Understanding The Liquidity Commonality In The Stock Exchange Of Thailand
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Understanding The Liquidity Commonality In The Stock Exchange Of Thailand
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Author : Porawat Tangpiyanan
language : en
Publisher:
Release Date : 2015
Understanding The Liquidity Commonality In The Stock Exchange Of Thailand written by Porawat Tangpiyanan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Stock exchanges categories.
This thesis examines liquidity commonality in the Stock Exchange of Thailand (SET) during 2003 to 2013 in respect of supply-side (funding liquidity of financial intermediaries) and demand-side (correlated trading of market participants) determinants of liquidity. Unique asymmetric pattern is found, where the commonality greater increases during large market rising than during large market declining period. The result shows more reliable evidence of demand-side hypothesis. Investor-types' trading activities affect differently to the commonality in liquidity of each stock-size. For instance, retail and foreign investor trading are found to create greater liquidity commonality during high volatility period, while proprietary trading has the opposite effect. On average, large-cap stocks have higher commonality in liquidity, but small-cap stocks have greater commonality risk from correlated trading activity of particular investor-type.
Liquidity Commonality Evidence From The Stock Exchange Of Thailand
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Author :
language : en
Publisher:
Release Date : 2006
Liquidity Commonality Evidence From The Stock Exchange Of Thailand written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Liquidity (Economics) categories.
The thesis provides empirical evidence on the liquidity commonality of the Stock Exchange of Thailand in an extended sample period and additional perspectives on the ownership concentration effect toward the liquidity commonality. Two main empirical results are found in this thesis. First, there is some evidence of the market and industry-wide commonality in liquidity for Thai stocks, but it is less significant and less pervasive than that in other markets. Second, the firm size and index inclusion tend to have an impact toward the liquidity commonality. Small firms tend to have greater sensitivity to the market liquidity in terms of spread measures while larger firms tend to have greater sensitivity to the market liquidity in terms of depth measures. Besides, non-index inclusion firms tend to have greater sensitivity to the market-wide liquidity in terms of spread measures while index inclusion firms tend to have greater sensitivity to the market liquidity in terms of depth measures. On the other hand, this study dose not find the impact of market condition and ownership concentration toward the liquidity commonality.
Commonality In Liquidity
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Author : Kuntara Pukthuanthong
language : en
Publisher:
Release Date : 2014
Commonality In Liquidity written by Kuntara Pukthuanthong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.
Stock Return Volatility Market Liquidity And Earning In The Stock Exchange Of Thailand
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Author : Worraport Kittikajonassawachot
language : en
Publisher:
Release Date : 2002
Stock Return Volatility Market Liquidity And Earning In The Stock Exchange Of Thailand written by Worraport Kittikajonassawachot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stock exchanges categories.
The Relationship Between Liquidity And Stock Returns
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Author : Pattanachai Sathidmangkang
language : en
Publisher:
Release Date : 2013
The Relationship Between Liquidity And Stock Returns written by Pattanachai Sathidmangkang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Understanding Global Liquidity
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Author : Sandra Eickmeier
language : en
Publisher:
Release Date : 2013
Understanding Global Liquidity written by Sandra Eickmeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with International finance categories.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Handbook Of Investors Behavior During Financial Crises
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Author : Fotini Economou
language : en
Publisher: Academic Press
Release Date : 2017-06-24
Handbook Of Investors Behavior During Financial Crises written by Fotini Economou and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-24 with Business & Economics categories.
The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies
Advances In Time Series Data Methods In Applied Economic Research
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Author : Nicholas Tsounis
language : en
Publisher: Springer
Release Date : 2018-12-12
Advances In Time Series Data Methods In Applied Economic Research written by Nicholas Tsounis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-12 with Business & Economics categories.
This conference proceedings volume presents advanced methods in time series estimation models that are applicable various areas of applied economic research such as international economics, macroeconomics, microeconomics, finance economics and agricultural economics. Featuring contributions presented at the 2018 International Conference on Applied Economics (ICOAE) held in Warsaw, Poland, this book presents contemporary research using applied econometric method for analysis as well as country specific studies with potential implications on economic policy. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually with economic policy interest. ICOAE is an annual conference started in 2008 with the aim to bring together economists from different fields of applied economic research in order to share methods and ideas. Approximately 150 papers are submitted each year from about 40 countries around the world. The goal of the conference and the enclosed papers is to allow for an exchange of experiences with different applied econometric methods and to promote joint initiatives among well-established economic fields such as finance, agricultural economics, health economics, education economics, international trade theory and management and marketing strategies. Featuring global contributions, this book will be of interest to researchers, academics, professionals and policy makers in the field of applied economics and econometrics.
Limit Order Book As A Market For Liquidity
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2001
Limit Order Book As A Market For Liquidity written by Thierry Foucault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Liquidity (Economics) categories.
