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Author : Pakorn Boonyapatkul
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (872 download)
Download or read book Investor Flows and Stock Return Empirical Evidence from Stock Exchange of Thailand written by Pakorn Boonyapatkul and published by . This book was released on 2011 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thanyaphat Niruthisard
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (111 download)
Download or read book Retail Investors and Industry-based Style Investing written by Thanyaphat Niruthisard and published by . This book was released on 2016 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates if retail investors in the Stock Exchange of Thailand pursue industry-based style investing using transaction data during 2004-2013. It finds the coordination in retail investor demand at the industry-level. In contrast to the prediction of the style investing model, retail investor industry demand is negatively related to past industry returns. No relationship between retail investor industry demand and subsequent industry returns is found across all time horizons. In addition, there is evidence that after choosing to invest in an attractive industry, retail investors prefer to invest in small-cap stocks more than large-cap stocks. These findings suggest that retail investors' investment decisions are influenced by industry-wide categorization, and they make their buying decisions follow a two-step decision-making process.
Author : Nopphadon Meensirisombut
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (919 download)
Download or read book Investor Sentiment and Market Return Predictability written by Nopphadon Meensirisombut and published by . This book was released on 2015 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Jacob Gyntelberg
Publisher : International Monetary Fund
ISBN 13 : 1475505647
Total Pages : 19 pages
Book Rating : 4.4/5 (755 download)
Download or read book Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand written by Mr.Jacob Gyntelberg and published by International Monetary Fund. This book was released on 2012-08-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present empirical evidence that the Thai baht’s value is driven in part by investors’ cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these investors and a depreciation of the Thai baht. Net purchases of Thai equities lead to an appreciation of the Thai baht. Foreign investors do not appear to hedge the foreign exchange risk related to their stock market positions.
Author : Nareerat Taechapiroontong
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Performance of Individual, Institutional, and Foreign Investors written by Nareerat Taechapiroontong and published by . This book was released on 2009 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether domestic investors outperform foreign investors by using transaction data from Stock Exchange of Thailand during 1999 to 2004. We find that foreign investors, in general, trade at worse price than domestic investors who have more information advantage. However, foreign investors perform best when buying mid-cap and large size stocks during the bull market which may be due to more experience and better access to research. Individual investors tend to follow contrarian trading strategy which leads them to act as the liquidity provider to institutions. The intense of trade imbalance can predict future returns. The intense of individuals selling occurring at peak price influences future negative return. The intense buying of foreign and institutional investors is followed by price increases.
Author : Eduard Schmidt
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (111 download)
Download or read book The Impact of Attention on Investors written by Eduard Schmidt and published by . This book was released on 2016 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the influence of attention on three investor groups: individual investors, institutional investors and foreign investors in the setting of the Thai stock market between 2011 and 2014. To measure the impact of attention I sort stocks by their extreme daily returns and by their abnormal trading volume on a certain day. Purchasing stocks that grabbed ones attention earlier is a way to deal with the problem of having to choose from thousands of stocks that one could potentially buy. I test and confirm the hypothesis that individual investors are net buyers of attention grabbing stocks. Furthermore I hypothesize that attention affects different investor groups to a different degree in their buying behavior. I confirm that individual investors engage the most in attention driven buying behavior. Surprisingly I find strong evidence for attention driven buying behavior for institutional investors as well. Foreign investors merely show tendencies for purchases driven by attention grabbing stocks.
Author : Pawin Thachasongtham
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (1 download)
Download or read book Momentum Strategy Based on the Timing of 52-week High Price written by Pawin Thachasongtham and published by . This book was released on 2015 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this paper is to study the profitability of momentum strategy based on the timing of 52-week high price in the Stock Exchange of Thailand during the period of January 2005 to December 2015. The results show that stocks that recently achieved the 52-week high price can significantly provide more superior returns than stocks that achieved the 52-week high price in the distant past. The bias agianst 52-week high price will increases if stocks has been traded at this price level shortly. Investors are uncomfortable to bid higher price. But if stock price breaks out 52-week high price, there will be enough momentum to continue the price move in favorable direction. In addition, combining momentum strategy based on the timing of 52-week high price with both momentum strategy based on the nearness of current price to the 52-week high price and value investing strategy significantly increases the profitability compared to momentum strategy based on the timing of 52-week high price.
