Browsing by Subject "Stock exchanges -- Thailand"
Now showing items 1-6 of 6
Asset pricing on Thailand & Malaysia stock exchange: on the use of macroeconomic and behavioral factors (National Institute of Development Administration, 2017);
This thesis tests five macroeconomic variables that have been both theorized to affect stock returns and been proven to do so in past empirical research. Those variables are risk premium, industrial production, term structure, expected inflation, and unexpected inflation. The variables are retested for their statistical significance using four years of monthly contemporary data using Thailand and Malaysia as two of the five ASEAN markets (Singapore, Thailand, Philippines, Malaysia, and Indonesia). Contrary to previous studies, this study finds ...
(National Institute of Development Administration, 1998);
(National Institute of Development Administration, 2006);
The influence of risk perception and proactive behavior on performance of firms in the stock exchange of Thailand : the moderating roles of organizational units and types of firms (National Institute of Development Administration, 2018);
Research on the role of risk perception and proactive behavior on firm performance has gained importance, but little is known about how the types of firm and different roles of managers might influence the outcomes of firm performance when they perceive risk and take proactive actions. This study aimed to investigate the effects of firms’ perceived risk on managers and their proactive behaviors and the effects of firm managers’ proactive actions on firm performance in terms of financial performance and risk management concepts. Using a questionnaire ...
(National Institute of Development Administration, 2011);
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 ...