Dissertations / Theses on the topic 'Stock exchanges – Thailand'

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.

Mestrado em Finanças
O objetivo deste trabalho foi explorar a relação da divulgação financeira face ao comportamento dos investidores. A maioria dos registos e contabilidade escrita apontam que os níveis de exposição dos dados, que na sua maioria são utilizados como intermediários devido à natureza dos mesmos, apresentados por empresas registradas afeta o funcionamento do mercado financeiro, especificamente sobre a liquidez e a estimativa de ações individuais. Ao revelar mais dados, as empresas são vistas a diminuir as assimetrias de dados e, dessa forma, expandindo a certeza financeira especializada. Da mesma forma, as empresas devem fornecer critérios de tomada de decisão e de declarações financeiras "transparentes" aos investidores, para que os mesmos não sejam induzidos em erro por números e valorizações demasiado otimista ou fictícias. Os resultados desta pesquisa revelaram que existem diferenças significativas nas perceções dos investidores da Bolsa de Valores da Tailândia de acordo com a dimensão da transparência da informação financeira associado a variáveis demográficas, exceto para o grupo mais intelectualizado. Esta pesquisa também encontrou uma relação entre as perceções dos investidores relativamente à transparência da dimensão financeira e o seu comportamento na Bolsa de Valores da Tailândia. E, finalmente, a pesquisa também elucidou para o facto de existirem diferenças no comportamento do investidor no Mercado de ações da Tailândia de acordo com as diferentes categorias e experiência mesmos.
The purpose of this dissertation was to explore the relationship of financial disclosure and investor behavior. The majority of the surviving back and bookkeeping writing recommends that the levels of data exposure, for the most part utilized as an intermediary for the nature of data unveiled, by recorded organizations affects the financial market, specifically on the liquidity and estimating of individual stocks. By revealing more data, organizations are seen to diminish data asymmetries and by so doing, expand a financial specialist certainty. Likewise, companies should provide such "transparent" financial statements and decision making criteria to investors in order to ensure that investors are not being misled with fictitious or better than expected numbers and figures. The results of this research revealed that there are significant differences in Stock Exchange of Thailand investor perceptions regarding each dimension of financial information transparency according to demographic variables, except for the education group. This research also found that there are relationships between Stock Exchange of Thailand (SET) investor perceptions of dimensions of financial information transparency and investor behavior in the Thai stock market. And finally, the research also found that there are differences in Stock Exchange of Thailand investor behavior according to different categories of investor experience.
info:eu-repo/semantics/publishedVersion

Two important findings in the IPO literature, IPO's underpricing and poor long run stock returns, are investigated by using the sample of IPOs completed in the Stock Exchange of Thailand (SET) from 1994 to 1999. The evidence suggests that Thai IPOs are underpriced and have poor long run stock returns. Rock 's (1986) model is employed to explain the underpricing of Thai IPOs. Rock's model is supported by the evidence of Thai IPOs. Past market conditions and the stock liquidity of the IPOs' industries are the main factors which affect investor demand for IPO shares. IPOs which go public in the hot market conditions (periods with high past market return) and IPOs which come from liquid industries (industries which have high stock turnover) attract more investor demand. These two factors are also positively correlated with IPO first day return. This suggests that investors have higher demand for IPOs which go public in the hot market conditions and IPOs which come from liquid industries because these IPOs are underpriced, and the underpricing of these IPOs is corrected during the first trading day. IPOs with low investor demand underperform their benchmarks in the long run. On the contrary, the long run returns of IPOs with high investor demand are not significantly different from their benchmarks. One possible explanation for the underperformance of IPOs with low investor demand is that these IPOs may be illiquid. The lack of demand during the first trading day may cause their first closing price to be different from their intrinsic value. This difference is gradually adjusted in the long run leading to the underperformance of these IPOs. This hypothesis is supported by the evidence. The sample of rights offerings announced in the SET between 1994 and 1999 also supports the role of liquidity in explaining the poor long run performance of issuers. The change in operating performance of IPOs from the IPO-year to the post-IPO years also has some power in explaining the long run underperformance of IPOs. IPOs which perform more badly after going public have poor long run returns.

