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Full-Text Articles in Finance and Financial Management
The Information Spillover Effects Of Earnings Announcements: Evidence From Thailand, Panatakorn Piyawannasuth
The Information Spillover Effects Of Earnings Announcements: Evidence From Thailand, Panatakorn Piyawannasuth
Chulalongkorn University Theses and Dissertations (Chula ETD)
AbstractThis research investigates spillover effects during announcement days in the Thai stock market, covering the period from 2015 to 2024, covering all publicly traded companies on the Stock Exchange of Thailand. The paper aims to determine whether limited spillover effects in developed markets persist in emerging markets whose institutional features are quite different.The empirical evidence strongly confirms that Thai earnings announcements are made up predominantly of firm-specific information, as compared with industry-level information, consistent with developed-market profiles. The conditional spillover study, however, reveals characteristic Thai capital market characteristics. Firms reporting significant earnings surprises demonstrate no systematic evidence in precipitating larger …
Governance Rating Disagreement And Earnings Management In Asean Listed Firms, Pawat Dumrongkiate
Governance Rating Disagreement And Earnings Management In Asean Listed Firms, Pawat Dumrongkiate
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between corporate governance ratings and earnings management among publicly listed firms across six ASEAN countries—Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam—during the period 2015–2023. It examines whether the coverage, level, and disagreement of governance ratings influence the degree of discretionary accruals, which are used as a proxy for earnings management. The Modified Jones Model and Kothari’s performance-matched approach were employed to estimate discretionary accruals, with firm, country, industry, and year fixed effects applied to control for unobserved heterogeneity. The results reveal that governance rating coverage and overall rating levels do not significantly affect earnings …
Flight From Liquidity And Bond Yields: Evidence From Thai Market, Sasipim Sinithanon
Flight From Liquidity And Bond Yields: Evidence From Thai Market, Sasipim Sinithanon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how liquidity risk influences mutual fund selling behavior and bond pricing in the Thai bond market during periods of distress. Using quarterly mutual fund holdings from Morningstar and transaction-level data from the Thai Bond Market Association (ThaiBMA) between 2015 and 2024, the analysis examines whether mutual funds exhibit “Flight from Liquidity” behavior—selling their most liquid assets under stress—and how such behavior affects bond yield spreads.Three hypotheses are tested. First, whether mutual funds are more likely to sell government bonds than corporate bonds during distress periods. Second, whether funds exhibit flight-from-liquidity behavior within each bond segment by selling …
The Moderating Role Of Investor Sentiment Regimes On The Impact Of Flow Types On Capital Structure Decisions (Evidence From Thailand), Shiva Sachaphimukh
The Moderating Role Of Investor Sentiment Regimes On The Impact Of Flow Types On Capital Structure Decisions (Evidence From Thailand), Shiva Sachaphimukh
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study analyzes how foreign and domestic capital flows influence the leverage of SET100 Thai non-financial firms, considering investor sentiment regimes and firm cyclicality (2013–2023). It contrasts fundamental foreign portfolio flows with speculative domestic trading turnover. Sentiment regimes powerfully amplify flow effects. Bullish domestic sentiment and high domestic turnover significantly increase leverage (sentiment-exploitation). Conversely, deteriorating sentiment and foreign outflows intensify debt reliance (stress-compensation). Domestic flows have stronger, more immediate leverage effects than foreign flows, revealing a behavioral asymmetry. Cyclical firms respond aggressively to domestic factors and sentiment, while non-cyclical firms prioritize foreign capital stability.The findings highlight the critical role of …
High-Yield Or Nothing? Investor Preferences For Riskier Bonds In Thailand, Thamon Chongkwanyuen
High-Yield Or Nothing? Investor Preferences For Riskier Bonds In Thailand, Thamon Chongkwanyuen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the determinants of investor demand for high-yield corporate bonds in Thailand's primary market between 2014 and 2024, focusing on whether investors exhibit reach-for-yield behavior and how they respond to past issuance patterns. Utilizing panel regression, with the Take-Up Ratio serving as the key measure of investor participation, the findings reveal that investor behavior is highly conditional. In normal or tightening monetary periods, high nominal yields and credit spreads are generally associated with lower subscription rates, suggesting investors interpret elevated returns as a signal of greater credit risk. However, this risk aversion is reversed during accommodative monetary conditions …
