Browsing by Author "Yaowaluk Techarongrojwong"
Yaowaluk Techarongrojwong; Pathathai Sinliamthong; Rattana Waranyasathit (Assumption University Press, 2017)
This 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 ...
Effects of diversification on risk and return : an empirical study of securities in Thailand during the period of 1996 to 2001 Yaowaluk Techarongrojwong (Assumption University, 2002)
Yaowaluk Techarongrojwong; Witsaroot Pariyapraser, jt. auth. (Assumption University, 2012)
This 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 ...
Yaowaluk Techarongrojwong (Assumption University, 2008)
Choosing 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 ...