The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk,
2022
Old Dominion University
The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk, Abdullah Alfalah, Simon Stevenson, Eamonn D'Arcy
Finance Faculty Publications
The growth of the Islamic finance sector has been well-documented. One of the most booming sectors has been Sukuk. According to several past studies, non-Islamic investors' interest in Sukuk is due, at least in part, to the diversification benefits that Sukuk provides in the context of a fixed-income portfolio. This paper compares a pair between Sukuk and Bonds in the Malaysian market issued by the same issuer to have an unbiased comparison. Using unconditional correlation methodology provides an initial examination of the relationship between the matched pairs. In addition, this paper adopts the standard GARCH-DCC approach of Engle (2002). This …
The Way Digitalization Is Impacting International Financial Markets: Stock Price Synchronicity,
2022
Old Dominion University
The Way Digitalization Is Impacting International Financial Markets: Stock Price Synchronicity, Chen Chen, M. Mahdi Moeini Gharagozloo, Layla Darougar, Lei Shi
Finance Faculty Publications
This paper investigates whether and how the development level of a country's digital economy affects stock price synchronicity. The results indicate that countries with high levels of digital economy development exhibit low stock price synchronicity. Additionally, by decomposing stock price synchronicity into systematic and firm‐specific stock return variations, we find that systematic (firm‐specific) variations of stock returns decrease (increase) with the level of a country's digitalization. These findings shed light on the future trend of stock price synchronicity in financial markets around the world and support the information‐based interpretation of stock price synchronicity.
The Industry Expertise Of Sell-Side Equity Analysts,
2022
Singapore Management University
The Industry Expertise Of Sell-Side Equity Analysts, Matthew Louis Dearth
Dissertations and Theses Collection (Open Access)
Institutional investors, the most important consumer of analyst research, consistently rank industry knowledge as the most important attribute of analysts. Despite this, little is known about how investors measure industry knowledge since analyst output which can be evaluated objectively is usually associated with firm-level outcomes such as earnings forecasts or price targets. Comprehensive data are recently available for analyst forecasts of key performance indicators (“KPIs”), firm-performance metrics specific to a particular industry. Whereas reactions to earnings forecasts and other firm-level outputs only inform us about analyst skill in firm-level predictions, stock-price reactions to forecast revisions of industryspecific KPIs can proxy …
The Art Market’S Inflection Point: The Inception Of Modern Art Investment,
2022
Sotheby's Institute of Art
The Art Market’S Inflection Point: The Inception Of Modern Art Investment, Maria B. Abraham
MA Theses
The relationship between art and finance derives from the socioeconomic realization that art has high-value potential and diversification benefits within the investment sphere. This paper interprets the evolution of art's financialization in three different market contexts as the cause of an inflection point in the art market. Through research in press articles, interviews, published white papers, and journals on statistical art data analysis results, this thesis demonstrates the link between cultural capital and financial investment, which gave rise to initiatives today that bridge the gap between wealth and the accessibility to the art market. A technological or specialized element across …
An Analysis Of Impacts Of Covid-19 On Salary Cap Allocation And Performance In The National Football League,
2022
Claremont Colleges
An Analysis Of Impacts Of Covid-19 On Salary Cap Allocation And Performance In The National Football League, Abai Houser
CMC Senior Theses
Professional sports are one of the most successful industries in the world. The live spectacle and in-person nature make sporting events a unique and individual experience. COVID-19 shifted how athletic events were operated, financed, and viewed, thereby changing leagues as well. The National Football League was one of the last sports to start its season during 2019 and 2020, setting the stage as the only league to not isolate its players in a safe operating space. This paper studies the effects of COVID-19 on the salary cap management of teams after the pandemic. The findings suggest that financial metrics analyzed …
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand,
2022
Faculty of commerce and accountancy
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,
2022
Faculty of commerce and accountancy
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 …
How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study,
2022
Faculty of Commerce and Accountancy
How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study, Thurein Htet Myat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper presents a comprehensive analysis of the relationship between the US Flash Manufacturing PMI news releases, returns, and volatilities of Russell 1000 and 2000 indexes. Using an autoregressive (AR) and generalized autoregressive conditional heteroskedasticity (GARCH) model, the study examines data from January 2015 to November 2022, encompassing both pre-pandemic, pandemic, and post-pandemic periods. The statistical analysis indicates that these news releases do not significantly influence stock returns, supporting the efficient market hypothesis. Various factors, including measurement errors and the unique circumstances of the Covid-19 pandemic, likely overshadowed the impact of PMI news releases. Additionally, the analysis finds no significant …
