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Author : Paiboon Sareewiwatthana
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (318 download)
Download or read book Risk and Return Relationship in the Securities Exchange of Thailand written by Paiboon Sareewiwatthana and published by . This book was released on 1985 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thanes Supornsahasrungsi
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.:/5 (984 download)
Download or read book Risk and Return Relationship in the Securities Exchange of Thailand written by Thanes Supornsahasrungsi and published by . This book was released on 1993 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dusika Insiri
Publisher :
ISBN 13 :
Total Pages : 125 pages
Book Rating : 4.:/5 (86 download)
Download or read book Independent Study The Analylsis of Risk and Return of Securities in Communication Sector in the Stock Exchange of Thailand written by Dusika Insiri and published by . This book was released on 2006 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Julaluk Paladkhwa
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (129 download)
Download or read book Risk and Return Analysis of the Information and Communication Technology Stocks in the Stock Exchange of Thailand by Using CAPM written by Julaluk Paladkhwa and published by . This book was released on 2019 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (9 download)
Download or read book Independent Study The Study of Thailand Stock Exchange written by and published by . This book was released on 2007 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Komain Jiranyakul
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dynamic Relationship Between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand written by Komain Jiranyakul and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.
Author : Kittisak Wisudtitham
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (87 download)
Download or read book The Effect of Market, Interest Rate, and Exchange Rate Risks on Sector Indices Return written by Kittisak Wisudtitham and published by . This book was released on 2013 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Relationship Between the Stock Exchange of Thailand Index and Net Value of Investment from the Foreign Investors Using the Vector Autoregression Approach written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Komen Niyomvanich
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 (55 download)
Download or read book Risk and Return in the Thai Stock Market from 1990 to 1999 written by Komen Niyomvanich and published by . This book was released on 2001 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our findings in Period 3 (Years after Thai Economic Crisis) indicate that the foreign exchange rate affected Thai stock returns after the government changed its exchange rate policy. The last finding is that the S&P 500 and Nikkei 225 fail to explain SET stock returns. The analysis of stock return distributions yielded different results for each testing period and indicated that the SET index and Thai stock returns might not be normally distributed.
Author : Cheng Long Yap
Publisher :
ISBN 13 :
Total Pages : 154 pages
Book Rating : 4.:/5 (962 download)
Download or read book A Study on the Relationship Between Portfolio's Risk and Return in Various Sectors on Kuala Lumpur Stock Exchange written by Cheng Long Yap and published by . This book was released on 1994 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Supachok Thakolsri
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand written by Supachok Thakolsri and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of significantly negative and asymmetric relationship between the underlying stock index return and the change in implied volatility. In addition, the size effect of the underlying stock index return and the one-period lagged implied volatility change also affect the change in implied volatility. The finding in this study gives implication for risk management.
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 : Matthias Burghardt
Publisher : Springer Science & Business Media
ISBN 13 : 3834961701
Total Pages : 170 pages
Book Rating : 4.8/5 (349 download)
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Author : Sardar M. N. Islam
Publisher : Springer Science & Business Media
ISBN 13 : 3790826669
Total Pages : 208 pages
Book Rating : 4.7/5 (98 download)
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.3/5 (877 download)
Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
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 : Sergio M. Focardi
Publisher : John Wiley & Sons
ISBN 13 : 0471674230
Total Pages : 802 pages
Book Rating : 4.4/5 (716 download)
Download or read book The Mathematics of Financial Modeling and Investment Management written by Sergio M. Focardi and published by John Wiley & Sons. This book was released on 2004-04-12 with total page 802 pages. Available in PDF, EPUB and Kindle. Book excerpt: the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
