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Articles 481 - 497 of 497
Full-Text Articles in Finance and Financial Management
An Agent-Based Computational Finance Simulation Model To Study Market Efficiency, Wei Feng, Keng Siau, Wee-Yeap Lau, Lim-Thye Goh, Haonan Chen
An Agent-Based Computational Finance Simulation Model To Study Market Efficiency, Wei Feng, Keng Siau, Wee-Yeap Lau, Lim-Thye Goh, Haonan Chen
Research Collection School Of Computing and Information Systems
The advancement of computational modeling, data systems, and digital infrastructure has enabled the rise of agent-based computational finance (ACF). This study models interactions among heterogeneous investors. By embedding behavioral logics such as environmental, social, and governance (ESG) preferences and volatility thresholds, the model captures microstructural dynamics under different trading rules. Using ACF, the authors compare transaction plus 0 day (T+0) to transaction plus 1 day (T+1). Results show that T+0 improves price discovery, deepens liquidity, and reduces transaction costs. From a computational perspective, this research contributes to ACF by showing how policy logic and investor heterogeneity can be encoded and …
Examining The Industrial Impact Of Fintech Lending In The Post-Next Normal Era, Nur 'Asyiqin Ramdhan, Imbarine Bujang, Amirul Afif Muhamat, Purwatiningsih Lisdiono
Examining The Industrial Impact Of Fintech Lending In The Post-Next Normal Era, Nur 'Asyiqin Ramdhan, Imbarine Bujang, Amirul Afif Muhamat, Purwatiningsih Lisdiono
The Indonesian Capital Market Review
The financial sector has undergone a substantial paradigm shift as a consequence of the COVID-19 pandemic prompting industries actively innovate their financing method. Utilizing ARDL, our analysis reveals intriguing insights into the interaction of financing determinants interruptions caused by the epidemic, and the P2P lending success. The long-term effects of economic conditions alluding to the significant influence of investment size across various industrial sectors. The industrial differences suggest interesting connections between the size of investments, and loan tenure to the P2P lending in different industries. The wholesale and retail trade sector demonstrates intricate reactions to changes in investment size, while …
Do Environmental Risks Explain The Sovereign Sukuk Yields In Malaysia?, Roslina Mohamad Shafi, Norhasimah Shaharuddin, Norsaliza Abu Bakar, Amirul Afif Muhamat, Mosab I. Tabash
Do Environmental Risks Explain The Sovereign Sukuk Yields In Malaysia?, Roslina Mohamad Shafi, Norhasimah Shaharuddin, Norsaliza Abu Bakar, Amirul Afif Muhamat, Mosab I. Tabash
The Indonesian Capital Market Review
Given the increasing risks posed by environmental degradation, severe climate change, and recent pandemics, the establishment of a sustainable economy has become a priority for numerous nations. From this perspective, it is crucial to emphasize sustainable finance since it has the potential to serve as a vehicle for accomplishing a green economic agenda. Sovereign sukuk held a prominent position in the sukuk market, both domestically and internationally, but its influence was particularly significant inside the domestic sphere. The study seeks to examine the link between environmental risks and the yield performance of sovereign sukuk. Sukuk performed less favourably compared to …
Corruption Perception, Institutional Quality And Stock Prices: Evidence From The Egyptian Capital Market, Rasha Elbolok, Gina Eltabei, Dina Hassouna
Corruption Perception, Institutional Quality And Stock Prices: Evidence From The Egyptian Capital Market, Rasha Elbolok, Gina Eltabei, Dina Hassouna
Business Administration
This study examines the impact of institutional quality and corruption perception on stock prices in the Egyptian capital market, with a focus on the post-revolution period from to . Using the Generalized Method of Moments (GMM) methodology, this study provides empirical evidence on the significant role of macro-political factors and firm-specific variables in shaping stock market dynamics. The findings reveal that institutional quality, characterized by governance efficiency, regulatory frameworks, and the rule of law, positively correlates with stock prices. Similarly, enhanced corruption perception control significantly boosts investor confidence, leading to increased market valuations. Firm-level factors such as Tobin’s Q and …
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 …
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 …
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 Financialization Of The American Dream: Private Equity’S Rise In The Single-Family Rental Market, Colby Sherwin
The Financialization Of The American Dream: Private Equity’S Rise In The Single-Family Rental Market, Colby Sherwin
Honors Theses and Capstones
This thesis examines how private equity firms and other institutional investors are reshaping the single-family rental market in the United States, and what that shift means for homeownership, affordability, and community stability. What began as a short-term strategy to acquire foreclosed homes after the 2008 financial crisis has evolved into a long-term business model, with firms now owning hundreds of thousands of properties across the country. Leveraging their financial scale, these investors often outbid individual buyers, particularly in fast-growing cities. While proponents argue that institutional ownership brings professionalism and much-needed supply to tight housing markets, data shows that it has …
Impact Of International Trade Competitiveness On Unemployment And Poverty Reduction In Ecowas Region, Ikubor Ofili Jude, Yahaya U. Isah, Ojih U. Abraham, Mazeli O. Mark, Abdul Y. Mary
Impact Of International Trade Competitiveness On Unemployment And Poverty Reduction In Ecowas Region, Ikubor Ofili Jude, Yahaya U. Isah, Ojih U. Abraham, Mazeli O. Mark, Abdul Y. Mary
DLSU Business & Economics Review
This study investigates the impact of trade competitiveness on unemployment and poverty in the ECOWAS region. The study relied on POLS, FE, and RE techniques to analyze the impact of export value and trade openness on unemployment and poverty in the ECOWAS region from 2001 to 2020. Annual time series data were sourced from World Bank and World Integrated Trade Solution databases. Major findings from this study show that unemployment responds strongly and favorably to export value and trade openness, whereas poverty responds favorably to trade openness. Further investigation revealed that trade regulatory environment is a determinant of unemployment and …
The Contributors, Marites Tiongco
The Contributors, Marites Tiongco
DLSU Business & Economics Review
No abstract provided.
Ijv Announcements And Shareholder Value Creation: Do Industrial Diversification And Relatedness Matter?, Kin Yip Ho, Zhaoyong Zhang, Lanyue Zhou
Ijv Announcements And Shareholder Value Creation: Do Industrial Diversification And Relatedness Matter?, Kin Yip Ho, Zhaoyong Zhang, Lanyue Zhou
Research outputs 2022 to 2026
Purpose – This study empirically examines how industrial diversification and partner business relatedness influence shareholder value, focusing on US multinational enterprises’ (MNEs) worldwide joint venture (JV) announcements, with particular emphasis on East Asian economies. Design/methodology/approach – Drawing on theories from finance, strategic management and international business, we apply a standard event study methodology and employ three parametric and nonparametric tests (i.e. the Patell Z-test, the rank test and the generalized sign test) to assess the impact. We calculate abnormal returns (ARs) as the difference between actual and expected returns and average them across firms to obtain the average AR for …