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| Author | : Worraport Kittikajonassawachot |
| Publisher | : |
| Total Pages | : 280 |
| Release | : 2002 |
| Genre | : Stock exchanges |
| ISBN | : 9789743276286 |
| Author | : Anucha Ratanaparadorn |
| Publisher | : |
| Total Pages | : 126 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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 | : Porawat Tangpiyanan |
| Publisher | : |
| Total Pages | : 114 |
| Release | : 2015 |
| Genre | : Stock exchanges |
| ISBN | : |
This thesis examines liquidity commonality in the Stock Exchange of Thailand (SET) during 2003 to 2013 in respect of supply-side (funding liquidity of financial intermediaries) and demand-side (correlated trading of market participants) determinants of liquidity. Unique asymmetric pattern is found, where the commonality greater increases during large market rising than during large market declining period. The result shows more reliable evidence of demand-side hypothesis. Investor-types' trading activities affect differently to the commonality in liquidity of each stock-size. For instance, retail and foreign investor trading are found to create greater liquidity commonality during high volatility period, while proprietary trading has the opposite effect. On average, large-cap stocks have higher commonality in liquidity, but small-cap stocks have greater commonality risk from correlated trading activity of particular investor-type.
| Author | : Komain Jiranyakul |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
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 | : Pattanachai Sathidmangkang |
| Publisher | : |
| Total Pages | : 70 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
| Author | : Kuntara Pukthuanthong |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.
| Author | : Komain Jiranyakul |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and this is confirmed by unit root tests. The GARCH process shows that the volatility of stock market return generated by the GARCH variance series exhibits an uneven pattern. The unpredictable stock index and uneven volatility of stock return imply that the Thai stock market is efficient according to weak-form efficient market hypothesis.
| Author | : Jedsadaporn Oungpakornkaew |
| Publisher | : |
| Total Pages | : 346 |
| Release | : 1997 |
| Genre | : |
| ISBN | : |
| Author | : Nattagan Suwanvong |
| Publisher | : |
| Total Pages | : 120 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 122 |
| Release | : 2006 |
| Genre | : Liquidity (Economics) |
| ISBN | : |
The thesis provides empirical evidence on the liquidity commonality of the Stock Exchange of Thailand in an extended sample period and additional perspectives on the ownership concentration effect toward the liquidity commonality. Two main empirical results are found in this thesis. First, there is some evidence of the market and industry-wide commonality in liquidity for Thai stocks, but it is less significant and less pervasive than that in other markets. Second, the firm size and index inclusion tend to have an impact toward the liquidity commonality. Small firms tend to have greater sensitivity to the market liquidity in terms of spread measures while larger firms tend to have greater sensitivity to the market liquidity in terms of depth measures. Besides, non-index inclusion firms tend to have greater sensitivity to the market-wide liquidity in terms of spread measures while index inclusion firms tend to have greater sensitivity to the market liquidity in terms of depth measures. On the other hand, this study dose not find the impact of market condition and ownership concentration toward the liquidity commonality.