Salience, Trading Volume And 52-Week High Effects On Stock Returns: Evidence From Thai Stock Market, Tonnsaai Anantrechai
Salience, Trading Volume And 52-Week High Effects On Stock Returns: Evidence From Thai Stock Market, Tonnsaai Anantrechai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the interaction between salience effects and the 52-week high phenomenon in the Thai stock market, with particular attention to the mediating role of trading volume. Using data from SET100 constituents spanning May 2005 to December 2024, we employ the salience measure developed by Bordalo et al. (2012) and Cosemans and Frehen (2021) to investigate whether stocks with salient payoffs exhibit different return patterns when approaching their 52-week highs. Following Lin (2024), we test whether abnormal trading volume amplifies these behavioral effects. Our findings reveal a notable discrepancy: while historical portfolio sorts show extreme return differentials between salience …
The Determinants Of Short-Term And Long-Term Performance Of Initial Public Offering: Evidence From The Stock Exchange Of Thailand (Set) And Market For Alternative Investment (Mai), Chittakrij Peungsugk
The Determinants Of Short-Term And Long-Term Performance Of Initial Public Offering: Evidence From The Stock Exchange Of Thailand (Set) And Market For Alternative Investment (Mai), Chittakrij Peungsugk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the determinants of short and long-term IPO performance in the SET and mai market. Using samples of SET and mai IPOs from 2014-2021, the research investigates how underwriter reputation, institutional investor ownership, and big-4 auditor influence cumulative abnormal returns across time horizons. From information asymmetry, certification, and signaling theories, the study uses multiple linear regression with OLS to analyze IPO performance. Results are different between the two markets. In SET, underwriter reputation shows no certification effect across all time horizons for all reputation measures. Institutional investor ownership demonstrates no short-term impact but exhibits negative impacts with long-term …
Disaggregating Foreign Investor Influence: Direct Holdings, Nvdrs, And Stock Price Crash Risk In The Thai Equity Market, Ploypailin Rattanaphongchirakun
Disaggregating Foreign Investor Influence: Direct Holdings, Nvdrs, And Stock Price Crash Risk In The Thai Equity Market, Ploypailin Rattanaphongchirakun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the relationship between foreign ownership and stock price crash risk in the Stock Exchange of Thailand during the period 2005 to 2024. It focuses on differentiating between direct foreign investors who hold voting shares and Non-Voting Depository Receipts (NVDRs), which provide economic benefits similar to regular shares but do not confer voting rights at shareholder meetings. Additionally, this study examines whether information asymmetry and stock liquidity moderate the relationship between foreign ownership and stock price crash risk. The analysis utilizes panel data from the top 100 companies by market capitalization listed on the Stock Exchange of Thailand. …
The Effect Of Economic And Climate Policy Uncertainties On Momentum Strategies Across Different Esg Levels, Siwaphat Prommana
The Effect Of Economic And Climate Policy Uncertainties On Momentum Strategies Across Different Esg Levels, Siwaphat Prommana
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the impact of Economic Policy Uncertainty (EPU) and Climate Policy Uncertainty (CPU) on ESG momentum strategies in U.S. equity markets from 2011 to 2023. Momentum portfolios are constructed within high- and low-rated ESG pillar groups to assess how policy uncertainty influences their performance across different firm characteristics, including sectoral classification and geographic operations. Empirical analysis reveals that policy uncertainty, particularly through Forecast and News channels, significantly affects momentum returns, with the strongest effects concentrated among low ESG-rated and domestically focused firms. Cyclical sectors display heightened sensitivity to both EPU and CPU, while international firms show weaker or …
The Effect Of Trading Volume From Different Investor Types On Trading Friction Anomaly Returns In Thailand: Evidence From Market Microstructure Data Of The Stock Exchange Of Thailand, Suparkit Assavanig