A Study Of Potential Factor Investing Strategy From Esg Score And Intangible Capital In Thailand,
2022
Faculty of Commerce and Accountancy
A Study Of Potential Factor Investing Strategy From Esg Score And Intangible Capital In Thailand, Issaraphorn Voratavornviwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The independent_study aimed to examine the relationship between Environmental, Social, and Governance (ESG) scores and Intangible Capital Ratio (ICR) and their implications for buy-and-hold returns (BHR) and stock performance among Thai listed companies. The study focuses on firms listed on the Stock Exchange of Thailand (SET) with available ESG scores, covering the period from 2018 to 2022 (169 companies). The finding for the first objective found that an increase in the ESG score leads to a rise in the ICR, these findings highlight the importance of ESG scores and company size & high BTM in determining a firm’s ICR. However, …
Behavioral Bias In Number And The Stability Of Stock Price,
2022
Faculty of Commerce and Accountancy
Behavioral Bias In Number And The Stability Of Stock Price, Natapong Teekaput
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and …
Fund Characteristics Immunity To Covid-19 Pandemic: Evidence From Thailand,
2022
Faculty of Commerce and Accountancy
Fund Characteristics Immunity To Covid-19 Pandemic: Evidence From Thailand, Primporn Thanomsakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the relationship between COVID-19 growth rates and the performance of Thai equity funds during the pandemic. Focusing on weeks with substantial increases in COVID-19 cases, we hypothesize that negative returns primarily originate from these weeks. We acknowledge the pandemic's impact as a black swan event, instilling fear and uncertainty, and its demonstrated negative effect on fund returns. Moreover, our research aims to identify the fund characteristics that have provided resilience and immunity to the negative effects of the crisis. Using a panel data regression with a fixed effect model, we analyze various fund characteristics and their impact …
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds,
2022
Faculty of Commerce and Accountancy
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet
Chulalongkorn University Theses and Dissertations (Chula ETD)
Previous research has shown that stock prices will also respond to environmental policy announcements because of the impact on firms' value. As equity mutual funds are primarily invested in stocks, this study aims to examine whether these announcements also impact the investment performance of equity mutual firms. Some studies also prove that it is still debatable whether green mutual funds or polluting mutual funds perform better in terms of investment returns. Based on this, this study will also further extend to analyze investment performance between green and polluting equity mutual funds under stringent and loosened environmental policy announcements. This study …
Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe,
2022
Faculty of Commerce and Accountancy
Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe, Niya Somkerd
Chulalongkorn University Theses and Dissertations (Chula ETD)
Employing an event-study approach, we examine how the stock market responded to the offering of green bonds by non-financial companies listed on the European stock market from January 2013 to September 2022. We observed a drop, on average about 0.28%, in the company stock prices on the day they announced these offerings and the day after. Moreover, we found that investors react in the same manner for green bond announcements as for conventional bond announcements. We also studied if the Gavriilidis (2021)'s climate policy uncertainty index has any relationship with the market reactions. Our findings suggest that the index is …
Risk Shifting In Mutual Funds: Evidence In Thailand,
2022
Faculty of Commerce and Accountancy
Risk Shifting In Mutual Funds: Evidence In Thailand, Suphitcha Ekjariyakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
The paper aims to examine whether risk-shifting behavior exists in Thai equity mutual funds or not. The empirical analysis studies the period from 2005 to 2022. It is investigated that risk-shifting behavior exists in Thailand by having compensation and employment incentive influences fund managers’ decision on risk shifting. Firstly, this study uses the states of the market which are positive and negative market returns as the proxy of compensation and employment incentive, respectively. The finding is illustrated that mid-year losers take more risk of the portfolio in the latter half of the year in both positive and negative market return …
The Effect Of Capital Ratio On Risk, Efficiency And Profitability Of Insurance Companies: Evidence From Singapore And Thailand,
2022
Faculty of Commerce and Accountancy
