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Effects of abnormal trading volume in the stock exchange of Thailand
2023This research aims to investigate the opportunity to exploit the abnormal returns follow the abnormal trading volume events for the stock listed in the Stock Exchange of Thailand (SET) from 2010 to 2019. The result suggested that investors could use abnormal trading volume as a signal to invest and obtain extra-profit by holding the stock for a certain
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Commonality in liquidity: Evidence from the Stock Exchange of Thailand
Pacific-Basin Finance Journal, 2009Abstract 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.
Kuntara Pukthuanthong-Le +1 more
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Wireless Personal Communications, 2020
This paper aims to investigate the identification of sectors of stock exchange that were positively or negatively driven by fundamental monetary tools. A Bayesian approach for dynamic model averaging (DMA) algorithm is analyzed and implemented to deliver the results for identifying what actually drives specific sector of stock exchange, where the ...
Paponpat Taveeapiradeecharoen +1 more
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This paper aims to investigate the identification of sectors of stock exchange that were positively or negatively driven by fundamental monetary tools. A Bayesian approach for dynamic model averaging (DMA) algorithm is analyzed and implemented to deliver the results for identifying what actually drives specific sector of stock exchange, where the ...
Paponpat Taveeapiradeecharoen +1 more
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An analysis of momentum strategy’s failure in Stock Exchange of Thailand
2023This study examines the negative return characteristic of momentum strategy, also known as momentum crashes, in Stock Exchange of Thailand from January 2001 to December 2018. This study aims to answer one main question. Do momentum crashes exist in Stock Exchange of Thailand? The result show that momentum crashes do exist in Stock Exchange of Thailand,
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Day-Seasonal Efficiency of the Stock Exchange of Thailand
2018Thammasat Review, 21, 2, 17 ...
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The analysis of enhanced momentum strategies in the Stock Exchange of Thailand
2023The purpose of this study is to investigate the effectiveness of momentum strategies in investment portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the Stock Exchange of Thailand ...
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Revisiting the Day-of-the-Week Effect in the Stock Exchange of Thailand
2016วารสารบริหารธุรกิจ JBA, 39, 151 (ก.ค.-ก.ย. 59)
Knanthavit, Anya, Obrom Chaowalerd
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2020
This study quantifies the economic policy uncertainty of Thailand and investigates the impact of this uncertainty on agriculture and food (agro-food); and technology stock sectors. A two-step procedure was employed in this study. First, we measure the economic policy uncertainty during January 2004–December 2018.
Siriluk Punwong +2 more
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This study quantifies the economic policy uncertainty of Thailand and investigates the impact of this uncertainty on agriculture and food (agro-food); and technology stock sectors. A two-step procedure was employed in this study. First, we measure the economic policy uncertainty during January 2004–December 2018.
Siriluk Punwong +2 more
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2023
This study involves finding how the Environmental Social and Governance (ESG) or the Corporate Social Responsibility (CSR) affects investors’ attention in the Stock Exchange of Thailand. The goal is to examine whether there is any interest in investing on the companies with good ESG or CSR practice in the Stock Exchange of Thailand (SET) represented ...
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This study involves finding how the Environmental Social and Governance (ESG) or the Corporate Social Responsibility (CSR) affects investors’ attention in the Stock Exchange of Thailand. The goal is to examine whether there is any interest in investing on the companies with good ESG or CSR practice in the Stock Exchange of Thailand (SET) represented ...
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ESG materiality issues on stock returns: Stock Exchange of Thailand
This study investigates the impact of Environmental, Social, and Governance (ESG) materiality issues on stock returns in the Stock Exchange of Thailand (SET). Leveraging data from 90 listed companies between 2018 and 2021, the research examines whether firms focusing on material ESG issues demonstrate superior performance.openaire +1 more source