The Impact Of Brexit Debates On Irish Exports: A Causality Analysis,
2019
Technological University Dublin
The Impact Of Brexit Debates On Irish Exports: A Causality Analysis, Rawayda Abdou, Klavs Ciprikis, Lucia Morales, Damien Cassells
Conference papers
The UK decision to leave the EU has larger implications for Ireland due to its significant exposure to the UK economy. As such a no-deal Brexit scenario raises significant concerns regarding the impact, the magnitude and the lasting effects of the shock to the Irish economy. Leading up to the final weeks before the UK leaves the EU, this study explores the relationship between economic and political uncertainty surrounding Brexit and its potential causal effects to the Irish economy. The agriculture, manufacturing, chemical and pharmaceutical sectors are the focus of attention as they are considered to be the most exposed …
Uni Finance Newsletter, 2019,
2019
University of Northern Iowa. Department of Finance.
Uni Finance Newsletter, 2019, University Of Northern Iowa. Department Of Finance.
Department of Finance Newsletter
News about the activities of the Department of Finance.
Can Credit Rating Agencies Affect Election Outcomes?,
2019
University of Kentucky
Can Credit Rating Agencies Affect Election Outcomes?, Igor Cunha, Miguel A. Ferreira, Rui C. Silva
Institute for the Study of Free Enterprise Working Papers
We show that credit rating agencies can have a significant effect on election outcomes. We identify these effects by exploiting exogenous variation in municipal bond ratings due to Moody’s recalibration of its scale in 2010. We find that incumbent politicians in upgraded municipalities experience an increase in their likelihood of reelection and their vote shares. These rating upgrades improve voters’ opinions about the incumbent and produce positive wealth effects through voters’ holdings of local municipal bonds. In addition, rating upgrades cause an expansion of local governments’ debt capacity that allows the incumbent to increase spending and improve local economic conditions.
Innovation In Economic Education,
2019
Old Dominion University
Innovation In Economic Education, Mariam T. Abdelhamid
Information Technology & Decision Sciences Faculty Publications
(First paragraph) Economic integration in the K-16 space is one facet of the American education system that depicts inadequacy yet potential. Mary Beth Henning alongside several educational specialists and economists illustrate how economics can be taught in a multidisciplinary manner through the mandated disciplines, such as math, reading, and history. The authors of this book demonstrate the need for students to develop an economic way of thinking through three themes focusing on: interdisciplinary integration of economics, blended learning, and economic educator preparation. I would highly recommend this book to K-16 educators looking to integrate economics into core academic subjects through …
The Nature Of Latin American Markets In The Presence Of Credit Events,
2019
Claremont Colleges
The Nature Of Latin American Markets In The Presence Of Credit Events, Patricio Aguilar
CMC Senior Theses
In the past two decades the Latin American region has experienced a number of credit crises stemming from large sovereign debt levels and sharp currency devaluations. This study aims to discover whether or not the sovereign credit default swaps (CDS) in the Latin American region lead equity markets prior to these sovereign credit events. Through a sample of the seven largest Latin American economies and daily return data from 2001 to 2018, I try to empirically test this question through a Generalized Least Squared model. The paper finds little significant evidence of CDS leading equity markets in price discovery prior …
การควบคุมราคาหุ้นก่อนถึงวันหมดอายุหุ้นใบสำคัญแสดงสิทธิ; หลักฐานจากตลาดหลักทรัพย์ไทย,
2019
คณะพาณิชยศาสตร์และการบัญชี
การควบคุมราคาหุ้นก่อนถึงวันหมดอายุหุ้นใบสำคัญแสดงสิทธิ; หลักฐานจากตลาดหลักทรัพย์ไทย, วัฒนพาศน์ รุ่งจรูญ
Chulalongkorn University Theses and Dissertations (Chula ETD)
การแทรกแซงของ บริษัท ในตลาดหุ้นเกิดขึ้นทั่วโลกผ่านการเปิดเผยข้อมูลการดำเนินงานด้านบัญชีและการเงินที่ใช้ประโยชน์จากความไร้ประสิทธิภาพของตลาดที่มีอยู่ มันเกิดจากความไม่สมดุลของข้อมูลที่ยังคงมีอยู่ระหว่างฝ่ายต่าง ๆ มักจะทำให้เกิดการสูญเสียที่หลีกเลี่ยงไม่ได้กับนักลงทุน การวิจัยนี้ตรวจสอบผ่านเครื่องมือทางการเงินที่ช่วยให้เกิดความกระจ่างว่าการจัดการราคาของ บริษัท ดำเนินการอย่างไรในตลาดหุ้นไทยโดยเฉพาะก่อนวันใช้สิทธิ การผันผวนของราคาหุ้นก่อนวันหมดอายุของใบสำคัญแสดงสิทธิจะถูกตรวจสอบเพื่อกำหนดลักษณะการปรับราคาและระดับความอ่อนไหว ผลแสดงให้เห็นว่าผลตอบแทนที่ผิดปกติเชิงลบเกิดขึ้นในช่วงเวลา [42, 84] วันก่อนที่ใบสำคัญแสดงสิทธิ ITM จะหมดอายุ ตัวแปรขององค์กรพิสูจน์แล้วว่ามีผลกระทบต่อระดับความอ่อนไหวของการเคลื่อนไหวในราคาหุ้นซึ่งเป็นผลมาจาก บริษัท มีอัตราส่วน D/E สูง CGR และ MCAP แสดงให้เห็นถึงความต้านทานต่อการเคลื่อนไหวของราคาหุ้นติดลบ การปรับราคามีความเป็นไปได้ที่จะได้รับผลกำไรจากการเคลื่อนไหวของราคาหุ้น อย่างไรก็ตามทางงานวิจัยจำเป็นต้องมีข้อมูลเพิ่มเติมเกี่ยวกับวิธีการดำเนินการจัดการเพื่อยืนยันทฤษฎีนี้ ผู้ลงทุนควรตระหนักถึงความเสี่ยงและหลีกเลี่ยงการซื้อขายในทางตรงกันข้ามของทิศทางของการเคลื่อนไหวในราคาหุ้นในช่วงเวลาที่ใบสำคัญแสดงสิทธิใกล้วันหมดอายุ
An Analysis Of Momentum Strategy’S Failure In Stock Exchange Of Thailand,
2019
Faculty of Commerce and Accountancy
An Analysis Of Momentum Strategy’S Failure In Stock Exchange Of Thailand, Intha Thithapand