The Effect Of Capital Ratio On Risk, Efficiency And Profitability Of Insurance Companies: Evidence From Singapore And Thailand, Supanuch Limvisitsakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research study examines the importance of capital ratios in assessing the financial health of insurance companies in the context of Singapore and Thailand. The primary objective is to investigate the extent to which capital ratios provide informative insights into the risk, efficiency, and profitability of insurance companies. The study covers both life and non-life insurance companies during the period from 2017 to 2021. The findings show that higher capital ratios correspond to lower liquidity risk, improved efficiency, and increased profitability. These results emphasize the importance of maintaining adequate capital reserves to ensure financial stability and enhance operational performance in …
The Effect Of Democracy On The Mutual Fund Recovery, Evidence From Emerging Countries,
2022
Faculty of Commerce and Accountancy
The Effect Of Democracy On The Mutual Fund Recovery, Evidence From Emerging Countries, Supisara Songdecha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research examines how democracy affects mutual fund performance and recovery in emerging countries: Brazil, Chile, China, India, Mexico, South Africa, and Thailand. Data from 2010 to 2021 is analyzed, focusing on domestic equity mutual funds. Democracy levels are measured using the V-Dem dataset. Performance is evaluated using risk-adjusted returns, while recovery duration measures how long it takes for funds to return to pre-crisis levels. The findings show that in Chile, characterized as a strong democracy, demonstrates improved performance with higher levels of democracy. In contrast, Brazil, South Africa, India, and Mexico exhibit higher returns with lower levels of democracy. …
The Impact Of Perceived Corruption Levels In Public Sector On Stock Market Development,
2022
Faculty of Commerce and Accountancy
The Impact Of Perceived Corruption Levels In Public Sector On Stock Market Development, Chotiwat Kumhang
Chulalongkorn University Theses and Dissertations (Chula ETD)
Most of the empirical studies that analyze the impact of corruption on the economy suggest that corruption is a serious obstacle against economic growth. However, it is ambiguous whether corruption has negative effect on the financial sector, especially stock market development. Thus, the first objective of this paper is to reexamine the relationship between corruption and stock market development. Furthermore, several previous literatures argue that democracy potentially mitigates the negative effect of corruption on economic growth. By this argument, the second goal of this paper is to investigate whether democracy has influence on mitigating the negative impact of corruption from …
The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies,
2022
Faculty of Commerce and Accountancy
The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies, Jirayu Boonyuen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research paper has the objective to investigate and examine the basic relationship on the dividend policy and the earnings quality of companies in Thai stock market, by covering all the industries. The proxies for the earning qualities include a total of four proxies which are earnings persistence, accruals quality, earnings informativeness, and timely loss recognition. Moreover, this research paper also further examines the incentive of dividend policy of companies under Thai stock market by applying the dividend signaling Theory and the information content of dividends hypothesis. The incentive of dividend policy can be viewed as the signal sending by …
The Relationship Of Intangible Capital And Esg Score On Capital Structure: Evidence From Thailand,
2022
Faculty of Commerce and Accountancy
The Relationship Of Intangible Capital And Esg Score On Capital Structure: Evidence From Thailand, Chalita Rammavas
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether intangible capital influences capital structure which influent to cost of debt. Moreover, this study also analyzes more whether adding the effect of and ESG performance as risk reduction together with intangible capital affect to capital structure by using financial leverage and WACC cost of debt as the dependent variable and using intangible capital and ESG performance as independent variable. The empirical results of this study show intangible capital and financial leverage are not relevant under these equations. Moreover, they also have no relationship between intangible capital and cost of debt, and there is a 10% chance …
Trade Credit With Firms' Life Cycle: Evidence From Stock Exchange Of Thailand (Set),
2022
Faculty of Commerce and Accountancy
Trade Credit With Firms' Life Cycle: Evidence From Stock Exchange Of Thailand (Set), Chaiwat Sae-Low
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines how firms’ life cycle affects Trade credit including the recession period by using evidence from Stock Exchange Thailand (SET). The study has been performed during 2000 – 2020 with 253 listed firms. Regarding results, it suggested that the firm life cycle has a significant impact on AR and AP days, except for AP’s growth. During the recession period, AP days for the introduction and mature stage have no positive impact. The empirical also finds there are no significant levels for the introduction and mature stage of AR and AP days, which have a high level of market …
