Articoli di riviste: "Stock exchanges – Thailand"

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Adisetiawan, R., e Ahmadi Ahmadi. "CONTAGION EFFECT ANTAR NEGARA ASEAN-5". J-MAS (Jurnal Manajemen dan Sains) 3, n. 2 (17 ottobre 2018): 203. http://dx.doi.org/10.33087/jmas.v3i2.58.

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This study was conducted to determine whether there is a contagion effect on the stock exchanges among ASEAN-5 countries (Indonesia, Singapore, Malaysia, Thailand and Philippines) during 2001.1 - 2018.5 period using the monthly return data of the five ASEAN-5 stock exchanges. This study uses granger causality test to see the direction of mutual influence that indicates the existence of contagion effect. The results revealed that the Indonesian stock exchange has a mutually influential relationship with the Thai stock exchange.

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Chokethaworn, Kanchana, Chukiat Chaiboonsri e Satawat Wannapan. "Alternative prediction methods in the stock exchanges of Thailand". Journal of Physics: Conference Series 1324 (ottobre 2019): 012086. http://dx.doi.org/10.1088/1742-6596/1324/1/012086.

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Jarungkitkul, Wanida, e Sorasart Sukcharoensin. "Benchmarking the competitiveness of the ASEAN 5 equity markets". Benchmarking: An International Journal 23, n. 5 (4 luglio 2016): 1312–40. http://dx.doi.org/10.1108/bij-05-2014-0047.

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Purpose – The purpose of this paper is to study the competitiveness of the stock markets in ASEAN 5, which are the Stock Exchange of Thailand (SET), the Singapore Exchange (SGX), Bursa Malaysia (BM), the Indonesia Stock Exchange (IDX), and the Philippine Stock Exchange (PSE). Design/methodology/approach – This research applies Porter’s (1990) diamond model to analyze the competitiveness and the data were collected from World Economic Forum, International Institute for Management Development, the World Federation of Exchanges database, and DataStream. Findings – The results show that SGX is the most competitive exchange in ASEAN 5 region. It dominates other exchanges in every dimension. It gains its reputation for being the region’s most prominent exchange, followed by BM, SET, IDX, and the PSE, respectively. Practical implications – The results of this investigation provide rank for competitiveness of stock exchanges among ASEAN 5 and identify the way to improve its competitive position. Social implications – It is useful for public and private sectors involved in the development and policy making to promote funding and investment efficiency of the exchanges. It will be benefit to establish the well-planned development strategy and policy to build up the competitive advantage of the nations. Originality/value – Identifying and benchmarking the competitiveness of the stock markets in ASEAN economies. By using Diamond Model, the authors propose indicators to assess the competitiveness of the stock markets in ASEAN 5 countries. Assessing the competitiveness of the ASEAN stock markets in this paper will lead us to better understand about each country’s strengths and weaknesses and to promote a mutual collaboration among the region toward ASEAN Economic Community.

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Panjaitan, Yunia, e Siti Saadah. "Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market". International Journal of Financial Research 9, n. 2 (5 febbraio 2018): 105. http://dx.doi.org/10.5430/ijfr.v9n2p105.

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Efforts to improve financial integration that continue to be implemented after the implementation of the Asean Economic Community 2015 agreement, can encourage increased integration of capital markets in countries within the region. This study was conducted to investigate the spillover of volatility between stock markets that accompanied the ongoing efforts of financial integration carried out by ASEAN member countries. Investigation of volatility spillover is done by applying Exponential GARCH method on time series daily data of stock return of ASEAN-5 countries period September 2016 - December 20, 2017. If previous studies found significant spillover of volatility from Singapore, Malaysia, Thailand and Philippines, the results of this study show that only Singapore's stock exchanges consistently have a significant impact on the Indonesian stock market. The turmoil in the Singapore stock market will be consistently transmitted to the Indonesian stock market. However, efforts to improve the financial integration carried out by ASEAN member countries have not consistently caused the turmoil in Malaysia, Thailand and the Philippines stock exchange to be transmitted to the Indonesian stock market.

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Jarrett, Jeffrey E. "Day-of-the-Week Variation and Predicting Stock Returns: Taiwan and Thailand Stock Exchanges". Journal of Asia-Pacific Business 10, n. 3 (19 agosto 2009): 257–65. http://dx.doi.org/10.1080/10599230903094786.

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Kurniawan, Doni, e Mayar Afriyenti. "Pengaruh Harga Saham, Volume Perdagangan, dan Varian Return Terhadap Bid-Ask Spread (Studi Empiris pada Perusahaan yang Melakukan Stock Split yang Terdaftar di Bursa Efek di Asia Tenggara Tahun 2018)". Wahana Riset Akuntansi 7, n. 1 (25 giugno 2019): 1397. http://dx.doi.org/10.24036/wra.v7i1.104564.

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This study aims to determine the effect of stock prices, trading volume, and variance of return on the bid-ask spread in companies that do stock splits listed on stock exchanges in Southeast Asia in 2018. In this study the sampling technique used was nonprobability purposive sampling so that produced a total of 248 companies with 26 companies on the Indonesia Stock Exchange, 10 companies on the Philippines Stock Exchange, 56 companies on the Malaysia Stock Exchange, 18 companies on the Singapore Stock Exchange, 48 companies on the Thailand Stock Exchange and 90 companies on the Vietnam Stock Exchange. This study uses multiple regression methods using Eviews 10 to process data. The results of the study indicate that on the Indonesia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume has no significant negative effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Philippine Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has a positive and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Malaysia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Singapore Stock Exchange, stock prices and trading volume have a negative and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Thailand Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Vietnam Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has no significant positive effect on the bid-ask spread, variance returns have a positive and significant effect on the bid-ask spread.Keywords: Stock Price, Trading Volume, Variant Return, Bid-Ask Spread, Stock Split

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Çinko, Murat, Emin Avci, Aslı Aybars e Mehtap Öner. "Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges". International Journal of Corporate Finance and Accounting 1, n. 2 (luglio 2014): 33–43. http://dx.doi.org/10.4018/ijcfa.2014070103.

