Market Segmentation And Foreign Price Premium In The Stock Exchange Of Thailand
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Author | : Luxvara Piamworrakaroon |
Publisher | : |
Total Pages | : 140 |
Release | : 2016 |
Genre | : Stock exchanges |
ISBN | : |
Download Market Segmentation and Foreign Price Premium in The Stock Exchange of Thailand Book in PDF, Epub and Kindle
Foreign share premium in Thai stock market has exhibited the downward trend during 2002 to 2014. This study attempts to explain this phenomenon by three hypotheses which are demand differential, information availability, and diversification benefit. The panel regression and cross-sectional regression are employed to account for variation of foreign share premium over time and across firms. The results of the study show that demand differential between foreign and domestic investors plays important role to explain foreign share premium. As foreign investors' demand for Thai stock is downward sloping, lower foreign room left relative to foreign ownership limit indicates higher foreign demand and higher foreign share premium for that stock. Moreover, foreign investors are likely to shift their investment from traditional foreign share on the Foreign Board to Non-Votiing Depository Receipt (NVDR) over time as it is a close substitute investment of domestic share for foreign investors. The existence of NVDR cause foreign investors' demand to become more elastic resulting in lower foreign share premium. Together with information availability hypothesis, foreign investors are interested to invest in larger firms and firms with more analyst coverages, via NVDR rather than foreign share on the Foreign Board, since they need not to concern about foreign ownership limit. Nevertheless, diversification benefit is the motive driven foreign investors to invest in domestic share on the Foreign Board. For any stock, if its return yields lower correlation with market portfolio return, it shows the higher diversification benefit and results in higher foreign share premium.
Author | : François-Serge Lhabitant |
Publisher | : John Wiley & Sons |
Total Pages | : 502 |
Release | : 2008-01-09 |
Genre | : Business & Economics |
ISBN | : 0470181699 |
Download Stock Market Liquidity Book in PDF, Epub and Kindle
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author | : Charlie Charoenwong |
Publisher | : |
Total Pages | : 37 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Price Movers on the Stock Exchange of Thailand Book in PDF, Epub and Kindle
This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty 2001). Our results support the hypothesis that informed traders on a pure limit order market such as the SET, where there are no market makers, are able to use larger sized trades than those employed by informed traders on U.S. markets.
Author | : Warren Bernard Bailey |
Publisher | : |
Total Pages | : 46 |
Release | : 1994 |
Genre | : Capital market |
ISBN | : |
Download Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market : Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 236 |
Release | : 2004 |
Genre | : Asia |
ISBN | : |
Download The Asia Pacific Journal of Economics & Business Book in PDF, Epub and Kindle
Author | : Stijn Claessens |
Publisher | : World Bank Publications |
Total Pages | : 31 |
Release | : 1993 |
Genre | : Flujo de capitales - Paises en desarrollo |
ISBN | : |
Download Equity Portfolio Investment in Developing Countries Book in PDF, Epub and Kindle
Author | : Nareerat Taechapiroontong |
Publisher | : |
Total Pages | : 38 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Trading Performance of Individual, Institutional, and Foreign Investors Book in PDF, Epub and Kindle
This paper examines whether domestic investors outperform foreign investors by using transaction data from Stock Exchange of Thailand during 1999 to 2004. We find that foreign investors, in general, trade at worse price than domestic investors who have more information advantage. However, foreign investors perform best when buying mid-cap and large size stocks during the bull market which may be due to more experience and better access to research. Individual investors tend to follow contrarian trading strategy which leads them to act as the liquidity provider to institutions. The intense of trade imbalance can predict future returns. The intense of individuals selling occurring at peak price influences future negative return. The intense buying of foreign and institutional investors is followed by price increases.
Author | : Liu, Lixian |
Publisher | : IGI Global |
Total Pages | : 380 |
Release | : 2014-01-31 |
Genre | : Business & Economics |
ISBN | : 1466650486 |
Download International Cross-Listing of Chinese Firms Book in PDF, Epub and Kindle
While many nations are still struggling from the global financial crisis and regaining their financial security, investors are considering alternative options for investing their money; and the secure financial sector is China appears as a viable option. International Cross-Listing of Chinese Firms examines the successful techniques and strategies that Chinese companies are using within their financial practices. It highlights the foreign-based multinational enterprise theories related to the major international stock markets. By providing the latest theories and research, this book will be beneficial for business practitioners, researchers, and managers interested in the relationship between cross-listing and firm valuation of Chinese firms.
Author | : |
Publisher | : |
Total Pages | : 132 |
Release | : 2009 |
Genre | : Capital market |
ISBN | : |
Download Foreign Ownership, Foreign Limit and the Speed of Price Adjustment in Thai Capital Market Book in PDF, Epub and Kindle
This thesis examines whether foreign investors have an information advantage to local investors. By assuming the source of lead-lag relation comes from the difference in the speed of price adjustment to information and information advantages, the paper tests whether stocks with higher foreign ownership adjust faster to new information. This hypothesis is motivated by the common believe that foreign investors are better informed than local investors. Moreover, the paper also examines whether the difference in levels of foreign ownership and foreign limit can be claimed as the causes of cross-autocorrelation in stock returns, which has been found in Thailand. Data is obtained from January 2001 to December 2008 from the Stock Exchange of Thailand. This research performs three different models; the vector autoregressive (VAR) model, asymmetric regression and Dimson beta regression. This paper controls for the firm size. VAR shows that returns of low foreign ownership stocks lead returns of high foreign ownership stocks and returns of high foreign limit stocks lead returns of low foreign limit stocks. It means foreign investors do not have an information advantage over locals and degrees of foreign limit can delay information diffusion. The asymmetric regression presents that there is no difference of stocks' response to good and bad market-wide news. While Dimson market beta model shows that the slow adjustment to returns on market as a proxy of market-wide information causes the lead-lag relation between high and low foreign ownership stocks but doesn't cause the lead-lag relation between high and low foreign limit stocks. Both of foreign ownership and foreign limit cannot solely be claimed as the causes of the cross-autocorrelation in stock returns found in Thailand.
Author | : Nattaphan Vuthicholthee |
Publisher | : |
Total Pages | : |
Release | : 1997 |
Genre | : |
ISBN | : |
Download Stock Market Winners Book in PDF, Epub and Kindle