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Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes
Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research study whether cryptocurrencies act as a hedge, safe haven or diversifier against Thailand, Philippines, and Indonesia stock exchange market. Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the conditional correlation between cryptocurrencies and TIP’s stock exchange market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum, Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as the hedge and safe …
Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn
Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how accounting quality relates to financial constraints at the firm level. In this study, our first hypothesis is that higher accounting quality reduces financial constraints at the firm level. Our second hypothesis is that higher accounting quality reduces financial constraints more after IFRS adoption in 2011 than before IFRS adoption in Thailand. Our third hypothesis is that higher accounting quality reduces financial constraints more in state-owned enterprises than in privately-owned enterprises. Lastly, auditing quality could be another proxy of accounting quality. Therefore, our fourth hypothesis is that higher auditing quality reduces financial constraints at the firm level. …
The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon
The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon
Chulalongkorn University Theses and Dissertations (Chula ETD)
The impact that derivative instrument has on the underlying stocks is important for regulators and investors to concern. This paper tries to examine the impact of derivative warrant introduction on liquidity (measured by trading volume) and risk (measure by volatility and systematic risk beta) of the underlying stocks in stock exchange of Thailand. This paper examines the impact on trading volume by using t-test for testing the equality of two means between pre-derivative warrant introduction period and post-derivative warrant introduction period and using dummy variable regression for finding a change in the underlying’s trading volume after the introduction of derivative …
Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn
Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this paper is to investigate mispricing of derivative warrants on ex-dividend date. Using data from the Stock Exchange of Thailand during 2010 to 2020, this research examines mispricing of derivative warrants by comparing the market price to the theoretical price, which incorporates the adjustment of exercise price and ratio on ex-dividend date according to the rules given by SET. This research also studies further by investigating the magnitude of impact from the dividend yield of underlying asset. The empirical results show strong evidence of mispricing in call derivative warrants, whereas put derivative warrants are found to be …
The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna
The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the link between ESG and firm performance in healthcare industry moderated by firm age and advertising expenses from 2011 to 2020. Firm performance is measured by Tobin’s Q, ROA, ROE and asset turnover. This study finds the evidence that environmental pillar is the most important metric to improve firm value in healthcare equipment & supplies and advertisement helps social and governance pillars to add more value. Biotechnology looks alike, but firm age can moderate environment pillar to increase the value. Moreover, social pillar is the most influential to add firm value for healthcare provider & services and …
Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit
Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to perform a comprehensive analysis of the effects of the stock ratings and target prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai market. There are two quantitative indicators that will be focused on in this study, target prices and stocks rating, by observing the change of these two factors along with the change of market price, I will be able to study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and CAR within each focused window period. The observation period starts from January …
International Evidence On Corporate Rating Changes, Torfun Kantatasiri
International Evidence On Corporate Rating Changes, Torfun Kantatasiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to study the reaction of the International stock market around the corporate bond rating change announcements by Moody's between 2015-2021 using stocks and rating data from Datastream. The empirical result shows a significantly positive reaction after the upgrades announcement and a negative reaction around the downgrades event date. Specifically, the impact of rating changes on stock prices is larger around downgrades. The results imply that there is an information effect but no price pressure effect since there is a significant reaction in response to downgrades for all samples insignificance impact following downgrades for sub-sample of the changes …
Do Covid-19 Cases And Government Response To Covid-19 Drive Mispricing In Cross-Listed Companies?, Chomtarn Junanukul
Do Covid-19 Cases And Government Response To Covid-19 Drive Mispricing In Cross-Listed Companies?, Chomtarn Junanukul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research is to examine impact of COVID-19 cases and government response to COVID-19 to cross-listed companies’ stock return, mispricing and volatility of the mispricing, using evidence from 164 Canadian companies’ stocks listed on Toronto Stock Exchange (TSX shares) and cross-listed in New York Stock Exchange or NASDAQ (US shares). Our results show that there is negative impact from growth of COVID-19 cases to stock return and positive impact from government response to COVID-19 to stock return in both Canada and US. As for impact to mispricing, using price premium of stock listed in Canada relative to US as a …
