Browsing by Author "Witsaroot Pariyaprasert"
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    Corporate Ownership and Performance: A Study of Vietnamese Listed Companies in the Construction and Construction Material Sectors during 2011 - 2014
    ( 2016-06) Tuyen, Do Ngoc ; Witsaroot Pariyaprasert
    This study aims to investigate the effect of corporate ownership on the corporate performance of listed companies in the construction and construction material sectors in Vietnam during the period 2011 to 2014. Four ownership structures are addressed: concentrated ownership, foreign ownership, insider ownership, and institutional ownership. Corporate performance is measured by the following indicators: return on assets (ROA), return on equity (ROE), Tobin’s Q, and company’s market-to-book value (MBV). The annual data of 73 listed companies in the construction and construction material sector are used. The total number of observations is 292. Regression analysis with fixed effect model is performed. The results show that concentrated and institutional ownership have a significant relationship with corporate performance at 10% significance level. Foreign ownership is found to have a negative significant impact on corporate performance at 1% significance level. In addition, insider ownership has no significant effect on corporate performance. This study provides insights on how companies can achieve a better performance level. Future studies can collect data with a larger number of companies or in other sectors. Further studies on this topic could also be conducted using another time frame.
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    The 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 Boonchuaymetta
    This 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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    The impact of political events and Covid-19 pandemic on return volatilities of 3 sectors in the stock exchange of Thailand during 2019 to 2021
    (Bangkok : Assumption University Press, 2021) Samitanan Dumdoung ; Witsaroot Pariyaprasert ; Nawaporn Vimolphattanatham
    The objective of this paper is to study the impact of political events and Covid-19 pandemic on return volatilities of the sectorial stock market in Thailand. The researcher specifically used ARMA model for main equation and one EGARCH model for the volatility equation. This model is applied to the daily returns relevant to three selected sector indexes of stock exchange of Thailand from 25 March 2019 to 24 March 2021. To test the effect of political events and Covid-19 on banking sectors, consumer product sectors, and service sectors indexes stock market return volatility. The results show that both political events and Covid-19 pandemic have significantly affected on return volatility of the selected sector indexes. However, the return volatilities of Service sector are not affected by Covid-19 pandemic. Results show that political events and Covid-19 pandemic significant effect on return volatility of Bank sector index continuously 3 days of the delay effects of the situations. In addition, violent protest and Thai general election have positive impact on return volatility. It refers that the stock was more volatized. The volatility of the sectorial index of consumer product was affected by Covid-19 pandemic. In part of political events, student’s protest has affected continuously 3 days. And other political events have significant effect on second and third day after the situation. Meanwhile, all of situations have negative impact, except student’s protest. Furthermore, results confirm that main three political events and Covid-19 pandemic have stronger effect on return volatility of selected sector index stock market in Thailand.
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    Impact of the Exchange Rate Movement to Individual Stock Return Volatility: A Case Study of the Property Sector in Thailand
    ( 2016-06) Booranij Kijjanukij ; Witsaroot Pariyaprasert ; Panjamaporn Sethjinda
    As professional investors attempt to understand volatility of the stocks in portfolio risk management, exchange rate is considered as one of the most important economic indicators that can significantly impact on the portfolio risk exposure by several reasons. Therefore, this study investigates the effect of major exchange rate volatilities including THB/USD, THB/EUR, and THB/JPY on single stock return fluctuations with a case study of top 10 most value traded stocks in property sector listed in the Stock Exchange of Thailand. These were examined from the year 2012 to 2014 in daily basis. In order to fulfill each of examined regressions, ARMA model is applied as the mean equation to estimate conditional volatility by GARCH typed models. Interestingly, the regression result shows that 80% of stocks return volatilities have been significantly affected by THB/USD currency fluctuation with negative correlation. In contrast, 40% and 50% of the samples have been positively influenced by the volatilities of THB/EUR and THB/JPY exchange rates respectively excepting the relationship between the volatilities of THB/EUR exchange rate and RML stock return fluctuation which is found negative.
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    The Impact of the Macroeconomic Factors and Their Unexpected Values on the Energy Sector Return Volatility: A Case study of Stock Exchange of Thailand during the Period of 2005 to 2015
    ( 2016-06) Sunchai Werawatthana ; Witsaroot Pariyaprasert
    The purpose of this paper is to examine the effect of the macroeconomic factors and their unexpected values on the Energy sector return volatility in the Stock Exchange of Thailand during period 2005 to 2015. The method is separated in two cases. The first case is to study the impact of macroeconomic variables on the Energy sector return volatility which the macroeconomic factors consist of; agriculture producer price index, consumer price index, current account, employment, exchange rate, industrial production index, interest rate, money supply (M2), oil price, producer price index, rubber producer price index, and trade balance. The second case is to study the impact of unexpected macroeconomic values on the Energy sector return volatility which the unexpected macroeconomic are derived from the residual of the regression model and the volatility of Energy sector return is calculated by using Exponential General Autoregressive Conditional Heteroskedastic (E-GARCH) model. From the empirical results show the unexpected employment has the positive relationship with the Energy sector return volatility. The unexpected interest rate and the unexpected trade balance have the negative relationship with the Energy sector return volatility.
