Finance and Financial Management Commons^™

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …

Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, …

Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset …

Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …

The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …

Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …

Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the regression model represents simple model. Two types of data are applied in this analysis: simple data and complex data. The complex data is obtained from the simple dataset using information extraction techniques and data transformation. The two specific variables constructed in our complex data are Loan-to-value and Housing Expense ratio. Applied to the monthly Single-Family Loan-Level Dataset of Freddie Mac from year 2010 to year 2018 in …

The Cross-Sectional Return Dispersion With Momentum Strategyand The Spill Over Across Fx And Equity Markets, During Covid-19, Pisit Grittiyarangsan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as …

Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …

Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidences that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing …

Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …

Crowdfunding Digital Platforms: Backer Networks And Their Impact On Project Outcomes, Yee Heng Tan, Srinivas K. Reddy

Research Collection Lee Kong Chian School Of Business

Crowdfunding platforms serve to connect project creators and backers. Previous research has explored several project and platform determinants that impact crowdfunding outcomes. However, there has been limited research on these determinants at an individual level. Our paper addresses how backers may influence the outcomes of projects in crowdfunding platforms. We explore several methods commonly used in the industry to identify influence and show that centrality measures through a backer affiliation network best exemplifies influence. Using data from Kickstarter, we construct a weighted backer network based on 52,678 common projects backed by 11,134 backers. Controlling for digital media mentions and project …

Globalization And Affordability Of Microfinance, Sunny Li Sun, Hao Liang

Research Collection Lee Kong Chian School Of Business

We study how globalization can differentially affect financial inclusion through the lens of microfinance. Based on an institutional logics perspective, we argue that MFIs embody both social logic and market logic with regard to provision of affordable microfinance loans. Speicially, social logic is amplified by greater social globalization and the stronger presence of nonprofit organizations (NPOs) in the microfinance industry. In contrast, economic globalization catalyzes MFIs' market logic, leading to weaker or greater affordability of microfinance, depending on the relative strength of the profit-maximizing motive and real competition. We test these predictions by focusing on MFI interest-rate setting and using …

An Empirical Analysis Of Video Games And Social Media On Learning In An Information Systems University Class, Heber C. Brau, James C. Brau, James Gaskin

Faculty Publications

Prior research by Brau, et al. (2016, 2017) identifies factors that correlate with university student course grades. We employ the same research structure as the Brau, et al. papers with the innovation of adding dozens of questions that deal with video game and social media usage. Extant research argues that time spent on video gaming and using social media can: 1) hurt student grades, 2) help student grades, or 3) have no impact on student grades. We test the video game and social media impact hypotheses using a survey of over 500 college students in an Introduction to Information Systems …

Personal Bankruptcy And The Accumulation Of Shadow Debt, Bronson Argyle, Benjamin Iverson, Taylor Nadauld, Christopher Palmer

Faculty Publications

Compiling new liability-level data from the balance sheets of personal bankruptcy filers, we document that a sizable share of reported liabilities are “shadow debt,” debt not reported to credit bureaus that often arises from the non-payment of goods and services. We use this new data to evaluate how debtor cash flows affect when consumers file for bankruptcy and how much debt they have at bankruptcy. We find that filers respond to a quasi-exogenous $100 increase in monthly cash flows by delaying filing by an average of one month and by increasing unsecured indebtedness by $4,000 in the months preceding filing. …

Three Essays On Financial Economics, Zhe Peng

Theses and Dissertations (Comprehensive)

Essay 1 deals with a topic in market microstructure. It examines a type of trading mechanism called a speed bump. The speed bump was introduced to slow down incoming orders to reduce the informational advantage of certain high-speed traders who could exploit their information to take advantage of slower traders. In 2016, the Investors Exchange (IEX) became the first securities exchange in the US to introduce a speed bump. In our first essay, we use trading data from IEX to study this issue. IEX's speed bump includes two layers of delays: a fixed delay on displayed orders and a contingent …

Creating An Optimal Portfolio With Covariance Adjustments For Moving Average Trends, Jayden Moore

Honors Program Theses

In this analysis, I investigate whether combining these two traditional methods of portfolio construction, mean-variance optimization and trend following, enhance the performance of a portfolio. Specifically, I consider whether stock trends within a pool of stock mechanically influences the covariance matrix for this pool of assets–a crucial input for mean-variance optimization. I then use these trend modified covariances to form a new mean-variance optimized portfolio and then evaluate performance. Instead of using the trends to determine whether or not to invest in a stock, as trend analysis postulates, I will be using trends to create new covariances between assets that …

Cleaning Corporate Governance, Jens Frankenreiter, Cathy Hwang, Yaron Nili, Eric L. Talley

Faculty Scholarship

Although empirical scholarship dominates the field of law and finance, much of it shares a common vulnerability: an abiding faith in the accuracy and integrity of a small, specialized collection of corporate governance data. In this paper, we unveil a novel collection of three decades’ worth of corporate charters for thousands of public companies, which shows that this faith is misplaced.

