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Full-Text Articles in Finance and Financial Management
Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen
Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen
Chulalongkorn University Theses and Dissertations (Chula ETD)
The effect of investor sentiment on stock returns is one of the most recent developments in finance. The empirical literature includes developed stock markets. However, emerging markets, notably the Thai stock market, lack study subjects. The purpose is to deeply comprehend the link between investor sentiment and Thai stock market return. The aims include customizing investor sentiment indices to explain the Thai stock market index's movement, estimating investor sentiment's predictive ability, providing stock investors with referable trading strategies, and providing suggestions for cross-section equity selection. This study initially employs Principal Component Analysis (PCA) to customize the composite indices, called the …
The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej
The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej
Chulalongkorn University Theses and Dissertations (Chula ETD)
Recession is known to cause an increase in stock return predictability. The COVID-19 pandemics had not only resulted in sickness and loss of life but also plunged global economy into recession prompting governments to come up with measures to combat the disease. This paper first confirms that return predictability increased due the spread of COVID-19 using data from 41 countries on variations of popular predictors. Furthermore, it shows that government responses to COVID-19 alleviated the pandemic, the recession and reduced the return predictability with varying impact for different government measures. However, cases and deaths from COVID-19 which should have intensified …
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies about using GARCH model variants as a parametric way in estimation and prediction of daily Value-at-Risk (VaR), one of famous risk measurement especially in financial world. To cope with various stylized facts on market’s volatility, two mixed GARCH models are proposed in this research: HY-GJR-GARCH model, the hybrid between hyperbolic GARCH (HYGARCH) and GJR-GARCH models, and HY-MS-GARCH model as the amalgam between HYGARCH and Markov switching GARCH (MSGARCH) models. These mixed models, along with rich mathematical formulations and benefits from their base models, are expected that their performance in predicting daily VaR is advanced against the performance …
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio, Phanuwat Ritpornnarong
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio, Phanuwat Ritpornnarong
Chulalongkorn University Theses and Dissertations (Chula ETD)
The focus of this study is to analyze the shape of the yield curve on credit portfolios during crises, specifically those that are exposed to both interest rate and credit risks. To achieve this, We utilized a reverse stress test (RST) and macroeconomic measures (such as GDP and U.S risk-free yields) from the period of 1981 to 2014 to estimate mathematical models. We then utilized a Monte Carlo simulation to determine the most likely scenario for the measures if the portfolio value reaches a pre-specified threshold. The researchers discovered that the shape of the stressed yield curves varied depending on …
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand, Tanakorn Makarabhiromya
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand, Tanakorn Makarabhiromya
Chulalongkorn University Theses and Dissertations (Chula ETD)
The concept of sustainability index has been accepted widely in the global investment context. However, sustainable investments are relatively underexplored in an emerging market as in Thailand. This study analyzes the relationship between corporate sustainability performance (proxy by announcement events of the Stock Exchange of Thailand Sustainability Index SETTHSI) and institutional investors’ awareness toward sustainability investment. An event studies on index announcement are applied to analyze the short-term effect from investors in stock market. The results indicate that there is only weak evidence that inclusion into the sustainability index has a positive impact to cumulative abnormal returns during release-related period, …
Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability, Wasit Norakarntiansin
Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability, Wasit Norakarntiansin
Chulalongkorn University Theses and Dissertations (Chula ETD)
Forecasting volatilities of financial security returns are important for many financial applications e.g., portfolio investment construction, risk management and trading strategy. The GARCH model has long been refined to capture the true dynamic of volatility on a security return. By applying the Markov switching to the GARCH model, the source of the temporary high volatility and high persistence of a shock to the volatility can be captured. In this study, we refine the Markov switching GARCH model further by applying the notion of the neural network to approximate the time varying transition probabilities. We aim to achieve a model that …
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this paper is to investigate the impact of corporate diversification on stock risk for 345 companies listed on Stock Exchange of Thailand during the sample period from 4 January 2017 to 30 December 2021 which covers both Covid and pre-Covid period. Furthermore, the differences in effect between Covid and pre-Covid period are also studied. The result shows that diversifying through only business segments and ignoring global diversification increases stock volatility. Furthermore, it also shows that diversifying through only business segments and ignoring global diversification increases stock volatility during the Covid period compared to pre-Covid period. The result …
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique in which the trainable reinforcement learning agent is designed to directly control the trading positions. The maximum overlap discrete wavelet transformation (MODWT) algorithm is used for generating the trading signal from the spread time series. Wavelet signal preprocessing is used to extract the original time series into cyclic time series components and long-term behavior components. Based on the in-sample performance this trading model successfully solves a profit maximizing …
Flow-Performance Relationship In Defi Yield Aggregator, Apisara Pornprasith
Flow-Performance Relationship In Defi Yield Aggregator, Apisara Pornprasith
Chulalongkorn University Theses and Dissertations (Chula ETD)
Decentralized Finance (DeFi) is a new financial infrastructure with applications similar to traditional financial products, such as exchange, lending, derivatives, and asset management. This paper empirically investigates Yearn finance, one of the fastest-growing and largest in DeFi yield aggregator protocols for on-chain asset management, to demonstrate the flow-performance relationship and compare it with mutual funds in traditional finance. According to the findings, there is a positive non-linear relationship between fund flows and recent performance for using stablecoin deposited. In contrast, we cannot find this relationship for using cryptocurrency. Then, we look further into stablecoin holder behaviour and our findings show …
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this study is to investigate the effectiveness of momentum strategies in investment portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the Stock Exchange of Thailand from January 2013 to December 2022. The enhanced momentum strategies under investigation vary the portfolio weight with volatility and can be classified into constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled approaches. The research aims to achieve two main objectives. Firstly, to analyze the potential of the enhanced momentum …
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan
Chulalongkorn University Theses and Dissertations (Chula ETD)
Two major corporate governance-related regulatory changes, one in 1999 and one in 2008, were implemented as a means to increase the independence of boards of directors of public companies in Thailand. I study whether each of these regulatory changes affects the degree of and leads to substitution of accrual-based earnings management (AEM) and real earnings management (REM), plus the effect of family ownership on the type and degree of earning management. The outcomes of the two regulatory changes are different with respect to earnings management. Univariate tests suggest no change in the levels of AEM and REM for the 1999 …