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the negative return characteristic of momentum strategy, also known as momentum crashes, in Stock Exchange of Thailand from January 2001 to December 2018. This study aims to answer one main question. Do momentum crashes exist in Stock Exchange of Thailand? The result show that momentum crashes do exist in Stock Exchange of Thailand, where momentum portfolio perform poorly during panic state, defined by period that market rebound from its decline with high volatility. This poor performance is mainly driven by the option-like payoff characteristic of momentum portfolio, where the portfolio behave itself as a short call option, …
The Effect Of Control-Ownership Disparity On Earnings Management: Evidence From Korean Large Business Groups,
2019
Faculty of Commerce and Accountancy
The Effect Of Control-Ownership Disparity On Earnings Management: Evidence From Korean Large Business Groups, Jaehyeok Kim
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the difference in the use of earnings management at family-controlled firms belonging to Korean large business groups (chaebol) versus non-chaebol firms belonging to Korean large business groups from 2002 to 2016. Firms belonging to large business groups are subject to similar regulations by authorities. This study also tests whether a divergence between voting rights and cash flow rights affects earnings management by controlling shareholders. This study examines both accrual-based earnings management (AEM) and real-activities earnings management (REM), using two measures of accrual-based earnings management and three measures of real-activities earnings management. This study finds that chaebol firms …
Heterogeneity In Reactions To Monetary Policy Of Thai Stock Returns,
2019
Faculty of Commerce and Accountancy
Heterogeneity In Reactions To Monetary Policy Of Thai Stock Returns, Siraphop Swingthong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the effect of Thailand and U.S. monetary policy shock on stock market in Thailand for three level; market, industries and firm level from June 2000 to December 2018. In addition, this paper studies which firm characteristic cause the heterogeneity effect of stock and industry return on monetary policy innovation. Structural Vector Error Correction model follows Kim & Roubini (1999) and Ivrendi & Gulogu (2010) is applied to identify monetary policy shock.This paper finds that SET index return is statistically decrease 1.12 percentage point, on average in reaction to one standard deviation of unexpected increase in Thailand monetary …
A Neural Network-Based Method For Solving A Dynamic Investment And Consumption Problem With Transaction Costs And Stochastic Volatility,
2019
Faculty of Commerce and Accountancy
A Neural Network-Based Method For Solving A Dynamic Investment And Consumption Problem With Transaction Costs And Stochastic Volatility, Kittipong Noonoi
Chulalongkorn University Theses and Dissertations (Chula ETD)
Optimal investment and consumption problem with proportional transaction costs known as Davis \& Norman problem is a challenging portfolio free-boundary problem to solve. According to the HJB equation, see Davis and Norman (1990), there are three optimal regions i.e. no-trade region, buy region, and sell region in which different actions are prescribed. However, the two boundaries separating the three regions are unknown and it is crucial to discover them in order to obtain the optimal policy. Nonetheless, under a special class of model in which the excess return of stock is assumed to be positively linear in variance reflecting the …
A Reinforcement Learning Model For Lending Problems With Limited Budget And Insufficient Data,
2019
Faculty of Commerce and Accountancy
A Reinforcement Learning Model For Lending Problems With Limited Budget And Insufficient Data, Radaporn Autravisittikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
Traditional lending policy requires sufficient data for making lending decisions, therefore, some small companies could not access to the fund. In this study, we propose a decision making model that can decide whether to accept or reject a sequence of unfamiliar loan applications while having a limited budget. Our model does not have any knowledge about the incoming loans, therefore, it can predict the default probability with low accuracy at the beginning. The model can learn by observing the outcomes of the accepted loans. The model's budget increases every time the model accepts a fully paid loan and decreases when …
The Impacts Of Us Macroeconomic Announcements On Thai Bond Markets,
2019
Faculty of Commerce and Accountancy
The Impacts Of Us Macroeconomic Announcements On Thai Bond Markets, Jaturapat Thanaboot
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of US macroeconomic announcements both in terms of announcement day and surprise on Thai bond markets. More specifically, this paper analyses the different impacts of 16 US macroeconomic announcements on Thai bond markets. Using daily total returns on short- and long-term government bonds including investment-grade bond, I find that the overall US macroeconomic announcement days lower subsequent volatility in Thai bond markets while US macroeconomic announcement surprises raise volatility. Furthermore, after separating between types of US macroeconomic announcements, US inflation announcement days seem raise Thai bond market volatility while most of the negative US macroeconomic …
