Browsing by Author "Ekkachai Boonchuaymetta"
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ItemEvaluating the performance of Thai equity funds(Assumption University, 2008) Ekkachai Boonchuaymetta ; Assumption University. Martin de Tours School of Management and EconomicsThe focus of this study is to evaluate the performance of selected 48 open-ended equity mutual fonds in Thailand during the year 2003 through 2007. Four performance measures are used, the Treynor measure, the Sharpe measure, the Jensen measure, and Treynor-Mazuy measure. The empirical results reveal limited ability of mutual fand managers in both selecting undervalued stocks and forecasting the market correctly. Based on the market timing techniques of'Jreynor-Mazuy model, only ten mutual funds present significant positive coefficients of market timing ability. Consistent with the Jensen s model, only fourteen mutual fands show a significant positive coefficient of stock selectivity ability.
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ItemThe Halloween effect and other seasonal anomalies in the energy sector of the stock exchange of Thailand(Assumption University Press, 2018) Ploy Tang-u-thaisuk ; Witsaroot Pariyaprasert ; Ekkachai BoonchuaymettaThis research aims to explore the existence of three well - known seasonal anomalies – the January Effect, the April Effect, and the Halloween Eff ect – as pertains to monthly returns as well as to volatility. Effects on returns and volatility will further be studied within the SET Energy index as well as 9 selected energy stocks from the period April 2005 to July 2016. The objective of this study is to find seasonality hidden within the above Index and stocks, and establish a simple trading strategy to benefit investors. As in preceding studies, our methodology uses the dummy regression technique and the EGARCH model is employed to investigate the impact of these seasonal anomalies on the volatility of returns. The result found that Halloween Effect and the January Effect have a statistically negligible effect on returns within the smaller SET Energy Index. The April Effect does have statistical s ignificance on returns within the SET Energy Index. Buying the SET Energy index before April is likely to yield positive returns at the end of the month. Investors should accumulate positions during these seasonal anomalies – in light of low volatility – a nd take profit once volatility returns to normal.
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ItemImpacts of the US and China macroeconomic indicator announcements on Cambodia stock market(Bangkok : Assumption University Press, 2022) Thoun, Ponlok ; Witsaroot Pariyaprasert ; Ekkachai Boonchuaymetta ; Yanee LeoywanichjalearnThis study investigates the impacts of five macroeconomic indicator announcements from the Unit States and China on the volatility of Cambodia Securities Exchange (CSX) index during the period of 2016 to 2021. Generally, it is a well-known fact that a country’s macroeconomic announcement could potentially affect the stock return volatility of another; however, despite decades of research, new small emerging countries remain untouched, unexplored, and may contain new knowledge to learn from. To investigate this subject, E-GARCH model was used as a method to analyze the behavior of volatility of the index upon the releases of selected five unexpected macroeconomic indicator announcements by both the US and China. The findings suggest that CPI, GDP, IP, and BOT announcements released by the US were found to have the greatest influence on the volatility of Cambodia stock index. In comparison, the index reacted only to the announcements related to China’s IP, PMI, and BOT. The contrasting outcomes behavior could be explained by the two countries’ trading relationship with Cambodia, prior research, and issues surrounding the release of China’s macroeconomic announcement.
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ItemThe influence of family resource, family stress, money attitudes, self-control towards materialism: the case of generation Y in Bangkok MetropolitanNowadays, the population of generation Y most likely drives the consumer market. Hence scrutinizing their behavior’s consumer toward their money attitudes and materialism has become more critical. The researcher has ultimate purposes of determining and investigating the behavior of generation Y toward money attitudes, which in turn affect materialism. Research findings show that how family resources received during childhood, perceived stress from disruptive childhood and self-control are influencing the varied impact on Materialism and Money Attitude dimensions. This sample surveyed n=412 Thai Generation Y (1980-1997) in Bangkok Metropolis to examine whether family resources received during childhood, perceived stress from disruptive childhood, money attitudes and self-control affect Thai Generation Y Bangkok Metropolis’s life-course. This study founds perceived stress from disruptive childhood family have certain impacts on later-life of money attitudes. Money attitudes also affect to materialism as well as the current Self-Control behavior has significant effects on materialism.
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ItemManagement of the IPO performance in Thailand( 2013) Ekkachai Boonchuaymetta ; Wiparat ChuanrommaneeThis research aims to explore the relationships between six major IPO elements in Thailand: underwriter reputation, ownership concentration, book-building, IPO allocation, the length of the lock up period, and investor interest and underpricing. The sample comprises 153 IPOs listed between 2001 and 2011. Cross-sectional analysis reveals that IPO allocation appears to be the strongest factor with a negative relation to underpricing. The length of the lock up period, issue size, industry, and hot issue market show significant and positive relationships with underpricing. Underwriter reputation is not associated with underpricing as the choice of underwriter is restricted by the Thai regulator's requirements. Book-building does not explain underpricing. Institutional investors play very limited roles in Thai IPOs. A small change in ownership concentration does not affect underpricing. Nevertheless, a longer lock up period can yield a higher initial return. Such a provision can restrain insider dealing.
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ItemWarrant pricing model : an empirical study on the valuation models for warrants listed in Thailand(Assumption University, 2007) Ekkachai Boonchuaymetta ; Treerapot Kongtoranin ; Assumption University. Martin de Tours School of Management and EconomicsThis empirical study focwes on examining the relative performance between four wa"ant pric- ing models; Black-Scholes-Merton Model (BS), Galai and Schneller Model (GS), a Dilution Adjusted- BlacJc -Scholes Model (DA.BS), and Square-Root Constant Elasticity of Variance (SRCEV) of Beclrers. Over 8,000 daily wa"ant prices on 14 most actively traded wa"ants in Thailand are employed. We.find that among models, BS model provides the best accuracy. In terms of moneyness and maturity, BS model calculates accurately for out-of-the-money and short-term maturity, while the SRCEV model outperforms for in-the-money and long-term maturity. In terms of volatility, DABS, GS and SRCEV models are better than the BS model.