Author : Deniz Ikizlerli
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (757 download)
Download or read book An Empirical Investigation of the Behaviour of Foreign Investors in Emerging Markets written by Deniz Ikizlerli and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using monthly data of foreign flows on Istanbul Stock Exchange (ISE), the thesis finds that in contrast to most of the available theory and repeated previous findings on other markets, foreign investors act in a contrarian manner with respect to past local returns in ISE, however only in rising markets. The findings do not support the price pressure hypothesis; instead the price impact is permanent supporting the base-broadening and information hypotheses. The analysis on individual stocks suggests no evidence of informed trading, suggesting that, foreigners have no particular advantage in terms of domestic information in the ISE. Employing daily trading data from five emerging stock markets, namely the Jakarta Stock Exchange, Korea Stock Exchange (KOSPI), Stock Exchange of Thailand (SET), Taiwan Stock Exchange, and the Kosdaq Stock Market, this thesis documents that that in four out of five markets global risk appetite affects equity flows to emerging markets. Furthermore, foreigners? trading with respect to local return is found to be different across high and low risk appetite levels in Indonesia, Kosdaq and the Kospi markets. Their trading with respect to local return is also found to be different across high and low states of the economy in KOSPI and SET. Finally, using a daily dataset from the Stock Exchange of Thailand, this thesis investigates whether foreigners react differently on the announcement of macroeconomic news, compared to local investors. It also addresses some serious econometric issues that have affected other papers in this area. Under this improved model, many reactions turn out not to be significant, particularly since the 1997-8 crisis. However, on hearing inflation news, foreigners do react in the opposite way to local individual investors. They will therefore tend to reduce any locally-induced volatility.
Author : Anucha Ratanaparadorn
Publisher :
ISBN 13 :
Total Pages : 126 pages
Book Rating : 4.:/5 (111 download)
Download or read book Stock-return Volatility and Intraday Equity Trading by Investor Typesin Thailand written by Anucha Ratanaparadorn and published by . This book was released on 2017 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the intraday stock-return volatility pattern and relationship between the volatility and intraday trading by individual, institutional, foreign and proprietary investors in the Stock Exchange of Thailand. The volatility pattern of SET100 during January 2010 through December 20161 follows the L-shape in the morning and muted U-shape the afternoon session which is consistent with findings from many stock markets around the world. For large-size stocks, the net purchase of informed (institutional and foreign) investors with the net sale of less-informed (individual) investor drive the positive volatility effect. This result is always significant; however, cannot be explained by information-based explanation but rather more aligned with liquidity-driven explanation. For small stocks, the net proprietary trading has an increasing impact on volatility, which is consistent with liquidity pressure explanation. This result is significant and robust to different size of the portfolio and different measure of the volatility after controlling for lagged volatilities, number of trades, average trade size, opening, closing and Monday effect.
Author : Warren Bernard Bailey
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.E/5 ( download)
Download or read book Time-varying Premiums for International Investment written by Warren Bernard Bailey and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (921 download)
Download or read book Value Investing in Stock Exchange of Thailand (SET) written by and published by . This book was released on 2009 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this paper is to examine value and growth stocks in Stock Exchange of Thailand, based on 1995 to 2007, in order to investigate the assertion that value stocks on average generate higher returns than growth stocks based on numerous considerable evidences suggested that on average value investing strategy outperforms growth investing strategy. This paper uses average returns, Jensen's alpha and Sharpe ratio as a measurement for portfolio efficiency. The result shown that value portfolio could generate higher returns than growth portfolio by approximately 24% annually on portfolio sorted by B/M, E/P, and C/P in both big and small market capitalization. Further, the portfolio returns could be enhanced by approximately 4.3% annually when applied financial signals to discriminate a value firm with strong financial prospect and a value firm with poor financial prospect in order to construct a portfolio that generate a superior return than a conventional value investing strategy. Finally, this paper examines a style investing strategy through using growth in EPS characteristic incorporated with a value stocks in order to investigate whether a dual-characteristic investing strategy of high earnings yield together with high growth in EPS (HEHG) could outperform other investment strategies. However, the result indicates that although high earnings yield with high growth in EPS could generate higher returns other style investing strategies; high earnings yield with low growth (HELG), low earnings yield with high growth (LEHG), and low earnings yield with low growth (LELG), with the difference of 11% (10%), 17% (22%), and 22% (30%), respectively, in big (small) market capitalization; but when compared HEHG with financial analysis approach it seems that HEHG strategy could not outperform financial signals strategy in term of Jensen's alpha and Sharpe ratio.
