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Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad
Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the preferences of Thai mutual funds for lottery-like stocks, characterized by stock skewness. Given that market sentiment fluctuates over time, the study also explores how the preferences of Thai mutual funds for lottery-like stocks vary with market sentiment. The research aims to understand if holding these stocks can generate significant excess returns and to evaluate the impact of fund size and age on these investment preferences during different market sentiment periods. By analyzing data from the first quarter of 2020 to the third quarter of 2023, this study provides a comprehensive view of the strategic decisions made …
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Morningstar Sustainability Ratings on Thai mutual fund flows, focusing on three aspects: the impact of the ratings' introduction, the differential effects of varying ESG ratings, and the influence of ESG ratings during the COVID-19 pandemic. The analysis encompasses various methodological approaches, including event studies, propensity score matching, cross-sectional, and panel regression analyses, to provide comprehensive insights into investor behavior to Morningstar Sustainability Ratings. Globally, sustainability ratings have a significant impact on mutual fund flows. This study finds that there is a strong initial impact following the publication of the Morningstar Sustainability Ratings, particularly for …
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda
Chulalongkorn University Theses and Dissertations (Chula ETD)
Small and medium-sized enterprises (SMEs) are crucial to economic development, significantly contributing to employment and economic activities in Thailand. However, despite their importance, SMEs often face financial challenges that can hinder their operations and growth prospects. This research investigates the determinants of non-performing loans (NPLs) of SMEs in Thailand, with a particular focus on the impact of interest rates and other macroeconomic indicators such as GDP growth, unemployment rates. The study employs three Ordinary Least Squares (OLS) models to analyze the relationship between these variables and NPLs. The findings reveal that higher GDP growth significantly reduces NPLs, suggesting that economic …
Corruption And Informal Economies In Asia, Min Thiha
Corruption And Informal Economies In Asia, Min Thiha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis explores the dynamic interaction between corruption, the informal economy, and the political and economic institutional qualities in 39 Asian countries from 2001 to 2021, using 819 observations and fixed-effect estimation method. The findings indicate that corruption significantly enlarges the shadow economy, supporting the notion that corruption can facilitate business operations in heavily regulated environments. Conversely, higher economic freedom and democratic governance are linked to smaller shadow economies, underscoring the importance of transparent and accountable institutions. Additionally, higher tax burdens and rapid GDP growth are associated with larger informal sectors, while increased FDI inflows and population growth tend to …
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
Institutional investors play a crucial role in financial markets. Understanding how their ownership affects stock returns can provide valuable insights for both institutional investors and individual investors in making informed investment decisions. In financial markets, the relationship between institutional ownership and stock returns has been a subject of extensive debate. Institutional investors, including mutual funds, pension funds, and hedge funds, wield significant influence over equity markets due to their holdings' sheer magnitude and ability to execute large-scale trades. Understanding how their investment decisions impact stock returns is not only crucial for investors seeking to optimize their portfolios but also for …
How Avoiding Positions During Macroeconomic News Announcement Periods Enhances Gold Trading Strategies, Patipan Piyakulmala
How Avoiding Positions During Macroeconomic News Announcement Periods Enhances Gold Trading Strategies, Patipan Piyakulmala
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of macroeconomic news announcements on trading performance and evaluates the efficacy of avoiding trades during these periods. The study employs three trading strategies: Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD), and Momentum, analyzing their performance across eight major news events: Non-Farm Payrolls (NFP), Consumer Price Index (CPI) for the US and China, ISM Manufacturing Index (ISM), Industrial Production (IP) for the US and China, German IFO Business Climate, and EU Interest Rates. Utilizing a multifactor regression model, we assess the return performance of trades avoided during news announcements, incorporating control variables such as …
Underpricing And Overpricing Of Stocks Following Extreme Returns: Evidence Of Thailand, Manasnant Tejahwandee
Underpricing And Overpricing Of Stocks Following Extreme Returns: Evidence Of Thailand, Manasnant Tejahwandee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how investors in Thailand's stock market react to extreme losses and gains, focusing on underpricing and overpricing phenomena. The objective is to analyze these market behaviors and trading strategies comprehensively. We employ statistical methods, including the Carhart four-factor model, to assess risk-adjusted performance and explore the effects of capital gains overhang and investor sentiment on stock returns. Our methodology involves forming quintile portfolios based on extreme loss and gain returns, using Winsorizing to handle outliers. We analyze both raw and cumulative returns, comparing stocks with the highest and lowest extreme returns. Additionally, we examine the influence of …
National Elections And Volatility Of Stock Returns, Case Study Of Thailand, Sirawit Triyasuk
National Elections And Volatility Of Stock Returns, Case Study Of Thailand, Sirawit Triyasuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores how electoral factors, including final week surprises, political donations, pre-election polls, election results, and prime minister vote outcomes, affect the volatility of stocks return which are listed on the Thai Stock Exchange. Employing regression models, it assesses how these elements impact market fluctuations, revealing that unexpected events and significant political contributions during election weeks crucially affect market stability differently. The findings indicate that pre-election polls and political donations significantly contribute to increased market volatility. This suggests that during election periods, heightened political activity and financial contributions can lead to greater uncertainty in financial markets, providing key insights …
Fund Characteristics Immunity To Covid-19 Pandemic: Evidence From Thailand, Primporn Thanomsakul
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 …
The Impact Of Perceived Corruption Levels In Public Sector On Stock Market Development, Chotiwat Kumhang