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study introduces a novel approach to understanding how trading volumes from individual, institutional, and foreign investors influence anomaly returns in Thailand's stock market. I integrate comprehensive analysis of seven trading friction anomalies with unique market microstructure data from the Stock Exchange of Thailand's database. This approach enables construction of long-short portfolio strategies, while accounting for the distinct trading behaviors of different investor groups during the period from 2011 to 2021.Remarkably, I discovered asymmetric effects where retail trading amplifies certain anomalies while reducing others, contradicting traditional noise trader theories. Furthermore, the integration of investor-type volume indicators with long-short anomaly strategies …
Are Healthcare Stocks A Safe Haven During Covid-19? : An Analysis Of Stock Return And Sector Segmentation Across Developed And Emerging Markets, Attani Tuwatchai
Are Healthcare Stocks A Safe Haven During Covid-19? : An Analysis Of Stock Return And Sector Segmentation Across Developed And Emerging Markets, Attani Tuwatchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether the healthcare sector functioned as a safe haven during the COVID-19 pandemic by analyzing its time-varying correlation with major market indices across developed and emerging economies. Utilizing a multi-method approach—centered on the DCC-GARCH model and supported by OLS regression—the research investigates how health crises and public policy responses influenced sector-level market dynamics. The analysis focuses on three main areas: the evolution of correlation structures before and during the pandemic, the influence of pandemic-related factors on correlation strength, and differences between developed and emerging markets. Although a Probit model was initially applied to estimate the likelihood of …
Do Regulatory Announcements Still Cause Price Volatility? : A Pre- And Post-Msr Analysis Of The Eu Ets, Pornnapat Kuleung
Do Regulatory Announcements Still Cause Price Volatility? : A Pre- And Post-Msr Analysis Of The Eu Ets, Pornnapat Kuleung
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether the introduction of the Market Stability Reserve (MSR) has changed how the EU Emissions Trading System (EU ETS) responds to regulatory policy announcements affecting EUA supply and demand. Using event study and volatility analysis, it compares 81 events across Pre-MSR (before 2019) and Post-MSR (after 2019) periods.Cumulative abnormal returns (CARs) are estimated via a mean-adjusted model and tested using Welch’s t-test. Volatility is assessed through a GARCH(1,1) model, with structural differences evaluated using a Likelihood Ratio Test and a bootstrap test.Findings show that the MSR has reduced overreaction and volatility in specific contexts—particularly during recurring supply-related …
Narrative Economics As The Origins Of Momentum, Aung Khant Myat
Narrative Economics As The Origins Of Momentum, Aung Khant Myat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the role of economic narratives in shaping momentum effects in U.S. equity markets from 1984 to 2017. Utilizing narrative attention measures developed by Bybee et al. (2024), we examine how narrative attention and narrative innovation influence both time-series and cross-sectional momentum returns, after adjusting for Fama-French factors. LARS is employed for variable selection, and rolling-window regressions are used to capture time-varying factor loadings. Through a combination of time-series and panel data analysis, we test hypotheses related to static, persistent, and asymmetric narrative effects, along with firm- and market-level moderators. While the results are mixed across subsamples and …
Does Esg Performance Influence Cash Holding Behavior? Evidence From Asia-Pacific Firms, Khin Sandy Kyaw
Does Esg Performance Influence Cash Holding Behavior? Evidence From Asia-Pacific Firms, Khin Sandy Kyaw
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores the relationship between Environmental, Social, and Governance (ESG) performance and corporate cash holdings among publicly listed firms in the Asia-Pacific region from 2010 to 2023. Grounded in stakeholder theory and the precautionary motive for cash, the analysis examines whether firms with higher ESG performance hold less cash and whether this relationship is moderated by financial constraints and financial distress. Employing panel fixed-effects regression, two-stage least squares (2SLS), and system GMM methods, the results consistently indicate that ESG performance is negatively associated with cash holdings. The moderating analyses reveal that financially constrained or distressed firms with high ESG …
Growth Stock Performance: Analysts And Investors, Klah Kanittanon
Growth Stock Performance: Analysts And Investors, Klah Kanittanon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research study examines the earnings growth expectations for growth stocks from the perspectives of investors and analysts. Portfolios were categorized based on the earning growth expectations of investors and analysts, with returns measured using the Fama-French Three-Factor Model from 2011 to 2023 in the U.S. stock market. The portfolio returns based on analysts' expectations were significantly positive, indicating that analysts tend to underestimate earnings growth for growth stocks. In contrast, the portfolio returns based on investors' forecasts were close to zero and not statistically significant, implying that investors do not systematically overestimate or underestimate earnings growth expectations for growth …