碩士
國立成功大學
國際管理碩士在職專班
97
Recent empirical researches heavily discussed over the impact of derivatives trading on spot market in three aspects: efficient market hypothesis (EMH), lead-lag relationship and pattern of spot index volatility. This paper examines the impact of the introduction of stock index futures on the Stock Exchange of Thailand (SET) using daily data for period April 2003-April 2009. To test the efficient market hypothesis, cointegration analysis is used for this study. The lead-lag relationship is investigated through the error correction model and the impact on spot index volatility is detected by EGARCH model. The results found that there is long-run equilibrium for spot index and futures prices. This implies futures can be unbiased estimator for future spot price. The results also suggest that the direction of both long-and short-run causality is from spot prices to futures prices and the introduction of futures trading increases the conditional volatility of SET50 index.

碩士
中國文化大學
國際企業管理學系
103
Thailand once was affected by Asian Financial Crisis many banks and financial institutions were shut down. In 2008 here came the US crisis, will Thai banks and financial sector handle this situation is an interesting question. Therefore, this paper uses an event study methodology to investigate the relationship among macroeconomic variables (exchange rate, inflation rate, and repurchase rate), specific variables (return on assets, growth rate, market capital, cash dividend, cash flow from operating, independent board of directors), and the returns of Thai financial industry especially banking sector during US crisis. This study employs a sample of 45 companies listed in Stock Exchange of Thailand in 2008. The correlation and multiple regression have been used. The results shows a positive correlation between growth rate and stock returns, while a negative correlations are found on return on assets (ROA). Though it is a small sample size, some relevant changes or modifications can be implemented for future research to obtain better results.

碩士
銘傳大學
國際企業學系碩士班
105
The purpose of this thesis is to examine the linkage between the oil price shocks and stock market returns in Stock Exchange of Thailand (SET). Due to Thailand is the oil importer country so that it has the possibility and high potential of the impact on stock market returns by oil price fluctuation. The observation is on daily basis over the period January 1, 2007 to June 30, 2016 with 11 industrial sectors from SET. The unit root of time series is tested for stationary by Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS). The unrestricted vector autoregressive (VAR) model with five variables: the return of stocks, the return of SET index, the rate of change in oil price, the rate of change in the exchange rate, and interest rate – is used to assess the different effects. The study employs the Toda and Yamamoto (1995) methodology to uncover the direction of causal relationship between oil price changes and firm’s stock returns. The empirical results show that oil price shock Granger cause the return of the SET index for 100%. While oil price shock unidirectional cause stock return for 47 companies (about 28.5% in the sample). Most of the companies are from Agribusiness, Energy & Utilities, and Automotive industries by 78%, 55%, and 40% of total firms in each industry respectively. This proves that the oil price changes impact on the stock returns differently by sectors. The link between oil price changes and interest rate, there is a unidirectional causality since the past values of oil can cause the interest rate for 100% but on the opposite way is only 1.2%. Moreover, the relationship between oil price shocks and exchange rate changes is also a unilateral causality. Finally, the evidence also shows the stock returns for the large-cap firm are affected by oil price movement more than the small-cap firms.

