Browsing by Author "Komain Jiranyakul"
Now showing items 1-3 of 3
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The foreign portfolio investment flows, stock prices and exchange rate before and after the global financial crisis : a comparative study between Korea and Thailand
; (National Institute of Development Administration, 2015)
The purpose of the present study is to investigate the behavior of foreign flows and their impacts on the stock market, especially on stock prices and exchange rate. This research investigates the results of two Asian countries, Thailand and Korea, separating the analysis into three periods: pre-global financial crisis, global financial crisis and post-global financial crisis. The daily data are used with a structural VAR model with three endogenous variables: stock returns, currency returns and foreign normalized net purchases ... -
Stock market bubbles, investment risk and the role of monetary policy in Thailand
; (National Institute of Development Administration. School of Development Economics., 2013)
The dividend discounted models with rational expectation under a perfect expectation model; CAPM, ICAPM and APT are used for the study. The results show that there are no bubbles in Thailand under Engle and Granger co-integration test and -
Time-varying systematic risk in the stock exchange of Thailand : Evidence from multivariate garch and kalman filter estimates
; (National Institute of Development Administration, 2015)
The purpose of this study was to use multivariate GARCH and the Kalman filter to estimate the time-varying systematic risk or beta. Much research has found that estimating systematic risk with a market model using the traditional regression approach violated classical assumptions regarding both the stationary assumption and independent identically distributed of the innovations. This study focuses on using various models of multivariate GARCH and the Kalman filter to improve this beta estimation. As the GARCH model is a popular model used ...