadakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
While prior studies find that returns on straddles constructing before earning announcements are positive in U.S. equity option market, we further investigate and find that returns on straddle constructing before earning announcement are positive in London Stock Exchange either. The logic behind this positive return while return on straddles are generally negative is option traders underestimate volatility of upcoming earning announcement period due to recency bias.
Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit
Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit
Chulalongkorn University Theses and Dissertations (Chula ETD)
A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in …
The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat
The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs …
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand, Wongwarit Boonyasitphawee
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand, Wongwarit Boonyasitphawee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Commonly, daily prices limits are widely used for stabilizing stock markets and decrease volatility during overreaction period. However, regulators may not notice that instead of stopping panic sell or overbought, the daily price limits generate a magnet effect, which cause the price to accelerate to the price limits and increase the overall volatility. This research investigates the magnet effect of price limits using high frequency from the Stock Exchange of Thailand. Using AR(2)-GARCH(2,2) as a base model for each stock’s 5-mins returns to capture the effect. The empirical results present evidence of the strong ceiling magnet effect at all conditions, …
The Market And Specific Sector Stock Prices Reaction Around Corporate Bond’S Credit Rating And Outlook Changes – Evidence In Thailand, Kittika Sansanavanee
The Market And Specific Sector Stock Prices Reaction Around Corporate Bond’S Credit Rating And Outlook Changes – Evidence In Thailand, Kittika Sansanavanee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines stock price reaction around credit rating and outlook changes in Thailand. We collect data from stocks listed in SET (The Stock Exchange of Thailand) which issued corporate bonds. These bonds must be listed in TBMA (The Thai Bond Market Association) and were rated by either Tris or Fitch rating Thailand between 2002-2020 (corporate bond credit rating and outlook change). We also study further about the effect of these credit rating events in 3 sectors of stock - Banking, Finance and Property Development. The empirical result shows that good credit events provide significant positive abnormal stock return after …
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error …
Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart
Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart
Chulalongkorn University Theses and Dissertations (Chula ETD)
We utilize the Double bottom pattern, which is a common and the most easily recognized reversal pattern in the technical analysis approach, to seek the existence of abnormal returns from 1 Jan 2009 to 31 Dec 2019. The general event study methodology was used to statistically test for the existence of abnormal returns from 611 stocks in SET. We concluded that there was an existence of abnormal return from trading with the Double bottom pattern strategy. This led to the conclusion that the Thai stock market might be not as informationally efficient as academics have conjectured.
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Chulalongkorn University Theses and Dissertations (Chula ETD)
European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …
The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy
The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to develop a new European option pricing model based on the Extreme Value Theory (EVT). We assume that, in the risk-neutral probability measure, simple negative returns of the S&P500 index follow the Hybrid Pareto (HP) distribution. Then, we derive closed-form pricing formulas for call and put options according to the risk-neutral pricing method. Additionally, we assume that the distribution has a fat tail. Our study’s benchmark model is the Generalized Extreme Value (GEV) model proposed by Markose and Alenton (2011). We estimate model parameters by minimizing the root-mean-square error. The results show that the HP model provides …