Browsing by Author "Yaowaluk Techarongrojwong"
Results Per Page
Sort Options
-
ItemAgricultural commodity futures and stock market: evidence from RSS3 Futures in Thailand(Assumption University Press, 2017) Yaowaluk Techarongrojwong ; Pathathai Sinliamthong ; Rattana WaranyasathitThis 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 investors in Thailand, especially stock investors, should consider adding RSS3 Futures in their optimal portfolio because it clearly shows that RSS3 Futures can help in diversifying the risk, especially during the periods of stock market downturn.
-
ItemThe comparison of pricing performances between cost of carry model and imperfect market model(Assumption University, 2008) Yaowaluk Techarongrojwong ; Assumption University. Martin de Tours School of Management and EconomicsChoosing the right pricing approach is the key to deriving the true derivatives prices. This paper aims to compare the pricing performance of the cost of carry model and the imperfect market model in pricing the SET 50 index futures prices. This study replicates the study of Wang (2007) that compares the futures pricing performances of the cost of carry model and the imperfect market model in the Stock Exchanges of Japan, Hong Kong, Korea, and Taiwan. By using the mean percent- age errors and the mean absolute percentage errors as criteria in measuring the pricing perfor- mances of two models, the empirical results indicate that the highly impeifect financial market like SET 50 index futures market is relatively mispriced based on the model of perfect market assump- tion, suggesting that the suitable approach in pricing the SET 50 index futures is the imperfect market model. Relying on the perfect market assumption evidences an enormous misprice especially when the calculation is based on the calendar days. Therefore practitioners should identify the ap- propriate pricing method before estimating the theoretical prices of stock index futures.
-
Item
-
Item
-
ItemLong term behavior of stock return and the U.S. quantitative announcement : evidence in Thailand(Assumption University, 2012) Yaowaluk Techarongrojwong ; Witsaroot Pariyaprasert, jt. auth. ; Assumption University. Martin de Tours School of Management and EconomicsThis study examines the impact of the U.S. Quantitative Easing announcement on the stock market in Thailand. Many previous studies examine the effect of U.S. monetary policy announcement on the stock market in the other countries with a narrowly examined period. This study focuses on the long term behavior of the stock return in Thailand, so the examined period (event window) is expanded to Day -10 through Day 30. Two Quantitative Easing announcements are examined with 309 firm-announcement observations for the an- nouncement on November 25, 2008 and 344 firm-announcement observations for the announcement on No- vember 3, 2010. The U.S. Quantitative Easing announcements provide the negative effects on the Thai stock return on the announcement date. The stock return in Thailand negatively responds to the announcement one day before the announcement and becomes positive value within one week. In addition, there is the evidence oflearning curve in the stock market in Thailand.
-
Item