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 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 …
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 …
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 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 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 …
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 Inflation Hedging Ability Of Real Estate Investment In Thailand,
2021
Faculty of Commerce and Accountancy
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
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 Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?,
2021
Faculty of Commerce and Accountancy
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 …
Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set),
2021
Faculty of Commerce and Accountancy
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 …
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand,
2021
Faculty of Commerce and Accountancy
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 …
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets,
2021
Faculty of Commerce and Accountancy
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 …
Mutual Fund Flow And The Real Economy,
2021
Faculty of Commerce and Accountancy
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 …
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. …
Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets,
2021
Faculty of Commerce and Accountancy
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, …
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 …
Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?,
2021
Faculty of Commerce and Accountancy
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.
The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada,
2021
Faculty of Commerce and Accountancy
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 …
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis,
2021
Faculty of Commerce and Accountancy
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 …