博士
國立屏東科技大學
熱帶農業暨國際合作系
104
Nowadays, agro and food industry has influence on farmers in Thailand. This industry has important role to raise the growth of Thai economic. Listed companies of this industry play an important role in determining the type of agricultural products of manufacturers. Most of raw materials of agriculture will be sent to its manufactory. Overall, listed companies in this industry are the main driving force of the economy. The performance measurement of listed companies is an important tool for indicating the trend and yield of agricultural production. The main objective of this paper is to study the production trends and operational capabilities by using economic tools to analyze two sectors of the agro and food industry. This paper reviewed literatures on the performance measurement and productivity change of the business sector to obtain the relative variables and to determine the most suitable methodology. This paper is designed to use panel data of agro and food industry during the period of 2011 to 2015.The aim of this study is to propose the context-dependent DEA for evaluating the efficiency in Decision Making Units (DMUs). The context-dependent DEA is used to measure performance of listed companies by employing attractiveness and progress scores. The productivity change during the five year period of agro and food industry in the stock exchange market is investigated by Malmquist productivity index. Moreover, factors that affect the efficiency of operational listed companies are investigated by Tobit regression model. According to the macro-level analysis of two sectors in agro and food industry, the findings showed that there were significant relationships exist between input and output variables. Based on the calculation of context-dependent DEA under CRS model, there are 10 DMUs were used to group the performance level and there were 6 performance levels were presented. As the summary of Malmquist productivity index, the findings indicated that there was apparent trend of catch-up term which led to earn more income during the years 2011-2015. According to the results of Tobit regression model of two sectors, a factor of education level had significantly increase the SBM efficiency scores both of two sectors. Based on an agribusiness sector analysis, there were significant relationships exist between input and output variables. Based on the calculation of context-dependent DEA under CRS model, 45 DMUs of 9 listed companies were used to group the performance level. There were 6 performance levels were presented. As the summary of Malmquist productivity index in agribusiness sector, there was an apparent trend was diminishing which led to lose more income during the years 2011-2015. As the results of Tobit regression model of 9 listed companies in agribusiness sector showed that the number of chief executive had presented a positive impact on the slack-base measure efficiency scores. Based on a food and beverage sector of micro-level, this research had been designed to summarize about the 30 listed companies analysis in food and beverage sector. As the findings, there were the input and output variables had positive correlations among independent variables. As the results of context-dependent DEA under CRS model showed 150 DMUs of 30 listed companies had been used to group the performance level. The results showed that there were 12 performance levels were presented and 68 DMUs that had highest performance level when considered with other DMUs. As the summary of Malmquist productivity index in food and beverage sector, these results implied that there was an apparent trend was diminishing which led to lose more income because technical change was declined during the years 2011-2015. According to the results of Tobit regression model, Education level was one importance factor that had positive impacts to the SBM efficiency scores. Moreover, the combination of macro-level and micro-level analysis showed that there were input and output variables had also positive correlations among independent variables. As the calculation results of context-dependent DEA, there were 195 DMUs of 39 listed companies used to group the performance level and had 17 performance levels were presented. As the results, there were six DMUs that had highest performance level when compare with other DMUs. As the summary of Malmquist productivity index in macro and micro-level analyses, these results implied that there was an apparent trend was diminishing which lead to lose more income because there was too many reduction of technology used during the years 2011-2015. According to the results of Tobit regression model, there was education level was important factor that had positive impacts to the SBM efficiency scores of agro and food industry. Therefore, the empirical results of this study can help farmers and government realize the trend of agricultural productivity and also help listed companies understand the character of competitors for leading to improvement their organizations.

碩士
國立臺北大學
經濟學系
94
The Central Bank of China（CBC）always says “It is managerial floating exchange rate in Taiwan”, that is CBC has being intervening in foreign exchange markets. The CBC would change the degree of intervention according to the international tension and it’s clear example in Asian financial crisis. Under the CBC’s heavy intervention the NTD remained stable against the USD until mid-October 1997. Though Taiwan has pretty good economic fundamentals, it has not remained immune to the contagion. After the CBC allowed the NTD exchange rate to be determined by market forces on October 17,1997 , the NTD devaluated rapidly. This study analyses the 1997 Asian financial crisis by using daily data of exchange rates and sectoral stock indices of the Taiwan and Thailand. With the test methods of time series, this paper ascertain that benchmark stock indices fail to provide good connections between the NTD and sectoral stock indices.