Download or read book Liquidity Commonality Evidence from the Stock Exchange of Thailand written by and published by . This book was released on 2006 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Commonality in Liquidity written by Kuntara Pukthuanthong and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Understanding the Liquidity Commonality in the Stock Exchange of Thailand written by Porawat Tangpiyanan and published by . This book was released on 2015 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Relationship Between Liquidity and Stock Returns written by Pattanachai Sathidmangkang and published by . This book was released on 2013 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Free Float Liquidity and Float Adjusted Return Model written by Rittiporn Songsermsawad and published by . This book was released on 2013 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Residual Momentum with Liquidity Factor Evidence from Stock Exchange of Thailand SET and Market for Alternative Investment MAI written by Sakulporn Chaiyaraj and published by . This book was released on 2015 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Liquidity Expected Stock Return and Variation of Liquidity Premium Over Uncertainty Period written by Prapasri Chatkunlawat and published by . This book was released on 2011 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Underpricing Stock Allocation Ownership Structure and Post listing Liquidity of IPOs Stocks written by Pathomporn Phornleesaengsuwan and published by . This book was released on 2006 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Actual Share Repurchases and Liquidity written by Yordying Thanatawee and published by . This book was released on 2017 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impacts of actual share repurchases on stock liquidity of companies listed on the Stock Exchange of Thailand (SET) over 2001-2010. The results show that bid-ask spreads are narrower, price impact is lower, and turnover is higher on repurchase days compared to those on non-repurchase days. In addition, the number of actual shares repurchased is found to be negatively related to bid-ask spreads and price impact, and positively related to turnover. Overall, the findings clearly indicate that actual share repurchases have positive impacts on stock liquidity.
Download or read book DETERMINANTS OF MARKET LIQUIDITY AND TRADING ACTIVITY written by Thanupong Dejsutham and published by . This book was released on 2014 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research explores the determinants of market liquidity and trading activity in the Stock Exchange of Thailand during the period of 2001 to 2009. Only some weak evidence is found. Short-term and long- term interest rates have a positive effect on some of market liquidity and trading activity’s variables. Long-term market performance is found to be a negative predictor variable of depth, while lagged volatility has a negative relation with market trading activity’s variable. This research also finds that market liquidity and trading activity fall on Friday (except spread), but there is no specific day for the opposite pattern. Depth and baht volume increase when there is a consumer price index announcement. Type of investor is studied, but no significant difference in predictor variables between retail and non-retail liquidity and trading activity’s providers is found.
Download or read book Effectiveness of Liquidity Copula VaR written by Kornvika Wangsiripaiboon and published by . This book was released on 2013 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Performance of Individual Institutional and Foreign Investors written by Nareerat Taechapiroontong and published by . This book was released on 2009 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether domestic investors outperform foreign investors by using transaction data from Stock Exchange of Thailand during 1999 to 2004. We find that foreign investors, in general, trade at worse price than domestic investors who have more information advantage. However, foreign investors perform best when buying mid-cap and large size stocks during the bull market which may be due to more experience and better access to research. Individual investors tend to follow contrarian trading strategy which leads them to act as the liquidity provider to institutions. The intense of trade imbalance can predict future returns. The intense of individuals selling occurring at peak price influences future negative return. The intense buying of foreign and institutional investors is followed by price increases.
Download or read book Independent Study Insider Trading Evidence from the Stock Exchange of Thailand written by and published by . This book was released on 2014 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Return Volatility Market Liquidity and Earning in the Stock Exchange of Thailand written by Worraport Kittikajonassawachot and published by . This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Winners written by Nattaphan Vuthicholthee and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Market Microstructure written by Nuttawat Visaltanachoti and published by . This book was released on 2004 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Volatility Trading Volume and Tranding Styles by Investor Groups written by Kasidit Praneechit and published by . This book was released on 2016 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