We make three principal contributions to the literature. First, we label our corpus for a variety of firm- and state-level governance features. Doing so reveals significant infirmities within the most well-known corporate governance datasets, including an error rate exceeding …

Foreign Institutional Shareholders And Corporate Payout Policy, Rahmat Setiawan, Nova Christiana, Sanju Kumar Singh

Jurnal Akuntansi dan Keuangan Indonesia

This study examines the effect of foreign institutional shareholders (FIS) on corporate payout policy. The study employs 97 Indonesian manufacturing firms listed on the Indonesia Stock Exchange period 2011-2015. Multivariate Tobit and Logit are employed to estimate the model. The result confirms the bird in the hand theory that FISs need assurance of their investments in the emerging market. FIS has a monitoring role over the firms since they have the ability to detect the firm’s quality and the agency problem within. The result confirms that the presence of the FIS in the firm has a positive and significant effect …

Feedback’S Effect On Budgetary Slack And Self-Efficacy As Moderation Variable, Aryani Intan Endah Rahmawati, Supriyadi ,

Jurnal Akuntansi dan Keuangan Indonesia

This study aimed to examine the effect of positive and negative feedback on budgetary slack and the interaction between feedback and self-efficacy on budgetary slack under a condition of information asymmetry. Preliminary researches have tested various ways of mitigating budgetary slack practices, which did not separate the effects of positive and negative feedback. This study hypothesized that positive feedback minimizes the potential for budgetary slack under conditions of information asymmetry—and vice versa. Additionally, high self-efficacy reinforces positive feedback in reducing budgetary slack under conditions of information asymmetry—and vice versa. By employing experimental data, this study documented the results that positive …

Relationship Between Foreign Direct Investment And Stock Market Development In A Small Southern Africa Economy, Duduzile Ngobe, Kalu O. Emenike

Jurnal Akuntansi dan Keuangan Indonesia

This paper investigates the relationship between foreign direct investment and stock market development in a small southern African economy. Specifically, the paper analyses long-run, short-run and causal relationships between foreign direct investment and stock market development in Eswatini for the 1990 to 2018 periods. Results of preliminary analyses of the variable show existence of positive skewness, fat-tailed, non-normal distribution, and I(1) order of integration for the foreign direct investment and stock market return series. Estimates from the ARDL model indicate evidence of a positive and statistically insignificant long-run relationship between foreign direct investment and stock market development in the kingdom …

The Obstacle Factors Of Musharakah And Mudharabah Application In Pakistan, Muhammad Arsalan Khan, Dodik Siswantoro, Abid Ur Rahman

Jurnal Akuntansi dan Keuangan Indonesia

Islamic Banking is based on the Islamic financial system. It is a banking system whose fundamental rules and regulations are established on Shariah laws i.e., Islamic jurisprudence originated from the Quran and Sunnah of the Prophet Muhammad peace be upon him. Its functions must comply with Shariah rules and must not violate any Shariah principle. The Islamic finance system is based on Profit-loss sharing financing namely, Musharakah and Mudharabah but there are numerous issues and challenges faced by Islamic bank during the implementation of Musharakah and Mudharabah financing contracts. The various paper has been revealed some of the internal and …

Predictive Value Of Other Comprehensive Income: Evidence From Asean, Puji Rahayu, Indra Wijaya Kusuma

Jurnal Akuntansi dan Keuangan Indonesia

This paper examines the predictive value of other comprehensive income and its disclosure in ASEAN. Unlike value relevance, the predictive value of other comprehensive income has not been extensively addressed in the literature. We conduct the first study examining the predictive value of other comprehensive income and its disclosure to prove that not only fair value as relevant information, but also other comprehensive income reflecting the changes of fair value. We use hand-collected data taken from the financial reports. This study employs a panel regression model to test the ability of other comprehensive income and its disclosure to predict firms’ …

