Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?,
2021
Faculty of commerce and accountancy
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 …
The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand,
2021
Faculty of Commerce and Accountancy
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 …
The Monetary Policy Transmission During The Crisis: Evidence From Thailand,
2021
Faculty of Commerce and Accountancy
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. …
Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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 …
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements,
2021
Faculty of commerce and accountancy
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 …
International Evidence On Corporate Rating Changes,
2021
Faculty of Commerce and Accountancy
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 …
Spac Sponsors And Their Effects On Spac Prices,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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 Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand,
2021
Faculty of Commerce and Accountancy
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 Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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. …
The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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 …
Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand),
2021
Faculty of Commerce and Accountancy
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.
How Does Thai Stock Market React To The Environmental Policy Announcements?,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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 …
Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand,
2021
Faculty of Commerce and Accountancy
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,
2021
Faculty of Commerce and Accountancy
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 …