The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan
The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper studies relationship between impacts of change in credit rating on firm's dividend payout and investment policies. We use data from listed companies in Stock Exchange of Thailand during 2000 - 2021. This paper applies fixed effect ordinary least squares to evaluate impacts of change in credit rating. From this paper, downgraded firms will decrease dividend payout and investment. However, upgraded firms will increase dividend payout and investment. Moreover, this paper studies relationship between impacts of change in credit rating on firm's investment efficiency. From this paper, downgraded firms will overinvest and upgraded firms will underinvest. This paper provides …
The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun
The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper applied the MODWT wavelet method to decompose correlations of the stock market of Thailand and China into different time scales and frequencies. The decomposed correlations are then examined and compared between short-term and long-term, and also between different time periods when the interdependence of two markets is expected to change. The result shows that long-term correlation is not significantly higher and sometimes is significantly lower than the short-term, whereas the correlation does significantly increase from 2005 to 2020. Furthermore, the paper investigates the effectiveness of using the correlation in the suitable time scale and frequency in an application …
The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat
The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to …
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of moral hazard on the corporate strategic decision regarding Mergers and Acquisitions. Whether the decision by the acquirer to make partial or full acquisitions is driven by moral hazard is the main implication of this research paper. Considering several subsamples of mergers and acquisition transactions, in domestic transaction, an increase in private benefits of control does increase the odd of making partial acquisition. Considering the subsample of cross-border acquisitions, private benefits of control still increases the odd of making partial acquisition but the effect is less pronounced. Having control for the profit-maximizing reasons to make …
Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong
Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research presents empirical studies on the impact of mergers of equals on shareholders’ wealth. Due to integration problems between combining corporations, Daimler-Chrysler merger failures caused the corporate sector to think that mergers of equals erode shareholder wealth. However, it is based on a small proportion of MOE transactions, and there is no empirical evidence on the shareholder’s return on the announcement date implications of MOEs related to the size of the merger. I provide this research knowledge for the shareholder wealth at the announcement date for the implications of MOEs related to the size effect of the merger. Furthermore, …
How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka
How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …
The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya
The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the role of hedge and safe haven of four disruptive technology ETFs to six Asia emerging markets and assess whether if COVID-19 pandemic has altered the dynamic conditional correlations and hedge effectiveness between these assets. Using daily return data from February 23, 2018 to January 28, 2022, first, the results indicate that despite the outperformance of disruptive technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a hedge or safe haven property against Asia emerging market downturns as their returns were still positively correlated. They can only be used as diversifier tools to the Asia …
The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha
The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to examine how environmental, social, and governance (ESG) performance affects the idiosyncratic risk of firms in the United States and Canada between 2007 and 2020. This study retrieves ESG scores and other factors from the Refinitiv DataStream, the firms used for analysis in this paper are 480 listed companies. Results show that ESG performance can reduce idiosyncratic risk in different firms' characteristics and periods. First, ESG performance can subdue the idiosyncratic risk in both sensitive and non-sensitive industries at the same level. Second, only the environmental pillar in the sensitive industry has an additional negative influence on …
Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw
Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper analyzed flight to quality effect from stocks to government bonds in 46 countries including developed and emerging countries during COVID pandemic. The empirical result from panel data framework shows that the flights exist and government bonds remain offered diversification benefit to investors when they are most needed. The negative stock-bond correlation was also amplified when pandemic is more severe in developed countries. Moreover, this study reveals that countries with a higher degree of bond market development can support bonds act as a safe haven better and have more negative in stock-bond correlation.
