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Articles 1 - 11 of 11
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 …