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Full-Text Articles in Finance and Financial Management
Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart
Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart
Chulalongkorn University Theses and Dissertations (Chula ETD)
We utilize the Double bottom pattern, which is a common and the most easily recognized reversal pattern in the technical analysis approach, to seek the existence of abnormal returns from 1 Jan 2009 to 31 Dec 2019. The general event study methodology was used to statistically test for the existence of abnormal returns from 611 stocks in SET. We concluded that there was an existence of abnormal return from trading with the Double bottom pattern strategy. This led to the conclusion that the Thai stock market might be not as informationally efficient as academics have conjectured.
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Chulalongkorn University Theses and Dissertations (Chula ETD)
European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …
Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich
Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul
News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines news shocks in theoretical real-business-cycle model in the aspect of emerging-market economy. Many features in emerging-market business cycles, such as consumption volatility that exceeds income volatility, sudden stop pattern in capital flows and strongly countercyclical current account to income, distinguish itself from a developed small opened economy, and in this study, it also differentiates itself from previous works in the literature by studying in the aspect of business cycles in emerging markets. The study uses simulation method, developing on real-business-cycle theory to generate artificial business cycle moments and impulse response function. For the result, it considers news …
Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat
Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Market illiquidity influences mutual fund performance differently between crisis and non-crisis period. A significant drop in market liquidity makes investors panic leading to the early and large redemption. Fund managers have to liquidate the portfolio putting pressure on the asset prices, so the underperformance of mutual fund is recognized in non-crisis period. However, the result of illiquidity is different during crisis. The total effect of market illiquidity is positively related to all fund classes. This could then be interpreted as the evidence of management skills, market-timing and volatility-timing skills in fund managers to provide superior fund performance. Moreover, the further …
Intangible Capital, Q Theory Of Investment And Measurement Of Profitability, Kunyamas Nithipaisal
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 …
The Impact Of Fund Fees On Mutual Fund Flows In Thailand, Non Yingvarakul
The Impact Of Fund Fees On Mutual Fund Flows In Thailand, Non Yingvarakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the sensitivity of mutual fund flows to the different types of mutual fund fees, including management fees, front-end load fees, along with back-end load fees and compares the relative level of sophistication among investors in bank related funds versus non-bank related funds and also tax benefit funds versus non-tax benefit funds. Furthermore, this study examines the relationship between change in fund fees and fund flows. The data are from Thai equity funds during the period from 2006 to 2019. Based on the analysis, we found the evidence that there is difference of sensitivity of fund flows to …
The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat
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, Ciin Muan Khai
Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant
The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to investigate the determinants of THB swap spreads by combining the traditional explaining variables of previous researches, e.g., default risk premium, liquidity premium and slope of the government bond yield curve, with additional explaining variables that might be missed in the previous studies and unique in THB swap spreads, e.g., TED and macroeconomic factors during the different states of economy, which are classified by Bank of Thailand monetary policy rate and the presence of negative swap spread. The motivation is to investigate the different effect of the determinants of THB swap spread in the different market conditions …
The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn
The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri
The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study aims to provide empirical evidence to support the idea of signaling in a situation with high information asymmetry. We attempt to understand how IPO issuer’s expectation on its aftermarket trading volume may affect its disclosure decision of the intended use of proceeds. The sample consists of IPOs between January 1, 2000 and December 31, 2019 from 5 countries, including Australia, Indonesia, Philippine, Singapore, and Thailand. By using the expected turnover estimated from 3 approaches, we find empirical evidence suggesting that IPO issuers with low expected aftermarket turnover tend to disclose highly detailed information on the uses of proceeds. …
Investor Trading Volume, Stock Market Return And Volatility, Tossapon Wilaiprapakorn
Investor Trading Volume, Stock Market Return And Volatility, Tossapon Wilaiprapakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies the impact of trading volumes from each investor group on the return of the stock market return and volatility of the Thai stock market. It is considered in terms of economic factor and trading behavior of investor that affect to trading volume. It can be addressed as the following four main questions 1) Effect of trading volume due to economic factors to market return. 2) Effect of trading volume due to economic factors to market volatility. 3) Effect of trading volume from investor behavior to market return. 4) Effect of trading volume from investor behavior to market …
Mutual Fund Performance Attribution Using Portfolio Holdings: Case Of Thai Equity Mutual Fund, Noppawan Amornsri
Mutual Fund Performance Attribution Using Portfolio Holdings: Case Of Thai Equity Mutual Fund, Noppawan Amornsri
Chulalongkorn University Theses and Dissertations (Chula ETD)
Selection skill and timing skill are two fundamental abilities which have been discussed to determine fund performance. This paper extends understanding of these two skills of Thai equity mutual fund. This paper is distinguished from prior study by using different method which is the Brinson model and based on the portfolio holdings. The model is decomposed the excess return into “allocation effect” and “selection effect”. Thailand SET industry group and sector classification which composed of 28 sectors is applied in order to examine both effects in the sector level. For the mutual fund returns, Jensen Alpha and Treynor-Mazuy are subsequently …
Investors Trading And Return Patterns After Earnings Announcements||รูปแบบการซื้อขายของนักลงทุน และพฤติกรรมของผลตอบแทนภายหลังการประกาศผลประกอบการ, Teerawat Vaccharasiritham
Investors Trading And Return Patterns After Earnings Announcements||รูปแบบการซื้อขายของนักลงทุน และพฤติกรรมของผลตอบแทนภายหลังการประกาศผลประกอบการ, Teerawat Vaccharasiritham
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the difference in trading behaviors around earnings announcement period across three types of investors in Thailand stock market; Individual, institutional and foreign investors, and also the relationship between their trading behaviors and the stock return patterns before and after announcement periods. The results using trading data of stocks in SET100 during 2013-2017 show that there is persistence of stock price after earnings announcements in the same direction of earnings surprise. In term of trading behavior, before earnings announcement, we find that there is no trading pattern for all investor types and the pre-announcement trading flows has no …
