Browsing by Author "Nopphon Tangjitprom"
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    Abnormal return on stock split-revisiting the evidence of Thailand during 2009-2018
    (Assumption University Press, 2020) Sedthaporn Tosiriwatanapong ; Thananporn Sethjinda ; Nopphon Tangjitprom
    An abnormal return on the stock split is one of the most prominent debates in the finance industry. Positive signaling and optimal trading range hypotheses are underlying principles that are commonly used to describe a positive market reaction to the stocksplit. This research paper focuses specifically on the market’s reactions by the announcement date of the stock split, applying firm size and price range to explore insightful connections. The samples are listed companies in the Stock Exchange of Thailand(MAI excluded) with a stock split from January 1, 2009, to December 31, 2018, aiming to capture data in all economic cycles. To examine positive abnormal returns around announcement date, the event-study-methodology is applied. The study indicates that average abnormal return (AAR) and cumulative average abnormal return (CAAR) are significantly positive during the announcement. Applying firm size in the study, the market tends to react more positively to small-size firms, likewise, low-price. The pieces ofevidence indicated that stocks responded more positively by reason of consciously or subconsciously anticipation to post-splits. The investors are able to apply the rationales and logic behind this corporate action to distinguish between fundamental changes and expectations for their investment decisions in financial markets.
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    Bank Stock Return Sensitivity to Interest Rate Changes in Thailand
    ( 2015-01) Sirikarn Jeanchutima ; Nopphon Tangjitprom
    Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the commercial bank stock returns. Interest rate is the cost and return of money in financial market since commercial bank acts as major financial intermediary; therefore, interest rate is still the majority of its cost and return. In Thai stock market shows different result, the changing in interest rate reflects slightly on the change in stock returns. After taking a close look, the conclusion can be drawn from outcomes the bigger size of the bank experience the larger effect. Thus, bank size is not a real moderator affect the relationship, the trading volume of the bank is the real relevant factor. Consequently, the theory can be hold only if the market participants trade all bank stock equally.
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    Does real estate fund in Thailand provide diversification benefits for stock investment?
    (Assumption University, 2016) Nopphon Tangjitprom ; Preechaya Chavalittumrong ; Veeranuch Leelalai ; Assumption University. Martin de Tours School of Management and Economics
    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 or safe haven from real estate funds in Thailand. However, the average beta of real estate funds is relatively low and the risk-return performance of real estate funds remains attractive to be included in the portfolio.
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    The impact of single stock futures on spot price volatility of underlying stock in the stock exchange of Thailand during 2006-2012
    (Assumption University Press, 2020) Arada Muntanaveerakul ; Nopphon Tangjitprom ; Thananun Siwamogsatham
    The impact of the Stock Futures Trading to spot market has been considered by many countries all around the world. The debate on whether Stock Futures destabilizes or stabilizes the spot market has been well established in the developed market and emerging market on the Stock Index level. This research aims to examine the impact of the introduction of the Single Stock Futures on the volatility of the underlying equity in the Stock Exchange of Thailand from year 2006 to 2012, using the GARCH model. Based on (GARCH 1,1) model analysis, this study showed the introduction of Single Stock Futures stabilized the spot market volatility in Thailand. The coefficient γ of all 11 stocks shows a statistically significant level. Additionally, the SET Index was included and set up another model to test as another factor that causes volatility and found post-futures period volatility in the spot market decreased after an introduction of Single Stock Futures trading. In conclusion, the introduction of Single Stock Futures trading decreases the spot price volatility in the market. By considering (SET) as market factors, the results also found most Single Stock Futures trading also decreases the spot price volatility.