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    Internal Factors Determining the Leverage of Non-financial Companies in Vietnam
    ( 2016-06) Duc, Le Quang ; Witsaroot Pariyaprasert
    Vietnam is a developing country and currently providing huge opportunities for foreign investors who can understand the market. After joining World Trade Organization, Vietnam is following the commitment by gradually opening up the previous restricted industries and sectors. The Vietnam economy is expected to have a boom on new opening up business in 2016 due to the allowance of foreign ownership up to 100% (before was 49% maximum). The objective of this research is to study the internal factors that will affect leverage of the non-financial companies in Vietnam. According to previous studies, the selected variables used to test the relationship with leverage are dividend payout ratio, profitability, size, liquidity, return on equity, growth, working capital, market to book ratio and total tangible asset. The annual data of 116 non-financial companies with 580 observations was collected from 2010-2014. The relationship between leverage of Vietnam companies with mentioned internal factors will be tested by panel regression analysis with fixed effect model. The results showed that there are four factors that have significant relationship with leverage, including: return on equity (positive relationship at 1% significant level), company’s size (positive relationship at 1% significant level), working capital (negative relationship at 1% significant level), and profitability (negative relationship at 10% significant level). Other factors have no significant effect on the leverage of Vietnam companies. This study enables investors to have deeper understanding about capital structure of companies in Vietnam.
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    The long run impact of major exchange rate return volatility on sectoral stock market return volatility: a case study of financial sectors in Thailand
    (Bangkok : Assumption University Press, 2021) Thwe, Khine Myat ; Witsaroot Pariyaprasert ; Nawaporn Vimolphattanatham
    The main objective of the study is to investigate the impact of return volatilities of major exchange rates on sectoral stock market return volatilities in Thailand. This study used daily time-series data from January 2018 to January 2021. In addition, the study applied the Autoregressive integrated moving average model (ARMA), the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH), the Threshold Autoregressive Conditional Heteroscedasticity (TARCH), and Granger Causality analysis to measure the long-run effect of the volatilities of exchange rates to sectorial stock market indexes. The result of this study shows that the volatility of US Dollar exchange rate has strongly affected on the volatility of the banking sector index. The volatilities of EURO, Japanese Yen have a significant impact on the volatility of the Finance & Securities sector. The Insurance sector receives only impact from US dollar exchange rate volatility. Overall, most of the return volatilities of exchange rates have significant effects to Thailand’s financial sectors stock market indexes, and those exchange rate volatilities should be concerned when investors make their investment decisions.
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    The Long Run Relationship between the Value of Chinese Yuan and Stock Market Return in Five Countries of the Association of Southeast Asian Nations From 2005-2013
    ( 2015) Tian Wang ; Witsaroot Pariyaprasert
    The research analyzes the long run relationship between the value of Chinese Yuan and stock market return in five countries of the Association of Southeast Asian Nations (Indonesia, Malaysia, the Philippines, Singapore and Thailand) from 2005-2013 by using daily data. The conditional work measured by Granger causality model. The value of Chinese Yuan under five selected countries were used as dependent variables. While the stock market index and trading volume of stock market were used as independent variables. The results show the evidence that the stock market indexes granger cause the exchanges rate between China and selected countries which refers to a positive long-run relationship between the value of Chinese Yuan and stock market return in five countries of the Association of Southeast Asian Nations.
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    Long-term price linkages of the Top Ten RMFS and LTFS with the SET Index: a case of unidirectional granger causality relationship
    (Assumption University Press, 2015) Parnward Banternghansa ; Witsaroot Pariyaprasert
    The main objective of this research is to examine the response of the top 10 Retirement Mutual Funds (RMFs) and Long-term Equity Funds (LTFs) ranked by Morningstar Thailand on the percentage change in the Stock Exchange of Thailand's Index (SET Index) during the period from January 2011 to May 2014. To examine, Granger causality test is performed to verify the existence of the unidirectional causality relationship. The researcher found that return of SET Index Granger caused 5 out of Top 10 RMFs and 2 out of Top 10 LTFs. These findings will help investors to make decision on which funds to invest that best serve their preferences. However, the limitation to this study is that it does not indicate whether the change of one variable has negatively or positively affected the other variable. In any case, the practical implication for investors is for them to observe the changes of SET Index to study the movements of Net Asset Value (NAV) of mutual funds, which they could later apply and formulate their own strategies such that their portfolios are of similar composition to their preferable RMFs and LTFs portfolios to generate returns of their own.
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