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the diversification benefit of Thailand, the US, Europe, Singapore, and Japan REIT indices for the SET index. The time scope for this study starts from 1st January 2011 to 31th January 2022. It also compares the diversification benefit degree between pre and during Covid-19 periods. The DCC-GARCH model is used for the diversification benefit examination. The results posit 3 main points. First, all the REIT indices provide diversification benefit for the SET index. Second, the Covid-19 pandemic reduces diversification benefit generated by the US, Europe, and Japan REIT indices. Finally, the US provides the highest diversification benefit …
Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai
Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4. The study found …
Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set), Pakkawat Kitsirikarn
Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set), Pakkawat Kitsirikarn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This special project empirically examines the impact from the different type of oil price shocks on corporate investment. This study follows the method proposed by Kilian (2009). He uses the structural vector autoregression model to decompose oil price shock into 3 type which comprised with oil supply shock, oil aggregate demand shock, and oil specific demand shock. Moreover, this work also incorporates industrial competition to investigate how it link to the impact of oil shock on corporate investment. The empirically examine period is Jan 2007 to Dec 2018. This study uses the firm-level data of companies listed in the stock …
Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri
Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper analyzes the direction of causality between CSR and CFP in five different industries including energy, consumer non-cyclical, financial, technology and healthcare industries. This paper aims to study whether aggregated CSR scores and non-aggregate CSR scores (i.e., environmental, social and governance scores) toward the CFP measures (i.e., return-on-equity and Tobin’s Q ratios) have unidirectional or bidirectional relationship. In doing so, the bivariate panel vector autoregressive model and Granger causality test …
Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai
Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, …
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …
Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng
Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng
Chulalongkorn University Theses and Dissertations (Chula ETD)
We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …
Portfolio Construction Under Group Risk Parity Strategy In The Stock Exchange Of Thailand, Warintorn Sornpradit
Portfolio Construction Under Group Risk Parity Strategy In The Stock Exchange Of Thailand, Warintorn Sornpradit
Chulalongkorn University Theses and Dissertations (Chula ETD)
Risk parity strategy has been commonly applied to construct a portfolio with multiple asset classes. For single asset class, group risk parity is introduced such that risks from each group are equally contributed. This study investigates and compares performances of group risk parity strategy in Thai market under two different grouping methods which are sector and size with non-group risk parity, minimum-variance, and equal-weight strategies. The study mainly focus on two periods which are during 2016-2020 and in years with highly volatile down market. The analysis indicates that there is no clear evidence that group risk parity strategy outperforms others …
Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee
Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …
Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt
Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee
Chulalongkorn University Theses and Dissertations (Chula ETD)
When an asset manager manages a portfolio, he usually imposes a TE or a VaR limit on his portfolio to control portfolio risks. However, a portfolio may be divided into different portions. In our research, we consider a portfolio that consists of an active portion and a passive portion. Having a VaR budget of an entire portfolio, we propose methods to determine TE and VaR limit on the active portfolio and illustrate them by using real data. In the empirical part, some problems can occur when we relax certain theoretical assumptions such as (1) stocks in an investment universe can …
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market, Chayaporn Chuenurajit
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market, Chayaporn Chuenurajit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between year-ahead net working capital accruals as a proxy of investment behavior and expected volatility during the period of 2009 to 2018 of listed non-financial firms in Thailand. I apply a real options-based investment framework to view accruals as a result of investment decision and investigate the impact of firm’s expected volatility. The results show that firms with higher expected volatility have lower level of year-ahead accruals which is consistent with Grenadier and Malenko (2010). Moreover, this study also indicates that high expected volatility period induces distressed firms to invest because they have opportunity to …
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand, Salinporn Dachasiriprapha
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand, Salinporn Dachasiriprapha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to examine the usefulness of the Dynamic Conditional Correlation in the aspect of pair trade. Since one of the challenges in the pair trading is pair formation, this research would like to fulfill and find a new method for pair formation. Also, not only find the effective way to form pair we also examine whether this strategy can generate an abnormal return by constructs the portfolio where short one stock and long another one, by this investor can enjoy a 2-way price spread. The finding in this suggests that first by using Dynamic Conditional Correlation to form …