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Calendar anomalies, specifically Day of the Week (DoW) effect, have attracted considerable attention by academicians and practitioners during the last decades. This study investigates the existence of DoW effect in 13 emerging stock markets by utilizing an observation period of 12 years. Whereas the findings of the study reveal the presence of negative Monday effects for Indonesia, Malaysia, and Thailand; positive Monday returns are found in South Africa contrary to expectations. Furthermore; positive Friday returns are observed in 9 of the markets belonging to Argentina, Brazil, Bulgaria, Indonesia, Malaysia, Romania, Thailand, Tunisia, and Turkey. Additional results document the presence of positive Wednesday and Thursday returns for most of the markets analyzed.

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Bakhturazova, T. V., M. K. Mayorov, N. V. Mayorova e D. A. Edelev. "THREATS TO INDUSTRIAL POLICY, TRADE AND KNOWLEDGE SHARING IN A GLOBAL EMERGENCY". Vestnik Universiteta, n. 4 (29 giugno 2020): 42–46. http://dx.doi.org/10.26425/1816-4277-2020-4-42-46.

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The coronavirus epidemic 2019-nCoV in China has already led to a slowdown in the country’s economic growth and the fall of the yuan exchange rate on the stock exchanges. The Russian government has banned visa-free tourist trips between Russia and China and the issuance of work visas to Russia for Chinese citizens; Australia, New Zealand, Japan, Pakistan, and Italy have imposed similar bans. Great Britain, South Korea, Singapore and New Zealand have imposed quarantine for arrivals from China. Military aircrafts of Russia, India and Thailand take their citizens out of China. The US authorities have declared public health emergency and ban on the entry of all foreign citizens who have visited China over the past two weeks. This article gives forecast, how these measures of the governments will affect on global academic mobility and economic growth.

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Adiputra, I. Gede, e Azhar Affandi. "The Effect of Micro and Macroeconomic on Investment Opportunity". AMAR (Andalas Management Review) 2, n. 2 (23 novembre 2018): 59–81. http://dx.doi.org/10.25077/amar.2.2.59-81.2018.

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The purpose of this study is to obtain results: the influence of micro and macroeconomic factors of the company on investment opportunities. This research is conducted in five ASEAN countries, such as; Indonesia, Malaysia, Singapore, Thailand, and the Philippines (ASEAN-5). The microeconomic factors are measured by firm size, financial risk, profitability, and debt policy. The macroeconomic factors are measured by interest rates, exchange rates, inflation, and economic growth. The analysis unit of this study is 175 large capacity manufacturing industries listed on ASEAN-5 stock exchanges for the 2012-2017 period. The data analysis technique used is panel data regression analysis. The result shows that the Debt Equity Ratio has a negative and significant effect on investment opportunities in Microeconomic influence for the ASEAN-5 Countries. Risk does not have a significant effect on investment opportunities. Profitability is insignificant for the ASEAN-5 Countries and is significant for the State of Singapore, Thailand. Firm Size is significant for Indonesia, Malaysia, Singapore, and the Philippines. GDP growth has a significant effect on investment opportunities for the ASEAN-5 countries. The interest rate has harmed the opportunities of investment in Indonesia, Malaysia, and Singapore. Inflation has a negative and significant effect in Indonesia, Malaysia, Thailand, and the Philippines. Exchange rates are significant for Indonesia, Malaysia, and Singapore. Investment opportunities have a positive effect on the value of the company in ASEAN-5 Countries. The benefits of this study for creditors are as a guideline for disbursing credit, and for investors it is as a guideline for placing capital investments in companies that have favorable debt and equity considerations in five (5) ASEAN Countries.

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Susono, Juhasdi. "PENGARUH NET INTEREST MARGIN (NIM), BEBAN OPERASIONAL PENDAPATAN OPERASIONAL (BOPO), CAPITAL ADEQUACY RATIO (CAR), DAN NON PERFORMING LOAN (NPL) TERHADAP PROFITABILITAS PERUSAHAAN PERBANKAN BURSA EFEK DI NEGARA INDONESIA, MALAYSIA, DAN THAILAND". PARAMETER: Jurnal Pendidikan Universitas Negeri Jakarta 29, n. 1 (4 maggio 2017): 9–19. http://dx.doi.org/10.21009/parameter.291.02.