Author : Luxvara Piamworrakaroon
Publisher :
ISBN 13 :
Total Pages : 140 pages
Book Rating : 4.:/5 (111 download)
Download or read book Market Segmentation and Foreign Price Premium in The Stock Exchange of Thailand written by Luxvara Piamworrakaroon and published by . This book was released on 2016 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign share premium in Thai stock market has exhibited the downward trend during 2002 to 2014. This study attempts to explain this phenomenon by three hypotheses which are demand differential, information availability, and diversification benefit. The panel regression and cross-sectional regression are employed to account for variation of foreign share premium over time and across firms. The results of the study show that demand differential between foreign and domestic investors plays important role to explain foreign share premium. As foreign investors' demand for Thai stock is downward sloping, lower foreign room left relative to foreign ownership limit indicates higher foreign demand and higher foreign share premium for that stock. Moreover, foreign investors are likely to shift their investment from traditional foreign share on the Foreign Board to Non-Votiing Depository Receipt (NVDR) over time as it is a close substitute investment of domestic share for foreign investors. The existence of NVDR cause foreign investors' demand to become more elastic resulting in lower foreign share premium. Together with information availability hypothesis, foreign investors are interested to invest in larger firms and firms with more analyst coverages, via NVDR rather than foreign share on the Foreign Board, since they need not to concern about foreign ownership limit. Nevertheless, diversification benefit is the motive driven foreign investors to invest in domestic share on the Foreign Board. For any stock, if its return yields lower correlation with market portfolio return, it shows the higher diversification benefit and results in higher foreign share premium.
Author : Kittikhun Taechaubol
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.:/5 (111 download)
Download or read book Investor Types and Trading of the Environment, Social and Governance Stocks in the Stock Exchange of Thailand written by Kittikhun Taechaubol and published by . This book was released on 2016 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study involves finding how the Environmental Social and Governance (ESG) or the Corporate Social Responsibility (CSR) affects investors’ attention in the Stock Exchange of Thailand. The goal is to examine whether there is any interest in investing on the companies with good ESG or CSR practice in the Stock Exchange of Thailand (SET) represented by those in the Environment Social and Governance 100 (ESG100) list by Thaipat Institution or in the Thailand Sustainability Investment (TSI) list by SET, announced during 2014-2015. Conducting an event study, upon examination of these events, the result shows that there are significantly negative abnormal returns of the TSI list. On the other hand, there are less significantly negative for the abnormal returns after announcement for the ESG100 list. As the result of CAAR is very economically small for daily and yearly returns, investors are unlikely to be able to exploit the abnormal returns for trading strategy. In addition, this research study further examines which types of investors are more concerned about the companies advocating for CSR and finds that foreign investors concern more CSR stocks than institutional investors and institutional investors concern CSR stocks less than individual investors but there are no significant comparing foreign investors with individual investors for the method that uses percentage of buy and sell to compute trade imbalance, while there is no significant difference across investor types for trade imbalance calculated using levels of buy and sell method.
Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241807
Total Pages : 500 pages
Book Rating : 4.2/5 (262 download)
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 295 pages
Book Rating : 4.1/5 (916 download)
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Author : Frederick D. S. Choi
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Capital Market Effects of International Accounting Diversity written by Frederick D. S. Choi and published by Irwin Professional Publishing. This book was released on 1990 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
