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    Agricultural commodity futures and stock market: evidence from RSS3 Futures in Thailand 

    Yaowaluk Techarongrojwong; Pathathai Sinliamthong; Rattana Waranyasathit (Assumption University Press, 2017)

    This study aims to examine the role of RSS3 Futures as the hedge for stock market in Thailand. The data is collected from May 28, 2004 until December 31, 2015, which includes totally 2,833 trading days. The results show that there is no relationship between RSS3 Futures and the stock market implying that RSS3 Futures can be the hedge for stock market in general. However, RSS3 Futures is not the candidate for safe haven of stock market because it shows no hedge property during the period of extremely negative stock returns. The result implies ...
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    Does real estate fund in Thailand provide diversification benefits for stock investment? 

    Nopphon Tangjitprom; Preechaya Chavalittumrong; Veeranuch Leelalai (Assumption University, 2016)

    The real estate investment has been an alternative investment as a diversifier for traditional investment like the stock market. Previous studies have shown the diversification benefits of real estate investment for stock portfolios. This paper aims to examine whether and to what extent real estate funds can provide diversification benefits to investors. The information of stock returns and real estate funds in Thailand was gathered for the period during 2007 and 2015. The results show that there is no diversification benefit in terms of hedge ...