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This study aims to determine the effect of Net Interest Margin (NIM), Operational Income Operating Cost (BOPO), Capital Adequacy Ratio (CAR), and Non-Performing Loan (NPL) on banking stock exchange company profitability in Indonesia, Malaysia and Thailand. This research was a quantitative, aimed to work out a systematically explain on the facts and properties of object in the research then merger was done between related variables in it with the presentation of secondary data from the financial statements of banking companies in Indonesia, Malaysia and Thailand. The population used in this study was banking company listed in Indonesia, Malaysia and Thailand stock exchanges in the period of 2010 to 2016. The sample used in this study as many as 24 banking companies in Indonesia, Malaysia and Thailand using purpose sampling method to obtain a representative sample that matches the criteria that have been made. In this study, data analysis method used was panel data (pooled data) which is a combination of time-series data and data between individuals or space (cross section) in banking companies in Indonesia, Malaysia and Thailand. Research Results for banking companies in Indonesia gained value of R square model of 0.222 percent, means that the variation of the profit that can be explained by the independent variables in the analysis of NIM, BOPO, CAR and NPL of 22.20 percent of the remaining 78.80 percent explained by other factors not studied here. Next, In Malaysia R value of this model square of 0.335 percent means that the variation of the profit that can be explained by the independent variables in the analysis of NIM, BOPO, CAR and NPL of 33.50 percent on the remaining 66.50 percent explained by other factors not included in the study this. While in Thailand, R square value of this model was 0.266 percent means that the variation of the profit that can be explained by the independent variables in the analysis of NIM, BOPO, CAR and NPL of 26.60 percent of 73.40 percent was explained by other factors not discussed in this study. Abstrak Penelitian ini bertujuan untuk untuk mengetahui pengaruh Net Interest Margin (NIM), Biaya Operasional Pendapatan Operasional (BOPO), Capital Adequacy Ratio (CAR), dan Non Performing Loan (NPL) terhadap pofitabilitas perbankan di negara indonesia, malaysia, dan thailand. Penelitian ini merupakan penelitian kuantitatif yang tujuanya untuk mengerjakan suatu yang di jelaskan secara sistematis tentang fakta-fakta serta sifat dalam suatu objek dalam penelitian kemudian melakukan penggabungan antar variabel yang terkait di dalamnya dengan penyajian data sekunder dari laporan keuangan dari perusahaan perbankan di negara indonesia, malaysia dan thailand. Populasi yang di gunakan pada penelitian ini adalah perusahaan perbankan yang terdaftar di bursa efek indonesia, malaysia dan thailand dalam kurun waktu 2010 sampai 2016. Sampel yang di gunakan dalam penelitian ini sebanyak 24 perusahaan perbankan di negara indonesia, malaysia, dan thailand dengan menggunakan metode purpose sampling tujuanya untuk memperoleh sampel representatif yang sesuai kriteria yang sudah di pastikan. Pada penelitian ini, metode analisa data yang digunakan adalah data panel (pooled data) yang merupakan gabungan dari data antar waktu (time series) dan data antar individu atau ruang (cross section) di perusahaan perbankan di negara indonesia, malaysia dan thailand. Hasil Penelitian untuk perusahaan perbankan di negara indonesia Nilai R square model ini sebesar 0,222 persen artinya bahwa variasi dari profit yang dapat dijelaskan oleh variabel bebas yang di analisis yaitu NIM, BOPO, CAR dan NPL sebesar 22.20 persen sisanya sebesar 78.80 persen dijelaskan oleh faktor lain yang tidak dimasukkan dalam penelitian ini. Selanjutnya Di negara malaysia Nilai R square model ini sebesar 0,335 persen artinya bahwa variasi dari profit yang dapat dijelaskan oleh variabel bebas yang di analisis yaitu NIM, BOPO, CAR dan NPL sebesar 33.50 persen sisanya sebesar 66.50 persen dijelaskan oleh faktor lain yang tidak dimasukkan dalam penelitian ini. Sedangkan di negara thailand. Nilai R square model ini sebesar 0,266 persen artinya bahwa variasi dari profit yang dapat dijelaskan oleh variabel bebas yang di analisis yaitu NIM, BOPO, CAR dan NPL sebesar 26.60 persen sisanya sebesar 73.40 persen dijelaskan oleh faktor lain yang tidak dimasukkan dalam penelitian ini.

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Kosol, Chayanant, e Punnamee Sachakamol. "Stock Performance Classification in Stock Exchange of Thailand (SET) by Using Supervised Machine Learning Model". International Journal of Machine Learning and Computing 10, n. 2 (febbraio 2020): 213–19. http://dx.doi.org/10.18178/ijmlc.2020.10.2.922.

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Panyagometh, Kamphol. "The Effects of Pandemic Event on the Stock Exchange of Thailand". Economies 8, n. 4 (23 ottobre 2020): 90. http://dx.doi.org/10.3390/economies8040090.

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The unprecedented global pandemic of COVID-19 has greatly impacted the stock market in terms of both price reactions and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock market have been adversely affected by the pandemic, as reflected in the abnormal returns compared to the period before the COVID-19 outbreak. This is mainly attributable to the curtailed economic activities induced by the pandemic as well as policy responses such as social distancing, quarantine and temporary market shutdown. Nevertheless, stocks in different sectors have been shown to have varied in terms of price responses, as some businesses may have benefitted from the pandemic. In terms of market volatility, the cumulated abnormal volatility (CAV) calculated in the paper suggests that volatility in the Stock Exchange of Thailand (SET) was significantly higher during the event window of COVID-19.

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Sareewiwatthana, Paiboon, e Patarapon Janin. "Tests of quantitative investing strategies of famous investors: case of Thailand". Investment Management and Financial Innovations 14, n. 3 (9 novembre 2017): 218–26. http://dx.doi.org/10.21511/imfi.14(3-1).2017.06.

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This research studied quantitative investing strategies of famous investors in the Stock Exchange of Thailand from 2002 to 2016. This study found that the Graham’s net nets, Dreman’s contrarian, Fisher’s super stock, O’Neil’s CANSLIM, Slater’s zulu principle, Neff’s Cheapo, O’Shaughnessy’s tiny titans, Greenblatt’s magic formula, Carlisle’s acquirer’s multiple and Piotroski’s F-score strategies beat the market (SET TRI). It also found that the Benjamin Graham’s net nets strategy which used the market capitalization of less than two thirds of net current assets value (NCAV) criterion produced the highest return among the strategies used. However, the Tobias Carlisle’s Acquirer’s multiple strategy which used EBIT to enterprise value (EBIT/EV) to sort stocks for 30 stocks yielded the highest risk-adjusted return.