The Impact Of Inflation On Stock Returnsin Stock Exchange Of Thailand, Chayaporn Tocharoen
The Impact Of Inflation On Stock Returnsin Stock Exchange Of Thailand, Chayaporn Tocharoen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to determine the impacts of expected and unexpected inflation on stock returns in Stock Exchange of Thailand. Moreover, this is the first paper that studies the impact consensus forecast inflation rate on stock return in Thailand. To investigate these findings, we decided to look into the period between June 2004 - December 2019 in 8 sectors of Stock Exchange of Thailand including Agricultural and Food, Consumer Products, Financials, Industrials, Property and Construction, Resources, Services and Technology to find the relationship between inflation and stock returns. The results indicate expected inflation has strongly impact on stock returns, while …
The Impacts Of Us Macroeconomic Announcements On Thai Bond Markets, Jaturapat Thanaboot
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?, Kornkanok Sittichobtham
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, Chotiwit Jiratananuwong
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 …
Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava
Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava
Chulalongkorn University Theses and Dissertations (Chula ETD)
The equity term structure of property funds and REITs in Thailand is upward-sloping. This result contradicts with various studies suggesting that the term structure of risk premia is decreasing. A tenet of those studies is that, by holding long-term equity, investors are willing to forego a part of the compensation to avoid immediate risks which seems to be reverse for property funds and REITs in Thailand. There is evidence that the correlation between size and return is positive. Unlike U.S. REIT, the momentum factor has no application to explain the difference in excess returns. High turnover property funds and REITs …
The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook
The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines whether the active management strategy can outperform the market by using turnover ratio as the proxy. Turnover ratio is the percentage of changing fund’s holding in a given year. Therefore, a high turnover ratio can indicate an active management. This paper will focus on an active equity fund in Thailand from 2010 to 2019. The first objective is to examine the effect of the different levels of turnover ratio on fund performance. This objective sorts mutual funds based on their turnover ratio. The findings are the performance of the high-turnover funds are indifferent from the low-turnover funds …
The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong
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, Kunyarat Ngamboriruk
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 …
Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong
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 Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar
The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper uses sample from 15 countries from different regions around the world to examine how past performance of exchange-traded funds (ETFs) impact on their fund flow in the following period. Piecewise-linear regression following (Sirri & Tufano, 1998) which allow past performance to be non-linear are employed in the model to examine the different sensitivity of past performance ranking to flow. The evidence confirms that past bad-performing ETFs associate with outflow and past good-performing ETFs associate with inflow in the following period. Furthermore, I also find that investors are more sensitive to bad performers than good performers suggesting that there …
Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn
Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn
Chulalongkorn University Theses and Dissertations (Chula ETD)
Theoretically investing in high risk asset generates high return. However, actual payoff in market is in the opposite side. In several empirical studies documented high risk stocks paid low return even lower than the portfolio of the lowest volatile stocks. I examine whether the cause of this anomaly is the lottery stocks. Lottery stocks which are low price, high skewness and high kurtosis might be desired by many investors even institutional investors. The assumption is that this high demand of lottery stocks might push the price up and cause low average return finally. Therefore, I set up the hypothesis these …
Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan
Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan
Chulalongkorn University Theses and Dissertations (Chula ETD)
Several studies argue that open market share repurchase has the lowest power to signal the inside information to the market. In this study I explore the market reaction to the announcement of stock repurchase plan with the firm’s characters argued in prior literature that they can increase the market confident. Referred from prior literatures, the stated motivation in the press release, insider “BUY” prior announcement, percentage of majority shareholder, and the amount of repurchasing plan are introduced to reflect the level of information signal sent by management. I find that investors have skepticism with an information sent via open market …
Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong
Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper is the first to examine herding behavior in Thai Property Fund and Real Estate Investment Trusts or REIT market for the period of 2015-2019. The empirical results suggest that those market is exhibit herding behavior significantly. The herding is present in both up and down market and also present in medium to high volume days. Besides, the herding is motivated by cross-sectional premium to NAV, however, on high dividend yield days as well. Herding on high dividend yield days also robust when controlled the dividend yield by the Government bond yield. These results are sensational as herding might …
Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich
Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines risk effect in conglomerate acquisitions through portfolio diversification framework. We find that based on asset diversification potential, acquirers’ risks are expected to decline when they engage in diversifying acquisitions. Interestingly, our result suggests that focus acquisitions are also associated with firms’ risk decrease. With this finding, it indicates that asset diversification potential is also pronounced even when the two assets, i.e., firms from similar industry are combined together. In addition, our results suggest that risks are expected to decline more when diversified firms make further diversifying acquisitions than focus acquisitions but this evidence could not be observed …
How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong
How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
The goals of this study are to examines diversification benefit when holding multiple equity funds in the portfolio for Thai market and identify the optimal number of equity funds that enough to eliminate diversifiable risk. Moreover, this study examines whether considering adding index funds in the portfolio better reduce portfolio volatility. By creating random portfolio and measure the risks by using historical return, the empirical results suggest that holding multiple funds in the mutual fund portfolio allow investor achieve diversification benefits, but in the decreasing rate. These findings are consistent with previous study of O’Neal (1997), Potter (2001) and Lhabitant …