A Customized Compartmental Epidemiological Model With Vaccination Groups For Covid-19 And Its Application To Pricing Pandemic Insurance Policies, Om Kanchanasakdichai
A Customized Compartmental Epidemiological Model With Vaccination Groups For Covid-19 And Its Application To Pricing Pandemic Insurance Policies, Om Kanchanasakdichai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study presents an agent-based modeling framework designed to evaluate epidemic-responsive insurance mechanisms under behavioral and supply-side constraints. The model does not rely on empirical calibration or external datasets; instead, it explores how stylized agent behavior and systemic pressures jointly influence insurance uptake, coverage efficiency, and policy outcomes. The simulation integrates a stochastic SEIR+ disease progression structure with individual-level decision making shaped by perceived risk salience, scarcity sensitivity, and delayed response behavior. A two stage evaluation process is implemented: first, a global sensitivity analysis identifies the key drivers of agent and system behavior; second, a strategic policy simulation compares the …
Esg Materiality Issues On Stock Returns: Stock Exchange Of Thailand, Napassorn Tinnakorn
Esg Materiality Issues On Stock Returns: Stock Exchange Of Thailand, Napassorn Tinnakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Environmental, Social, and Governance (ESG) materiality issues on stock returns in the Stock Exchange of Thailand (SET). Leveraging data from 90 listed companies between 2018 and 2021, the research examines whether firms focusing on material ESG issues demonstrate superior performance. Using an innovative SASB, MSCI, and MSCI-SASB ESG materiality framework, the study differentiates between material and immaterial ESG issues. By constructing portfolios based on ESG materiality scores and evaluating their performance through a comprehensive five-factor model, the research provides nuanced insights into ESG investing in an emerging market context. The study addresses a critical …
The Influence Of Intellectual Property Mergers And Acquisitions On Long- Term Financial Performance: Insights From Chinese Companies, Mingyue Fang
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the long-term financial effects of intellectual property-related M&As (IP M&As) in China, using ROIC as the main performance metric. Based on a panel of listed firms from 2000–2020, it first applies a DID model to compare IP M&As with regular deals, then extends to a DDD framework to assess directional heterogeneity (North-to-South, South-to-North, intra-regional). Results show IP M&As improve ROIC, especially in North-to-South transactions. Mechanism analysis confirms enhanced innovation output, though its financial conversion may face institutional or integration frictions. The study highlights the strategic value of IP M&As and the importance of regional context in post-deal …
Abnormal Stock Return Predictability: Evidence From Excess Trading Volume In The Stock Exchange Of Thailand, Siriphum Bunnamma
Abnormal Stock Return Predictability: Evidence From Excess Trading Volume In The Stock Exchange Of Thailand, Siriphum Bunnamma
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the predictive power of excess trading volume on abnormal stock returns in the Stock Exchange of Thailand, examining 11,575 stock-month observations from SET100 constituents over 2014-2023. Drawing on behavioral finance theories including attention effect, disposition effect, and investor overconfidence, the research develops a novel technical indicator called "Excess Trading Volume" (ExV), defined as the deviation between short-term (21-day) and long-term (200-day) moving averages of trading volume.Using cross-sectional regression analysis with CAPM-adjusted abnormal returns, the study tests two hypotheses: (1) high excess volume during positive return months predicts negative future abnormal returns, and (2) high excess volume during …
The Impact Of Environmental Performance On The Green Bond Premium In U.S.: Moderating Roles Of Social And Governance Performance, Teerapat Thuwanuti
The Impact Of Environmental Performance On The Green Bond Premium In U.S.: Moderating Roles Of Social And Governance Performance, Teerapat Thuwanuti