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Laokulrach, Marisa. "Short Term IPO Returns in Stock Exchange of Thailand: The Study in 2003-2013". International Journal of Trade, Economics and Finance 6, n. 2 (aprile 2015): 106–11. http://dx.doi.org/10.7763/ijtef.2015.v6.452.

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Thanjunpong, Sathaya, e Thatphong Awirothananon. "The Effect of Tax Planning on Financial Performance in the Stock Exchange of Thailand". International Journal of Trade, Economics and Finance 10, n. 1 (febbraio 2019): 25–29. http://dx.doi.org/10.18178/ijtef.2019.10.1.632.

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Charoenrungrueang, Chitphinan, e Mullika Sungsanit. "The Current Status of Corporate Social Responsibility Activities in Thailand: Evidence from Listed Companies in the Stock Exchange of Thailand". International Journal of Trade, Economics and Finance 7, n. 4 (agosto 2016): 125–31. http://dx.doi.org/10.18178/ijtef.2016.7.4.511.

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Sutheebanjard, Phaisarn, e Wichian Premchaiswadi. "Analysis of Calendar Effects: Day-of-the-Week Effect on the Stock Exchange of Thailand (SET)". International Journal of Trade, Economics and Finance 1, n. 1 (2010): 57–62. http://dx.doi.org/10.7763/ijtef.2010.v1.11.

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Rapee, Pongpanich, Peng Ke-Chung e Maichum Kamonthip. "The performance measurement of listed companies of the agribusiness sector on the stock exchange of Thailand". Agricultural Economics (Zemědělská ekonomika) 63, No. 5 (9 maggio 2017): 234–45. http://dx.doi.org/10.17221/291/2015-agricecon.

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Listed companies in the agribusiness sector of the stock exchange play a key role in driving the economic system of Thailand. They have an important role in terms of being the producers of agricultural commodities by covering all products from the upstream to downstream. The performance measurements of listed companies contain important information for forecasting the trends of agricultural production and yield. The paper studied and considered much of the literature on the performance measurement of organizations to look for relative variables and the optimal methodology. The study used panel data from 2011–2014, which collected the listed annual companies’ statements. The aim of the study was to employ the Slacks Based Measure context-dependent Data Envelopment Analysis (SBM context-dependent DEA) for evaluating the efficiency in Decision Making Units (DMUs). The SBM context-dependent DEA was used to measure the performance of listed companies by employing attractiveness and progress scores. The results showed that when a listed company has a higher attractiveness and lower progress score, it has a better performance than its competitors and does not need to improve its efficiency. Therefore, the empirical results of the study can help farmers and governments to realize the trends of agricultural productivity and also help the listed companies to understand the characteristics of their competitors, leading to improvements in their organizations.

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Rapee, Pongpanich, Peng Ke-Chung e Wongchai Anupong. "The performance measurement and productivity change of agro and food industry in the stock exchange of Thailand". Agricultural Economics (Zemědělská ekonomika) 64, No. 2 (21 febbraio 2018): 89–99. http://dx.doi.org/10.17221/15/2016-agricecon.

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At present, the agro and food industry has a high influence to farmers in Thailand. Most of the raw materials of agriculture are sent to its manufactoring. This industry has an important role to raise the growth of the Thai economy. The main objective of the paper is to study the production trends and ability operations of the agro and food industry by using economic tools analyse two sub-industry sectors. The paper reviewed literatures on the performance measurement and productivity change of the business sector to obtain the relative variables and optimal methodology. The paper designed to use the panel data of the agro and food industry during the period 2011–2014. The Slacks-based Measure context-dependent Data Envelopment Analysis (SBM context-dependent DEA) was used to analyse the efficiency and ability in the Decision Making Units (DMUs) by employing the attractiveness and progress score. Moreover, the Malmquist index was used to demonstrate the change of the total productivity of this industry. Therefore, the empirical results of the paper can help the companies inside and outside the stock exchange of the agro and food industry to realize the performance level and benchmark leading to the improvement of their operation. Moreover, they help the government to develop its policy and to understand the character of the sub-industry sectors and the productivity trend in this industry.

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Thakolsri, Supachok. "Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand". Investment Management and Financial Innovations 18, n. 2 (11 giugno 2021): 261–72. http://dx.doi.org/10.21511/imfi.18(2).2021.21.

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This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

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Siregar, Narumondang Bulan, e Silvana Fransisca Hutajulu. "The Influencing Factors on Decision Investment: Case Study on 5 Mining Firms in 5 Countries in South East Asia". Webology 18, Special Issue 03 (29 aprile 2021): 202–22. http://dx.doi.org/10.14704/web/v18si03/web18035.

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This research aimed is to find out the factors influencing decision-making in mining firms listed in Indonesian Stock Exchange, Bursa Malaysia, the stock Exchange of Thailand, the Philippines Stock Exchange and Singapore Exchange from 2014 to 2018. This study employed multiple linear regression to examine independent variable influences such as cash flow, firm size, leverage and investment opportunities. Total asset growth is the metric used to calculate investment decision. Secondary data were retrieved by the audited Mining Corporation Report and Annual Reports from the Indonesian Stock Exchange, Bursa Malaysia, the Philippines Stock Exchange, the Singapore Exchange and the Stock Exchange of Thailand from 2014 to 2018 in web.idx.id, www.bursamalaysia.com.com, www.pse.com.ph, www.set.or.th and the www2.sgx.com/ The findings suggest that cash flow and firm size have a beneficial impact on investment decision-making, leverage has a detrimental influence on investment decision-making whereas acquisition incentives have little impact on investment decision-making.

