Browsing by Subject "Stock market"
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ItemDeterminants of the stock market index in Pakistan - a case study of the Karachi Stock Exchange index (KSE 100) from 2000 to 2014This paper explores the causal links between nine fundamental variables and stock prices in Pakistan’s Karachi Stock Exchange index – KSE 100. It contributes significantly to the study of the stock exchange performance in Pakistan since the findings of prior studies were mostly divergent. Monthly data from January 2000 to April 2014 are used to analyze the impacts of the Industrial Production Index, the money supply, the Pak-US interest rate differential, the real effective exchange rate, the balance of trade, the expected inflation, the government debt to GDP, the inflow of portfolio investment, and the earning yield on the KSE 100 Index. Multiple regression analysis and Granger Causality tests under VAR are employed for this purpose. The findings of this study have identified the Pakistan-US interest rate differential, the real effective exchange rate, the balance of trade, the expected inflation, the government debt to GDP, and the earning yield as significant predictors of the stock index. The KSE 100 Index is found to be a leading indicator for the M2 money supply growth in Pakistan. The results of this study imply that policy makers play a crucial role in Pakistan’s stock market through the manipulation of fundamental variables.
ItemThe firm's characteristics, corporate governance and dividend payment : evidence from nonfinancial firms listed in Thailand during 2001 to 2010(Assumption University, 2013) Chanasit Thanathawee ; Assumption University. Martin de Tours School of Management and EconomicsStudies conducted in developed countries have dominated the literature on the detenninants of dividend payment. Nonetheless, there is much variation in corporate governance between developed and developing countries. The primary objective of this study is to explore the effect of firm characteristics and corporate governance factors on dividend payment in Thailand. The conceptual model in this study integrates important elements which affect the dividend payment, testing firms listed on the Stock Ex- change of Thailand (SET) between 2001 and 20 I 0, using 1,525 observations. Results indicate that there are four independent variables which influence dividend payment, consisting of three firm characteristics variables and one corporate governance variable. The results of this study provide benefits to two main parties, the investors and the management involved in the payment of dividends in the company. Basi- cally, investors would be able to select stocks which meet their criteria if they know the factors which influence dividend payment. Moreover, the management teams can attract value stock investors by maintaining the factors influencing high dividend payment
ItemThe relationships of financial assets in financial markets during recovery period and financial crisis : evidence from Thailand(Assumption University, 2013) Atinuch Kusolpalalert ; Assumption University. Martin de Tours School of Management and EconomicsThe aim of this paper is to examine the long run relationship between SET index, gold price, 1- year, 2-year, and 10-year Government Bond Yield (GB), and 1-month and 3-month T-bill rate in Thai's financial market for the period between March 2001-December 2010 using Johansen method and to study their short-run adjustment through the Vector Error Correction Model (VECM) in order to find the speed of adjustment towards long run equilibrium. Moreover, this paper also tests the impact on each variable resulting from the changes in other variables by using Impulse Response Function and Variance Decomposition Test. Results found that during economic recovery period, SET index has positive rela- tionship with gold price, 2-year GB yield, and 3-month T-bill rate. Meanwhile, during economic crisis, SET index has a positive relationship with gold price, 1-year, 10-year GB yields, and 3-month T-bill rate. The Vector Error Correction model indicated that in the recovery period SET index rapidly adjust itself back to equilibrium after deviating from long run path, while during crisis period 1-year GB yield is the fastest in adjusting back to long run equilibrium. Moreover, the Impulse Response Function presented that SET index is significantly affected by the shock of itself which is consistent with the Variance Decomposition Test which indicates that the variation of SET index is mainly due to the change ofitself during the recovery period; while during crisis, SET index has a positive response to the shock of itself. Variance Decomposition Test reported that 98.95% of variation of SET index can be explained by its own changes.