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the existence of the Green Bond Premium in the U.S. secondary corporate bond market and investigates the impact of a firm’s environmental performance on the green premium. It further analyzes the moderating effects of social and governance performance on the relationship between environmental performance and the green bond premium.The analysis uses a sample of 66 matched pairs of green and conventional corporate bonds, matched through Propensity Score Matching (PSM) to ensure comparability across key bond characteristics. Key variables are obtained from Bloomberg for the period 2019 to 2024.The results confirm the existence of a modest green bond …
The Impact Of Underwriters On Ipo Underpricing: The Moderating Role Of Auditor, Nontapat Poonsinwiwat
The Impact Of Underwriters On Ipo Underpricing: The Moderating Role Of Auditor, Nontapat Poonsinwiwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of underwriter reputation on IPO underpricing and the moderating role of Big-4 auditors in Thailand's capital markets. Using a comprehensive dataset of IPO firms listed on both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2018 to 2024, this research investigates whether certification mechanisms operate differently across market segments with varying information asymmetry levels. The analysis employs multiple linear regression with robust standard errors and fixed effects models to test two main hypotheses examining underwriter reputation effects and Big-4 auditor moderation. The findings reveal dramatically different certification dynamics across …
Performance Of Lottery Stocks Held By Thai Mutual Funds, Suparerk Saardeiam
Performance Of Lottery Stocks Held By Thai Mutual Funds, Suparerk Saardeiam
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper evaluates the performance of lottery stocks held by Thai mutual funds using stock price data of all stocks (both SET and MAI) and actively managed Thai open-ended domestic equity fund holdings from 2014 to 2023. The first objective is to examine whether any Thai mutual funds hold lottery stocks, and if such holdings generate positive raw returns or alphas based on the Fama-French 4-factor model. The second objective is to test the predictive power of lottery stocks held by Thai mutual funds using simplified version of cross-sectional Fama-Macbeth regression. The last objective is to examine whether long-short portfolios—long …
The Evolution Of Monetary Policy Transmission In Defi Market, Lynn Ko Maung
The Evolution Of Monetary Policy Transmission In Defi Market, Lynn Ko Maung
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how U.S. monetary policy affects decentralized finance (DeFi), focusing on capital flows and interest rate sensitivity across over 500 DeFi pools from 2022 to 2024. Using three models: (1) static TVL regression, (2) rolling DeFi deposit beta, and (3) rolling DeFi interest beta, the analysis captures both cross-sectional and time-varying monetary transmission effects. Model 1 shows that DeFi deposits decline in response to rising interest rates. Model 2 confirms that DeFi deposit betas are weakly negative overall, with stablecoin pools exhibiting stronger sensitivity. Model 3 finds limited responsiveness in DeFi lending rates, suggesting that APYs are primarily …
Can Thai Mutual Fund Investors Benefit From Volatility Managed? Evident From Thailand, Nattapong Shutimayotingul
Can Thai Mutual Fund Investors Benefit From Volatility Managed? Evident From Thailand, Nattapong Shutimayotingul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines whether Thai mutual fund investors can benefit from volatility-managed strategies using Thai open-ended domestic equity funds from January 2005 to December 2024. The study investigates whether volatility-managed strategies improve risk-adjusted returns across both active and passive funds, examines the performance drivers through volatility timing and return timing analysis, and analyzes whether investors implement these strategies in practice through fund flow behavior.The results show that volatility-managed strategies improve risk-adjusted performance and survive transaction costs but only work effectively during specific market conditions. Thai mutual fund investors demonstrate awareness of volatility timing benefits, as evidenced by reducing fund positions …
Performance Comparison Of Modern And Traditional Machine Learning Approaches For Unsecured Retail Credit Risk Prediction, Anupong Guersanor
Performance Comparison Of Modern And Traditional Machine Learning Approaches For Unsecured Retail Credit Risk Prediction, Anupong Guersanor
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates performance comparison between modern and traditional machine learning approaches for unsecured retail credit risk prediction. Performance is compared by assessing the ability of a model to rank probability of default of modern approaches which are random forest and gradient boosting, versus traditional approach which is logistic regression. The findings indicate that modern machine learning models significantly outperform the traditional logistic regression model in both the overall unsecured retail market and the subprime market. This superior performance is likely due to modern models' ability to capture various customer profile, non-linear relationships and interactions among variables, which are more …