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Arshad, M. N., e M. H. Yahya. "RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND EXCHANGERATES IN EMERGING STOCK MARKETS". IKONOMIKA 1, n. 2 (8 aprile 2017): 131. http://dx.doi.org/10.24042/febi.v1i2.148.

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Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

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Visaltanachoti, Nuttawat, Charlie Charoenwong e David K. Ding. "Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand". Journal of Empirical Finance 18, n. 3 (giugno 2011): 474–87. http://dx.doi.org/10.1016/j.jempfin.2011.02.001.

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Alfonso Perez, Gerardo “Gerry”. "Company Size Effect in the Stock Market of Thailand". International Journal of Financial Research 8, n. 3 (12 giugno 2017): 105. http://dx.doi.org/10.5430/ijfr.v8n3p105.

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The outperformance of small capitalization companies over large capitalization companies is a well-known occurrence in developed markets (Gorn, 1962), (Jacobs, 1989) with (Banz, 1981) numerically showing that this effect on stocks in the New York Stock Exchange. This phenomenon is based on the idea that some company specific characteristics can have a statistically significant impact on stock performance. The existence, or otherwise of this effect in emerging markets has received less attention. Given the very different characteristics of emerging markets compared to mature markets like the US is not immediately evident that the same conclusions can be extrapolated. One of the immediate clear differences between emerging and mature markets is the depth with markets like the US having a large amount of listed companies as well as large average trading volumes. In fact, when this analysis has been repeated in some emerging markets, such as Sri Lanka, the results seem to indicate that there is no statistically appreciable difference between the return of small and large capitalization stocks (Macn, 2013). It should be noted that in the case of the Sri Lanka case there were only, at the time of the article, 25 listed companies, of which only 12 were included in the analysis. The specific case of the stock market of Thailand is analyzed in this paper. The results of this article seem to point towards the existence of a size effect, affecting stock performance, in the Thai stock market. Some articles covering emerging market as a whole as pointed towards the opposite results. Given the substantial differences among emerging markets countries it is perhaps a better approach to follow an individualized analysis, country per country, rather than treat it as a homogenous group.

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Alexander, Freddy Nathaniel, Tarsisius Renald Suganda e Sendy Cahyadi. "Studi Corporate Information Transparency On The Internet (e-CTI) Pada Bursa Efek Indonesia, Malaysia, Dan Thailand". Wahana: Jurnal Ekonomi, Manajemen dan Akuntansi 23, n. 2 (30 agosto 2020): 160–78. http://dx.doi.org/10.35591/wahana.v23i2.215.

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The purpose of this study is to analyze the influence of macro and micro factors on e-CTI in three countries namely Indonesia, Malaysia, and Thailand. The three countries have a partnership called Indonesia Malaysia Thailand - Growth Triangle (IMT-GT). The research sample consisted of 90 of the most liquid companies listed on the Indonesia Stock Exchange (LQ45), the Malaysian Stock Exchange (KLCI), and the Thailand Stock Exchange (SET50). The results showed that the size of the board of directors had an influence on e-CTI. If there are more boards of directors, it will increase its ability to encourage management to be more transparent. With the existence of regulations in the three countries that regulate the duties and responsibilities of the board of directors towards stakeholders, it will encourage management to be more transparent.

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Firmansyah, Firmansyah, e Shanty Oktavilia. "The Stock Market and Exchange Rates in Five South Asian Countries". Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 18, n. 1 (31 luglio 2017): 102. http://dx.doi.org/10.23917/jep.v18i1.4293.

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The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

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Jenwittayaroje, Nattawut, Charlie Charoenwong, David K. Ding e Yung Chiang Yang. "Trading costs on the Stock Exchange of Thailand". International Review of Financial Analysis 41 (ottobre 2015): 31–40. http://dx.doi.org/10.1016/j.irfa.2015.05.008.

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28

Tran, Quan Nhu. "The Behavior Patterns of Investors in Thailand Stock Market". Asian Journal of Finance & Accounting 9, n. 1 (26 febbraio 2017): 155. http://dx.doi.org/10.5296/ajfa.v9i1.10605.

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The purpose of this paper is to investigate behavioral patterns expressed by investors in the Thailand stock market. The paper examines investment decision-making processes in the context of the current financial market in Thailand to shed some light on behavioral-induced pattern behind such investments. Data for this research was collated from 8 individual investors by semi-structured and in-depth interview. There are four behavioral factors of individual investors in Thailand Stock Exchange: Overconfidence, Excessive Optimism, Psychology of risk, and Herding Behavior. Securities Companies may also use the findings of this research for better understanding on investors’ decision to give better recommendations to them. Stock prices then reflect their true value and Thailand stock market becomes the yardstick of the economy’s wealth and helps enterprises to raise capital for business activities.

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Wahyuningrum, Indah Fajarini Sri, Muhammad Ihlashul Amal e Suci Sularsih. "The Effect of Environmental Disclosure and Performance on Profitability in the Companies Listed on the Stock Exchange of Thailand (SET)". Jurnal Ilmu Lingkungan 19, n. 1 (28 aprile 2021): 66–72. http://dx.doi.org/10.14710/jil.19.1.66-72.