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    Market Timing with GEYR in Emerging Stock Market: The Evidence from Stock Exchange of Thailand
    ( 2012) Nopphon Tangjitprom
    This paper aims to examine whether the market timing strategy with Gilt-Equity Yield Ratio or GEYR can create abnormal returns in Thai Stock market. The trading rules using GEYR are established and switching strategies between bonds and equities are implemented. The out-of-sample profitability of these switching strategies compared with the simple buy-and-hold strategy. The result shows that switching strategies using GEYR can provide higher return but lower risk than buy-and-hold equity portfolio, even after the transactions costs are considered. Although these switching strategies cannot be fully utilized in some types of funds because there are some restrictions under investment policies, the result reveals that switching portfolios can still be more efficient than buy-and-hold portfolios.
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    Over-investment and Free Cash Flow: Evidence from Thailand
    ( 2015-04) Nopphon Tangjitprom
    This paper examines whether there is a relation between over-investment and free cash flow. In perfect capital market, it is expected that investment decision should not be influenced by the level of cash flow. However, the free cash flow hypothesis predicts that firms with higher free cash flow will be vulnerable to the agency problem like over-investment. Using the data from listed firms in the Stock Exchange of Thailand during 2001-2013, the result indicates that there is a positive relation between over-investment and free cash flow. Therefore, this evidence supports the free cash flow hypothesis and it implies that corporate governance mechanism is required to mitigate the agency cost of free cash flow.
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    The over-reaction effect in the stock exchange of Thailand: an exmpirical study
    ( 2019) Nitis Pokavattana ; Thananporn Sethjinda ; Nopphon Tangjitprom
    One of the main cornerstones of traditional financial theory is the Efficient Market Hypothesis (EMH). However, several violations of EMH have been discovered to the contrary of explanation provided by traditional financial theory. One of the key discoveries was the over-reaction effect of investors to recent information over base-rate data by De Bondt and Thaler (1985), which has been further studied in many different markets. Inspired by the work of De Bondt and Thaler (1985), this study investigated the over-reaction effect in the Stock Exchange of Thailand during 2012–2017 and the total return to investors based on the contrarian trading strategy by tracking performance of past losers and winners portfolio. In terms of method of analysis, this study tracked the total return index of stocks listed in the Stock Exchange of Thailand tracked during 2012–2014 to identify top 20% winners and bottom 20% losers. Equal weighted portfolios of winners and loser portfolios were formed with Cumulative Average Returns (CARs) tracked during 2015-2017 for comparison of performance. Mean difference and t-test were performed to test statistical significance. The results show that loser portfolios outperformed winner portfolios by 35.48%, 31.77%, and 55.87% at 1 year, 2 years, and 3 years after ranking, respectively. The differences between the returns generated by loser and winner portfolio were statistically significant from the 27th month onward. This study provides supporting evidence for the over-reaction effect in the Stock Exchange of Thailand during the study period. Results of portfolio tracking suggest that over-reaction of investors in the Stock Exchange of Thailand may present an opportunity for “contrarian trading strategies” over a medium term holding period. In other words, contrarian investors could benefit from tracking performance of underpriced stocks, for which the market has underestimated earning potential and business prospects and avoiding position in overpriced “hot” stocks, for which the market has overreacted to positive news, resulting in overpricing.
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    Propensity to pay dividends and catering incentives in Thailand
    ( 2013) Nopphon Tangjitprom
    The paper aims to measure the investors' demand for dividends in Thailand and examine whether the demand for dividends could link to the firms' decisions to pay dividends. The positive dividend premiums show that investors in Thailand having the preference towards dividend, even though the dividend incomes could be taxed more heavily than capital gain in Thailand. After controlling the effect of 1997 Asian Crisis, there is the evidence to support the catering theory of dividends.
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    The Review of Macroeconomic Factors and Stock Returns
    ( 2012) Nopphon Tangjitprom
    This paper aims to review a number of studies on macroeconomic factors and stock returns. All of the macroeconomic variables are classified into four groups: variables reflecting general economic conditions, variables related to interest rate and monetary policy, variables concerning price level, and variables concerning international activities. Furthermore, various studies on macroeconomics factors and stock returns have employed different methodologies based on their purposes and interpretations. Although the results are mixed, most studies have shown evidence that there are significant relationships between macroeconomic variables and stock returns.
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