How Does Loan Portfolio Diversification Affect Bank Profitability?,
2019
Faculty of Commerce and Accountancy
How Does Loan Portfolio Diversification Affect Bank Profitability?, Kornkanok Sittichobtham
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Impact Of Single Stock Futures Block Trade Transactions On Underlying’S Volatility And Return : Evidence From Stock Exchange Of Thailand,
2019
Faculty of Commerce and Accountancy
The Impact Of Single Stock Futures Block Trade Transactions On Underlying’S Volatility And Return : Evidence From Stock Exchange Of Thailand, Chotiwit Jiratananuwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
After the introduction of Single Stock Futures Block trade into the market, the concern of futures trading which is a high leverage product has been being in attention among investors. This paper examines the impact of Block trade trading volume on underlying’s volatility and return by using linear regression model covering 86 stocks from year 2017-2019. For the impact on volatility, this paper use 2 different measurements of volatility to investigate the impact which is Parkinson variance estimator and 30 minutes price historical volatility. The results found a positive relation between Parkinson variance estimator and Block trade trading volume, and …
The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability,
2019
Faculty of Commerce and Accountancy
The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper extends the understanding of an impact of oil prices on stock market and financial performance of oil and gas firms over the past decade. Firstly, this paper investigates the impact of crude oil, petroleum and petrochemical prices on accounting measures of firm performance using a sample of refinery and petrochemical firms in Thailand. Secondly, it examines whether these commodity prices are an essential factors in explaining abnormal returns. The findings show that the price of crude oil and petrochemicals positively and significantly affect firm profitability performance as represented by Gross Integrated Margin (GIM), return on equity (ROE), and …
Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs,
2019
Faculty of Commerce and Accountancy
Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk
Chulalongkorn University Theses and Dissertations (Chula ETD)
Price efficiency of stock market is one of classic stories in financial and economics world. This paper aims at quantitatively identify the impact of government intervention in stock market on price efficiency of the stocks rather than testing whether stock market is efficient or not. The government intervention in this paper is the intervention from the Bank of Japan to stimulate Japan’s economy through the purchase of ETFs. First, we test whether price efficiency of the underlying stocks in ETFs are improved or deteriorated as a result of the intervention. The results suggest that in aggregate stocks with high exposure …
Intangible Capital, Q Theory Of Investment And Measurement Of Profitability,
2019
Faculty of Commerce and Accountancy
Intangible Capital, Q Theory Of Investment And Measurement Of Profitability, Kunyamas Nithipaisal
Chulalongkorn University Theses and Dissertations (Chula ETD)
Contribution of intangible capital has been a notable factor of today’s economy. However, previous literatures mainly focus on outcomes of physical investment through classical theory of investment and financial ratios, so this paper aims to explain effects of intangible capital in two major points. Firstly, new Tobin’s q proxy, which includes intangible capital, is reexamined regarding its explanation of total investment; new Tobin’s q, thus, explains investment opportunities better in firms and years with greater intangible capital. Secondly, financial ratios are rearranged by taking intangible capital into consideration. As a result, firms with more intangible capital do not generate higher …
Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand,
2019
Faculty of Commerce and Accountancy
Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong
Chulalongkorn University Theses and Dissertations (Chula ETD)
How corporate governance mechanism helps prevent underperformance of acquiring firms is controversial, especially with little evidence in Asia-Pacific literature. I examined how shareholder involvement by means of mandatory shareholder voting (class 1) and required information disclosure (class 2) under the SET’s Acquisition and Disposition Rule affected the market reaction on mergers and acquisitions. I did not find significant differences in the CARs among transaction classes with different degree of shareholder involvement. The results were consistent both in univariate and multivariate analysis which deal- and firm-level factors are controlled. I investigated further and found that concentrated ownership in Thai firms did …
The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies,
2019
Faculty of Commerce and Accountancy
The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness.
Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors,
2019
Faculty of Commerce and Accountancy
Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