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The main objective of this study is to determine the empirical evidence of the effect of environmental disclosure, environmental performance, company age, and company size on profitability. The purposive sampling method was used to determine the sample of companies and obtained 85 companies from a total population of 100 large companies listed on the Thailand Stock Exchange (SET) in 2018. The data analysis technique used was multiple linear regression analysis using analysis tool IBM SPSS Statistics version 26. The results of this study prove that environmental disclosure has a significant positive effect on profitability. Environmental performance and company size have a significant negative effect on profitability. On the other hand, company age is not proven to have a significant effect on profitability. Based on the research results, it can be concluded that more extensive environmental disclosure is able to increase the achievement of profitability. However, company age is not a factor affecting profitability. Meanwhile, company size and environmental performance as measured by total assets and the existence of ISO 14001 certifications are proven to reduce the level of company profitability. This study also has several limitations, including the time period which is limited to only one time period, namely 2018. It is expected that further studies can expand the time period by more than one year. This is since using a time period of more than one year can illustrate the effect of environmental disclosure and environmental performance, company age and company size on the profitability achieved by the companies. In addition, it is expected that the results of this study can provide input to companies to be more concerned regarding company performance activities, especially on the environment because there are still many companies that have low levels of environmental disclosure even though environmental disclosure in Thailand is still voluntary.

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Budiawan Tjandrasa, Benny, Hotlan Siagian e Ferry Jie. "The macroeconomic factors affecting government bond yield in Indonesia, Malaysia, Thailand, and the Philippines". Investment Management and Financial Innovations 17, n. 3 (8 settembre 2020): 111–21. http://dx.doi.org/10.21511/imfi.17(3).2020.09.

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The government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management. Acknowledgment It is the author’s pleasure to thank Muhammad Aulia SE MSc CSA® from the Ministry of Finance of Republic Indonesia, for his invaluable contribution to encourage this study and also to share the data required for this paper. He also delivers essential insights into improving the quality of this work. This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors.

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Sumani, Sumani, e Siti Saadah. "Watch Your Neighbor: A Volatility Spillover in ASEAN-5 Stock Exchange". Binus Business Review 10, n. 1 (31 marzo 2019): 59–65. http://dx.doi.org/10.21512/bbr.v10i1.5400.

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Abstract (sommario):

In the process of financial markets integration, this research was conducted to investigate the phenomenon of the transmission of stock return volatility among stock market in five ASEAN countries. Those were Indonesia, Singapore, Malaysia, Philippines, and Thailand. The research was important because when the interdependence of financial markets had increased, changes in asset prices in the market were not only influenced by the shock in the market but also by its response to asset price volatility that occurred in other countries. Information about the volatility spillover between markets was important for investors to the portfolio selection process. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) method was used on a daily time series stock return data obtained by accessing www.bloomberg.com. The result indicates that the shock in Singapore, Malaysia, Thailand, and the Philippines stock market will be transmitted to the Indonesia Stock Market with an asymmetric pattern. It has increased intensity after the implementation of the ASEAN Economic Community in December 2015.

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Tharavanij, Piyapas, Vasan Siraprapasiri e Kittichai Rajchamaha. "Profitability of Candlestick Charting Patterns in the Stock Exchange of Thailand". SAGE Open 7, n. 4 (ottobre 2017): 215824401773679. http://dx.doi.org/10.1177/2158244017736799.

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This article investigates the profitability of candlestick patterns. The holding periods are 1, 3, 5, and 10 days. Two exit strategies are studied. One is the Marshall–Young–Rose (MYR) exit strategy and the other is the Caginalp–Laurent (CL) exit strategy. The MYR applies a prespecified date to exit the market. In contrast, the CL sets an exit price equal to an average holding period closing price, assuming that investors liquidate their positions evenly within this period. The daily data include open, high, low, and close prices of component stocks of the SET50 index (the 50 largest capitalization stocks in the Stock Exchange of Thailand [SET]) for a 10-year period from July 3, 2006, to June 30, 2016. This study tests the predictive power of bullish and bearish candlestick reversal patterns both without technical filtering and with technical filtering (Stochastics [%D], Relative Strength Index [RSI], Money Flow Index [MFI]) by applying the skewness adjusted t test and the binomial test. The statistical analysis finds little use of both bullish and bearish candlestick reversal patterns since the mean returns of most patterns are not statistically different from zero. Even the ones with statistically significant returns do have high risks in terms of standard deviations. The binomial test results also indicate that candlestick patterns cannot reliably predict market directions. In addition, this article finds that filtering by %D, RSI, or MFI generally does not increase profitability nor prediction accuracy of candlestick patterns.

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Wu, Lifan, e Asani Sarkar. "Price Transmission and Market Openness". Review of Pacific Basin Financial Markets and Policies 01, n. 02 (giugno 1998): 215–32. http://dx.doi.org/10.1142/s0219091598000168.

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This paper studies the degree of impact of stock prices listed on the New York Stock Exchange and Tokyo Stock Exchange regarding price behavior in Asian stock markets. Our evidence shows that the pattern and magnitude of impact varies. Returns in Hong Kong, Singapore, and Malaysia are more sensitive than those in Taiwan, Korea and Thailand. The response patterns in the Asian markets suggest that foreign influence is significantly correlated to the degree of market openness.

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Chaiyakul, Thitima. "Bankruptcy Risk and Financial Performance of Companies Listed on the Stock Exchange of Thailand". International Journal of Financial Research 12, n. 4 (31 marzo 2021): 78. http://dx.doi.org/10.5430/ijfr.v12n4p78.

