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dc.contributor.advisorKomain Jiranyakul
dc.contributor.authorNathapong Rujiravanich
dc.date.accessioned2017-06-10T04:59:27Z
dc.date.available2017-06-10T04:59:27Z
dc.date.issued2015
dc.identifierb187652th
dc.identifier.urihttp://repository.nida.ac.th/handle/662723737/3425
dc.descriptionDissertation (Ph.D. (Economics))--National Institute of Development Administration, 2015.th
dc.description.abstractThe 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 with exogenous global returns. The results reveal positive feedback for trading behavior with respect to local stock returns in both Thailand and Korea before the crisis, but insignificant behavior during the crisis and post-crisis periods. Local currency depreciation lowers stock prices in terms of foreign currency and promotes net purchases of foreign investors. An increase in global returns promotes net purchases of foreign investors into the local stock markets during all periods. Therefore, based on these results, it can be concluded that the positive feedback trading behavior with respect to local stock returns and currency returns does not exist during the crisis period. Foreign investors will consider only global returns in all periods.th
dc.description.abstractThe results reveal the positive correlation between foreign net purchases and stock returns. In addition, the predictable and unpredictable component of foreign net flows appears to be a significant driver of local stock returns. The increase in foreign net purchase revalues local currency because the foreign demand for local stock should lead to an appreciation in local currency. Moreover, the results show that foreign net purchases lead to a change in stock prices volatility and exchange rate volatility. In addition, the behavior of both local institutes and investors is to trade against foreign investors, a negative feedback trading behavior with respect to local stock returns. The results of the comparison between the Thai stock market and Korean stock market demonstrate stronger impacts of foreign flows and market capitalization on the Thai market, which is a relatively smaller economy than on the Korean market.th
dc.description.abstractIn addition, the variance decomposition results show that currency returns have the most impact on foreign net purchases when compared with stock returns and global returns. Thus, currency returns were the most important factor for foreign investment decision making during the sample periods in both Thailand and Korea. Therefore, the policies to control the fluctuation in exchange rate will also help reduce the fluctuation in stock market. Policy implication of exchange rate stabilization may be an appropriate choice to prevent the fluctuation in the exchange rate and stock market.th
dc.description.abstractThe results of this research demonstrate the behavior of foreign flows such as market returns, currency returns and global returns. These factors can be employed as leading indicators for foreign investors’ decision of inflows and outflows, which can be very useful for tendency prediction of foreign flows in the future. Moreover, these results of the impacts of foreign flows on stock markets can provide useful information for analysis and recommendations for trading decisions in order to gain the greatest benefits from foreign buying as well as avoid the negative impacts of foreign selling as well.th
dc.format.extent143 leaves.th
dc.format.mimetypeapplication/pdfth
dc.language.isoength
dc.publisherNational Institute of Development Administrationth
dc.rightsผลงานนี้เผยแพร่ภายใต้ลิขสิทธิ์ของสถาบันบัณฑิตพัฒนบริหารศาสตร์th
dc.subject.otherInvestments, Foreign -- Mathematical models.th
dc.subject.otherPortfolio management -- Mathematical models.th
dc.subject.otherDeveloping countries -- Economic policy.th
dc.subject.otherPortfolio management -- Thailand.th
dc.titleThe foreign portfolio investment flows, stock prices and exchange rate before and after the global financial crisis : a comparative study between Korea and Thailanden
dc.typeTextth
dc.rights.holderNational Institute of Development Administrationth
mods.genreDissertationen
mods.physicalLocationสถาบันบัณฑิตพัฒนบริหารศาสตร์. สำนักบรรณสารการพัฒนาth
thesis.degree.nameDoctor of Philosophyen
thesis.degree.levelDoctoralth
thesis.degree.disciplineEconomics
thesis.degree.grantorNational Institute of Development Administration
thesis.degree.departmentคณะพัฒนาการเศรษฐกิจth


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