The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet
The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas
How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between COVID-19-related pandemic fear and the short-term performance of initial public offerings in emerging markets. This paper investigates whether the short-term fear of COVID-19 continues to influence post-IPO performance. In doing so, the fundamental methodology is cross-sectional ordinary least squares (OLS) regression and numerous variables are included to the model as control variables. The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable …
Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri
Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset …
Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan
Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …
Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong
Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong
Chulalongkorn University Theses and Dissertations (Chula ETD)
Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidences that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing …
The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol
The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol
Chulalongkorn University Theses and Dissertations (Chula ETD)
The interest rate pass-through is defined as the process by which changes in policy or money market rate are transmitted to commercial bank rates. In other words, monetary policy transmission is one of the useful tools for the analysis of effective monetary policy decisions. This paper examines the effectiveness of the interest rate passthrough from the money market rate to various lending rates (MLR, MOR, and MRR) in Thailand from 2008 to 2021 including crisis periods, and also assesses the impact of bank characteristics. Using the panel cointegration method and error correction model with monthly data from individual commercial banks. …
Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun
Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this paper is to find the effect from SPAC sponsor after the merger announcement. I study SPAC IPOs which had acquiror and target nation in the United States and were public between January 2020 and December 2021. The final sample has 186 SPACs. I select The Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study methodology to test for SPAC sponsors and their effects on SPAC prices. I find that there is no statistical evidence that sponsor reputation has impact on SPACs price on the announcement date of combination. There are two …
The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert
The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the relationship between board gender diversity and firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and two-stage least squares are employed to deal with endogeneity. We find that increasing female directors to the board has a positive and significant effect on firm value as measured by Tobin’s Q. The result suggests that independent directors have a positive and significant impact on firm value. However, when the board is composed of independent directors, appointing female directors decreases the firm's value owing to over monitoring. Furthermore, the positive effect of female directors appears to …
The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat
The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research explores the effect of government's COVID-19 response policy on stock market volatility. We explain the stock market volatility dynamics via the index that measures the strict level of government response’s policy to COVID-19. Using EGARCH (1,1) model to identify stock market volatility from daily stock market return of 68 countries and apply the Arellano–Bond two-step system GMM estimator for dynamic panel data analysis, we found that the stock market volatility in the COVID-19 period can be reduced by the government policy response to COVID-19. Furthermore, after dividing the index into 3 types, all types of policy also reduce …
Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas
Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this research, we study an announcement effect of Facebook Inc.’s rebranding to Meta Platform Inc. in October 2021, as a flagship event that sheds spotlight to the metaverse business, on 50 metaverse-related cryptographic tokens. Using Google’s CausalImpact package in R with historical daily returns within -30,7 windows, the model expects a 11.80% counterfactual CAR but the actual CAR is 69.20%, indicating a 57.40% absolute effect of this announcement on aggregate metaverse tokens at 99% significant level. We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. …
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively correlated with abnormal short volume, no evidence of informed short selling is found. Higher level of pre-announcement abnormal short selling is positively correlated to default risk and also explained by the incentives of short sellers to short more when past returns are negative. Furthermore, increase in short selling that is preceded by credit watch placement is more pronounced before credit rating downgrades. Moreover, the evidence shows …
Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat
Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat
Chulalongkorn University Theses and Dissertations (Chula ETD)
We use the active peer benchmarks (APB) methodology suggested by Hunter et al. (2014) to capture commonalities or common idiosyncratic noise in fund strategies. These commonalities cannot be captured by the Carhart 4-factor model and it also decreases the accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB methodology compared with the Carhart 4-factor model. Then we also use the APB methodology to evaluate the performance of actively managed Thai open-end domestic equity funds from January 2006 through December 2020. In the APB methodology, we focus on two dimensions: fund returns and the fund’s investment objectives. …
The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun
The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of institutional ownership and valuation on stock price around the changes in index constituents. Specifically, this paper studies the significant SET50 index during the period of 2014 – 2021. According to the empirical result, there is an asymmetric price response between index additions and index deletions. The effects from exclusions are considerably stronger than from inclusions. The findings also show that percentage ownership of institutional investors and abnormal return are positively correlated in case of exclusions but not for inclusions (though insignificant). Companies deleted from the index result in lower institutional holdings and subsequently exhibit …
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system …
Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil
Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
The relationship among the ownership concentration, corporate governance, and firm risk are investigated in this study. The sample for this study include all the firm listed in Thailand Stock Exchange for the time period from 2010 to 2019. In this study, both direct and indirect relationship are investigated. The results shows that ownership concentration has positive significant effect on firm risk in the case of Thailand. The main explanation for this evidence is based on the socio-emotional wealth and limited liability feature of the listed firms. Meanwhile, corporate governance does not seem to have any significant impact on risk. Focusing …
The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin
The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …
Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng
Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the regression model represents simple model. Two types of data are applied in this analysis: simple data and complex data. The complex data is obtained from the simple dataset using information extraction techniques and data transformation. The two specific variables constructed in our complex data are Loan-to-value and Housing Expense ratio. Applied to the monthly Single-Family Loan-Level Dataset of Freddie Mac from year 2010 to year 2018 in …