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 …
Trade Credit With Firms' Life Cycle: Evidence From Stock Exchange Of Thailand (Set), Chaiwat Sae-Low
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 …
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique in which the trainable reinforcement learning agent is designed to directly control the trading positions. The maximum overlap discrete wavelet transformation (MODWT) algorithm is used for generating the trading signal from the spread time series. Wavelet signal preprocessing is used to extract the original time series into cyclic time series components and long-term behavior components. Based on the in-sample performance this trading model successfully solves a profit maximizing …
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this paper is to investigate the impact of corporate diversification on stock risk for 345 companies listed on Stock Exchange of Thailand during the sample period from 4 January 2017 to 30 December 2021 which covers both Covid and pre-Covid period. Furthermore, the differences in effect between Covid and pre-Covid period are also studied. The result shows that diversifying through only business segments and ignoring global diversification increases stock volatility. Furthermore, it also shows that diversifying through only business segments and ignoring global diversification increases stock volatility during the Covid period compared to pre-Covid period. The result …
Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability, Wasit Norakarntiansin
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 …
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand, Tanakorn Makarabhiromya
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, …
How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study, Thurein Htet Myat
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, Issaraphorn Voratavornviwat
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, Natapong Teekaput
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 …
Effect Of Joining Paris Agreement To Green Bond Premium In Us Market, Onjira Sukijjakamin
Effect Of Joining Paris Agreement To Green Bond Premium In Us Market, Onjira Sukijjakamin
Chulalongkorn University Theses and Dissertations (Chula ETD)
The paper investigates whether green bonds are priced at a premium compared to conventional bonds by analyzing the yield spread between green bonds and comparable conventional bonds (where a negative yield spread indicates a premium). The study also examines the factors influencing the yield difference including the effect of participating in Paris Agreement to the green bond premium. Initially, the paper expected to find a negative green bond premium, indicating that green bonds have lower yields than comparable conventional bonds, as investors are willing to accept lower yields for the ESG benefits associated with green projects. However, the paper obtained …
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research paper provides a comprehensive analysis of the dynamics of volatile oil prices over the past two decades, with a focus on the stock exchange of Thailand from the period of 2004 to 2022. Firstly, the study utilizes the Vector Autoregressive Model (VAR) technique to examine the impact of global oil price fluctuations on domestic fuel prices and the stock market in Thailand. The findings reveal that changes in global oil prices have a delayed and indirect effect on the Thai stock market. The transmission of volatility through domestic diesel prices is a crucial factor in this relationship. Notably, …
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet
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 …
How Influential Are Finfluencers? Granger Causality Between Finance Influencers And Price Movements In Cryptocurrency And Stock Markets, Sita Kedvarin
How Influential Are Finfluencers? Granger Causality Between Finance Influencers And Price Movements In Cryptocurrency And Stock Markets, Sita Kedvarin
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the influence of finance influencers on stock and cryptocurrency returns by analyzing the relationship between their asset-related YouTube videos and market movements. The study was conducted in two parts: the VAR Granger causality analysis in both the cryptocurrency and stock markets, and the analysis of the behavior of the top finance influencers in the cryptocurrency market. The findings from the VAR Granger causality analysis revealed distinct patterns between the cryptocurrency and stock markets. In the cryptocurrency market, YouTube videos, particularly the number of videos published, showed a significant Granger causality effect on returns. However, the causality from …
Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe, Niya Somkerd
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 …
Post-Earnings Announcement Drift In Thai Reits - A Take From The Recent Pandemic, Chawan Ratapana
Post-Earnings Announcement Drift In Thai Reits - A Take From The Recent Pandemic, Chawan Ratapana
Chulalongkorn University Theses and Dissertations (Chula ETD)
The research explores the information content of earnings announcements in REITs operating in a market with less stable rental incomes. By examining the presence of Post-Earnings-Announcement Drift (PEAD) in Thai REITs, this study contributes to existing literature and investigates changes in market efficiency for REITs during the COVID-19 pandemic. Using the Earnings Announcement Returns (EAR) method, the study analyzes abnormal returns through visual analysis and a trust/firm-level regression framework. Findings indicate a PEAD effect as the baseline for abnormal returns in the local market, suggesting potential market inefficiencies. However, most variables in regression analysis do not significantly address the research …
Risk Shifting In Mutual Funds: Evidence In Thailand, Suphitcha Ekjariyakorn
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, Supanuch Limvisitsakul
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, Supisara Songdecha
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 Audit Quality On Trading Suspension Propensity; Detection In Thailand, Kulthida Surattachaipong
The Impact Of Audit Quality On Trading Suspension Propensity; Detection In Thailand, Kulthida Surattachaipong
Chulalongkorn University Theses and Dissertations (Chula ETD)
Based on each direct evidence consists of actual cases disclosed by the Securities and Exchange Commission (SEC), and indirect evidence consists of suspected cases detected by the identification model of trading suspension propensity. This study aimed to examine the relationship between audit quality aspects and trading suspensions of listed companies in Thailand, as well as the changes in this relationship after the outbreak of the COVID-19 pandemic. The research utilized สำคัญ obtained from the annual reports and financial statements of 263 companies listed on the SET50 and MAI indexes, covering the periods of 2016 to 2018 and 2020 to 2022. …
The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies, Jirayu Boonyuen
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, Chalita Rammavas
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 …