The Impact Of Corporate Strategic Aggression On Esg Scores: The Moderating Role Of Institutional Investors, Kittiphat Petchpradub
The Impact Of Corporate Strategic Aggression On Esg Scores: The Moderating Role Of Institutional Investors, Kittiphat Petchpradub
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between corporate strategic aggression and Environmental, Social, and Governance (ESG) scores, with particular focus on the moderating role of institutional investors. Using a comprehensive dataset of NASDAQ-listed companies from 2018 to 2023, this research investigates whether firms pursuing more aggressive strategies demonstrate superior ESG outcomes and how institutional ownership influences this relationship.The analysis employs a panel regression model with firm and year fixed effects to test three main hypotheses. First, I examine whether corporate strategic aggression positively affects ESG scores. Second, I investigate potential non-linear relationships where excessive strategic aggression may lead to diminishing returns …
Impact Of The Gold-To-Platinum Price Ratio On Mutual Fund Flows In Thailand, Luxamee Choktarm
Impact Of The Gold-To-Platinum Price Ratio On Mutual Fund Flows In Thailand, Luxamee Choktarm
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores whether the gold-to-platinum price ratio can explain mutual fund flows in Thailand by focusing on two key indicators: the abnormal GP ratio (AGP) and the fund sensitivity to monthly changes in GP (β∆GP). These measures are used to assess whether investors perceive the GP ratio as a proxy for economic uncertainty. The analysis uses monthly data from January 2017 to December 2023, covering both active equity funds and corporate bond funds. The models include fund level characteristics such as size, expense ratio, age, past flows, and return volatility, along with macroeconomic variables including inflation, exchange rates, interest …
The Effect Of Financial Flexibility On The Leverage-Performance Relationship In The Set Market For The Pre-To-Post Covid-19 Situation, Akesuwat Sanjaingamworapat
The Effect Of Financial Flexibility On The Leverage-Performance Relationship In The Set Market For The Pre-To-Post Covid-19 Situation, Akesuwat Sanjaingamworapat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the effect of financial flexibility on the relationship between leverage and firm performance across three distinct economic phases—pre-COVID-19, pandemic, and post-pandemic recovery—in the Thai stock market (SET). Using panel data from SET-listed firms between Q1’2018 and Q4’2023, The analysis employs the fixed-effects and random-effects regression models with interaction terms to capture the dynamic role of financial flexibility and economic context. The findings confirm that leverage exerts a significantly negative effect on firm performance, particularly during the pandemic period, as measured by return on equity (ROE) and return on assets (ROA). However, this adverse impact is found to …
How Integrity Culture Affects Trade Credit Availability, Sarocha Limchaisiri
How Integrity Culture Affects Trade Credit Availability, Sarocha Limchaisiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether corporate integrity culture plays a role in shaping firms’ access to trade credit. Focusing on a panel of U.S. publicly listed firms from 2002 to 2021, it employs a text-based proxy for integrity constructed from annual reports and uses pooled OLS regression with industry and year fixed effects. The goal is to understand how ethical culture, as a non-financial factor, influences trade credit availability beyond traditional financial metrics. While the measure used—accounts payable to COGS ratio—is commonly applied in the literature, it reflects both the willingness of suppliers to extend credit and the firm’s decision to …
The Magnet Effect Of Circuit Breakers And Its Interaction With Price Limit On Thai Stock Market, Arthinsha Shinvoranont
The Magnet Effect Of Circuit Breakers And Its Interaction With Price Limit On Thai Stock Market, Arthinsha Shinvoranont
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the magnet effect of circuit breakers and their interaction with daily price limits in the Thai stock market during the COVID-19 crisis. Using high-frequency intraday data from March 2020 and an AR(2)-GARCH(1,1) framework, the analysis examines whether returns and trading activity accelerate near circuit breaker thresholds and how firm characteristics influence this effect. Results reveal significant magnet effects at the individual stock level, especially among smaller firms, while evidence at the index level is weak. The study also finds that circuit breakers and price limits reinforce each other, amplifying price movements when both thresholds are approached. These …