Accounting Information In The Fama And French Three-Factors Model, Rianty Nikita Lotazia Pondaag, Erni Ekawati

Jurnal Akuntansi dan Keuangan Indonesia

The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does …

Audits For The Minimization Of Eco-Anxiety In The World Economy, Karina Nazarova, Volodymyr Hordopolov, Mariia Nezhyva, Viktoriia Mysiuk, Tetiana Kopotiienko

Journal of Environmental Science and Sustainable Development

The global pandemic of 2019–2020 is changing not only the lives of citizens, but also approaches to business management. The activities of audit companies have not escaped. Problematic and debatable issues need to be addressed to formulate a comprehensive approach to audits in a transformative economic environment and minimize the global economy's eco-anxiety. The purpose of the article is to determine the role of the audit in minimizing the eco-anxiety of the world economy. The study's materials were indicators of the spread of the COVID-19 pandemic in the world, public writings of scientists, official reports of international organizations, regulations, and …

Analisis Pengaruh Penerapan Kebijakan Tax Amnesty Pada Abnormal Return Saham Lq-45 Periode Tahun 2015-2019, Dellachita Rahardianne Winarto, Imo Gandakusuma

Jurnal Manajemen dan Usahawan Indonesia

The purpose of this study was to analyze the effect of Tax Amnesty Policy on differences in abnormal return of LQ-45 shares in the period 2015 to 2019. The stock price data was secondary data downloaded from adjusted closed stock price of 30 companies listed as LQ-45 in all observation period from web. The test conducted by Paired Sample t-test to see the significance of differences in abnormal returns and average abnormal returns of shares in the observation period. The results of the test above showed no difference in abnormal returns of the stocks in the period before, during and …

Chief Guest Address At The Launch Of Global Islamic Economy Report – 2020-21, Ishrat Husain Dr.

Faculty Research - Talks, Speeches, & Discourse

Let me first of all thank the organizers of this Conference for inviting me to participate in this launch ceremony. Am glad that this Report takes stock of the current status of Islamic Economy and has thematic focus on the state of halal products market.

May I suggest that the report should not be complacent and self-congratulatory but position the Muslim countries against established international benchmarks. For example, what is the share of these countries in global halal products market? What percentage of global financial assets belong to Islamic financial assets? Are we capturing or losing market shares? The analysis …

Pengaruh Customer Engagement Di Media Sosial Terhadap Brand Intimacy Pada Produk Fashion Lokal Indonesia, Classica Harsya Nawastha, Yeshika Alversia

Jurnal Manajemen dan Usahawan Indonesia

The fashion industry is one of the industries that is constantly expanding and Indonesia is the ninth largest contributor globally. Domestic growth of the fashion industry is supported by the campaign to love local products. Local fashion brands utilize the social media as a channel to communicate directly with their customers to develop a strong customer engagement. Therefore, it is important to know which factors influenced customer engagement, such as advice seeking, self image expression, and fashion involvement. Moreover, customer engagement also plays a role in the formation of brand intimacy. This study develops customer engagement as a second-order construct …

Apakah Social Influence Mempengaruhi Intensi Meminjam Melalui Peer To Peer Lending, Melia Agustina, Zuliani Dalimunthe

Jurnal Manajemen dan Usahawan Indonesia

This study aims to analyse the relationship between social influence and intention to borrow through peer to peer (P2P) lending platforms by including the factor of trust in platform as a moderating variable. P2P lending is a form of financial technology that facilitates transactions between borrowers (borrowers) and lenders (lenders) online. According to the technology acceptance model, one of the components that can influence a person to adopt new technology is social influence, how- ever, whether social influence is related to a person's intention to borrow through P2P lending platforms, especially in Indonesia, has not been widely discussed. This study …

Apakah Work-Life Balance Dan Komitmen Afektif Memediasi Praktik Sumber Daya Manusia Terhadap Kinerja Umk?, Putri Mega Desiana, Ramitha Janira Cindi

Jurnal Manajemen dan Usahawan Indonesia

Micro and Small Enterprises (MSEs) have an integral role in Indonesian society's growth and development, especially in the economic sector. This study aims to determine the mediating role of work-life balance and affective commitment to human resource practices and its impact on the performance of MSEs. Similar to large organizations, small organizations also implement HR practices, although they are still very simple, affecting the organization's performance. So far, work-life balance and affective commitment have been widely studied in large organizations and are considered essential in improving organizational performance. However, the role of work-life balance in improving small businesses' performance has …