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Financial performance is an important issue for entrepreneurs and investors. So far the number of studies on the effect of bankruptcy risk on financial performance of firms is small. Hence, this research investigates the impact of bankruptcy risk on financial performance of companies listed on the Stock Exchange of Thailand and the relevant data cover the period between 2015 and 2019. Excluded are companies operating in the finance industry. The data are analyzed by multiple regression analysis. Altman’s Z-score (1968) is used as a proxy for bankruptcy risk while ROA, ROE, and Tobin’s Q serve as proxies for financial performance. The control variables in this study are liquidity, capital structure, firm size, and inflation rate. Results reveal that Altman’s Z-score and firm size statistically and positively affect financial performance proxied by both accounting-based-measures, i.e. ROA and ROE; and market-based measures, i.e. Tobin’s Q. These results confirm that companies listed on Thailand’s Stock Exchange have low bankruptcy risk and large size is financially performed well.

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Arnonkitpanit, Tanut, e Dr Surachai Chancharat. "Testing the Efficiency in the Stock Exchange of Thailand". Khon Kaen University Journal (Graduate Studies) 09, n. 1 (1 gennaio 2009): 174–81. http://dx.doi.org/10.5481/kkujgs.2009.09.1.16.

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Hussaini, Mussa. "Size and Value in the Stock Exchange of Thailand". Journal of Financial Risk Management 05, n. 01 (2016): 14–21. http://dx.doi.org/10.4236/jfrm.2016.51003.

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Pavabutr, Pantisa, e Sukanya Prangwattananon. "Tick size change on the Stock Exchange of Thailand". Review of Quantitative Finance and Accounting 32, n. 4 (23 settembre 2008): 351–71. http://dx.doi.org/10.1007/s11156-008-0096-5.

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LONG, NGUYEN CONG, NAWAPORN WISITPONGPHAN, PHAYUNG MEESAD e HERWIG UNGER. "CLUSTERING STOCK DATA FOR MULTI-OBJECTIVE PORTFOLIO OPTIMIZATION". International Journal of Computational Intelligence and Applications 13, n. 02 (giugno 2014): 1450011. http://dx.doi.org/10.1142/s1469026814500114.

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Portfolio selection is a vital research field in modern finance. Multi-objective portfolio optimization problem is the portfolio selection process that results in the highest expected return rate and the lowest identified risk among the various financial assets. This paper proposes a model that can efficiently suggest a portfolio that is worth investing. First, a cluster analysis model is introduced in order to categorize a huge amount of stock data into several groups based on their associated return rate and the risk. Several validity indexes are used to select the optimal number of clusters/stocks to be included in the portfolio. Finally, the multi-objective genetic algorithm is used to build portfolio optimization with highest return rate and lowest risk. The proposed model is tested on the data obtained from the Stock Exchange of Thailand.

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Khanthavit, Anya. "Weather-Induced Moods and Stock-Return Autocorrelation". Zagreb International Review of Economics and Business 23, n. 1 (1 maggio 2020): 19–33. http://dx.doi.org/10.2478/zireb-2020-0002.

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AbstractMoods affect investors’ attention, memory, and capacity to process information. Inattentive investors delay the price adjustment process, thus leading to a positive autocorrelation of asset returns. In this study, I investigate the relationship between weather-induced moods and stock-return autocorrelation in the Stock Exchange of Thailand from January 2, 1991, to December 29, 2017. Only good moods contribute significantly to return autocorrelation.

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Pukthuanthong-Le, Kuntara, e Nuttawat Visaltanachoti. "Commonality in liquidity: Evidence from the Stock Exchange of Thailand". Pacific-Basin Finance Journal 17, n. 1 (gennaio 2009): 80–99. http://dx.doi.org/10.1016/j.pacfin.2007.12.004.

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Jongadsayakul, Woradee. "Value at risk estimation of the SET50 index: Comparison between stock exchange of Thailand and Thailand futures exchange". Journal of International Studies 14, n. 1 (marzo 2021): 227–40. http://dx.doi.org/10.14254/2071-8330.2021/14-1/16.

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Ketkaew, Chavis, Martine Van Wouwe, Preecha Vichitthamaros e Duanpen Teerawanviwat. "The Effect of Expected Income on Wealth Accumulation and Retirement Contribution of Thai Wageworkers". SAGE Open 9, n. 4 (luglio 2019): 215824401989824. http://dx.doi.org/10.1177/2158244019898247.

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Thailand has now become the aging society. However, the fact that the majority of Thai wageworkers do not effectively save for their retirement may result in several elderly living below the poverty threshold during retirement. The objectives of this research article were to find the factors determining Thai wageworkers’ retirement contribution. Founded on the theory of life-cycle hypothesis, this article employed a sample of 300 wageworkers in the Northeast of Thailand and performed a statistical analysis using the structural equation modeling (SEM) approach using age as a moderator. The empirical results revealed that expected income, wealth accumulation, career status, and health status were the main constructs influencing an individual’s ability to contribute to his or her retirement. This article suggested that a wageworker should first contribute his or her income through wealth accumulation schemes such as investment in financial assets, for example, stocks, bonds, mutual funds, and properties, investment in other business as a second job, and simply cash deposit. The results suggested that wealth accumulation was the most important mediator allowing a wageworker to contribute to retirement effectively in the long term. This article also proposed thoughtful research implications for wageworkers, employers, and the Thai government. This article recommended that the government and authorized bodies (e.g., the Bank of Thailand and the Stock Exchange of Thailand) should provide more investment alternatives and improve investment knowledge of the citizens. This would allow the citizens to have sufficient financial knowledge to invest in riskier financial instruments that potentially give better returns such as stocks.

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Lumjiak, Sutsarun, Nguyen Thi Thieu Quang, Christopher Gan e Sirimon Treepongkaruna. "Good coups, bad coups: evidence from Thailand’s financial markets". Investment Management and Financial Innovations 15, n. 2 (4 maggio 2018): 68–86. http://dx.doi.org/10.21511/imfi.15(2).2018.07.

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This study investigates the short-run and long-run impact of coups on Thailand’s financial markets. Using daily data from the stock and foreign exchange markets during the period 2005–2017, the study shows (1) both coups in 2006 and in 2014 exert short-run impact on Thailand’s stock and foreign exchange markets; (2) however, the direction and magnitude of impact are different and opposite in the two coups; and (3) in the long run, the coups exhibit minimal impact on the currency market, but induce better market performance (positive return and decrease in the return volatility) despite an increase in liquidity risk of the stock market. Against common beliefs about negative consequences of the coup d’états, this study suggests that the uncertainty surrounding coups can bring good investment opportunities for investors to earn abnormal profits. Moreover, in the long term, the coup can drive the country to better stability and development.

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Komenkul, Kulabutr, Mohamed Sherif e Bing Xu. "IPOs’ signalling effects for speculative stock detection: evidence from the Stock Exchange of Thailand". Applied Economics 49, n. 31 (2 dicembre 2016): 3067–85. http://dx.doi.org/10.1080/00036846.2016.1254338.

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Hendrich, Mahdi. "Pengaruh Return On Asset (ROA) Dan Return On Equity (ROE) Terhadap Harga Saham Pada Perusahaan Manufaktur yang Terdaftar di Indonesia Periode 2017-2019". Jurnal Ilmiah Akuntansi Rahmaniyah 4, n. 1 (2 febbraio 2021): 20. http://dx.doi.org/10.51877/jiar.v4i1.158.

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This study attempts to examine how much influence these two variables, namely ROA and ROE, on stock prices, especially in manufacturing companies of the type of "Consumer Goods" listed on the Indonesia Stock Exchange, the Malaysia Stock Exchange and the Thailand Stock Exchange. The sampling technique used was purposive sampling based on certain criteria or considerations. The sample taken is the financial statements of 9 companies that have been determined in accordance with the provisions of sampling with the period 2017-2019. The result shows that, simultaneously, Return On Asset (ROA) and Return On Equity (ROE) have a positive effect on stock prices in manufacturing companies in Indonesia. The coefficient of determination (R2) of 0.238 indicates that each share price is influenced by the ROA, ROE and State variables of 23.8% while the remaining 76.2% is influenced by other variables not examined.

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Komenkul, Kulabutr, Mohamed Sherif e Bing Xu. "Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand". Investment Management and Financial Innovations 13, n. 4 (29 dicembre 2016): 160–79. http://dx.doi.org/10.21511/imfi.13(4-1).2016.02.

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This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers using hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), in the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect the IPO pricing and the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks. Keywords: Prospectus disclosure, IPO performance, Thailand. JEL Classification: G14, G30, G32

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Laung-Iem, Kornkamol, e Prapita Thanarak. "Determination of Biodiesel Prices in Thailand". Applied Mechanics and Materials 839 (giugno 2016): 81–87. http://dx.doi.org/10.4028/www.scientific.net/amm.839.81.

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Biodiesel is a diesel equivalent fuel produced from biological feed stocks, acting as a substitute for petroleum or fossil diesel. Biodiesel production in Thailand began in 2005, with prices stabilizing after 2008. Biodiesel, along with other biofuels, plays a role in Thailand’s Alternative Energy Development Plan (AEDP). The purpose of this study is to examine factors in the Thai biodiesel prices (2009-2014). The study assessed factors in downstream biodiesel prices at consumer locations like gas stations. The price factors assessed in the study included ex-refinery prices, excise taxes, municipal taxes, oil fund contributions, energy conservation fund conributions, marketing margin and exchange rate (USD). Regression results showed that all of these factors were significant (r2 = 0.867). The implication of the study is that while most of the retail price of biodiesel in Thailand is attributable to cost factors, there is some unexplained variance in price. This offers an opportunity for future research.

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Liau, Yung-Shi, e Jack J. W. Yang. "Foreign exchange risk in stock pricing: a further study of Asian markets". Corporate Ownership and Control 5, n. 4 (2008): 444–50. http://dx.doi.org/10.22495/cocv5i4c5p4.

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This study applies a two-factor asset pricing model (market and foreign exchange) to examine the stock pricing behaviors in export-oriented Asian markets (Hong Kong, Malaysia, the Philippines, South Korea, Taiwan and Thailand) for the period 1994-2005. The three foreign exchange risk factors are Japanese yen, US dollar and EURO. GMM test results indicate only the US dollar exchange risk factor is priced in Asian stock markets, i.e., the appreciation/depreciation of the US dollar should affect investors’ buying/selling decision to some extent. The empirical results are valid for both subperiods as well as the whole period

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Darinda, Dwika, e Fikri C. Permana. "Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?" Kajian Ekonomi dan Keuangan 3, n. 2 (31 agosto 2019): 116–34. http://dx.doi.org/10.31685/kek.v3i2.484.

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The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.

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Charoenwong, Charlie, David K. Ding e Nuttawat Visaltanachoti. "Warrants and their underlying stocks: Microstructure evidence from an emerging market". Risk Governance and Control: Financial Markets and Institutions 8, n. 3 (2018): 43–60. http://dx.doi.org/10.22495/rgcv8i3p3.

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The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We document that flow toxicity is negatively related to spread and positively related to depth, market order flow ratio, trade size, trading volume, and volatility.

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