Thai Stock Research Articles

The Influence of Personality Traits on Stock Investment Retention: Insights from Thai Investors

Understanding the psychological factors that influence investment decisions is crucial for predicting stock investment retention. This study investigates the mediating role of the Big Five personality traits in stock investment retention, utilizing a modified version of the theory of planned behavior. By examining the influence of investors’ perceived risk and attitudes toward stock investment, data collected via an online survey with The Association of Thai Securities Companies (ASCO) were analyzed using Structural Equation Modeling (SEM). The findings reveal that extraversion, openness, and conscientiousness significantly impact attitudes toward stock investing, which in turn affects investment retention. However, personality traits do not directly influence risk perception. This research provides unique empirical evidence of the independence between the Big Five personality traits and risk perception among Thai stock investors, underscoring the importance of personality in shaping investment behavior through its effect on attitudes.

Unveiling the influence of ESG disclosures on corporate profitability: Insights from Thailand’s publicly listed companies

This study investigates the influence of Environmental, Social, and Governance Disclosures (ESGD) on the profitability of firms, using a sample of 385 publicly listed companies on the Thai Stock Exchange. Data from 2018 to 2022 is sourced from the Bloomberg database, focusing on ESGD scores as indicators of companies’ ESG commitments. The study utilizes a structural equation model to examine the relationships between independent variables; ESGD, Earnings Per Share (EPS), Debt to Assets ratio (DA), Return on Investment Capital (ROIC), Total Assets (TA), and dependent variables Tobin’s Q (TBQ) and Return on Assets (ROA). The analysis reveals a positive relationship between ESGD and TBQ, but not with ROA. Further exploration is conducted to determine if different ESGD levels (high, medium, low) yield consistent effects on TBQ. The findings indicate discrepancies: high and medium ESGD levels are associated with a negative impact on TBQ when EPS increased, whereas low ESGD levels correlate with an increase in TBQ with rising EPS. This nuanced approach challenges the conventional uniform treatment of ESGD in previous research and provides a deeper understanding of how varying commitments to ESG practices affect a firm’s market valuation and profitability. These insights are crucial for firm management, highlighting the importance of ESGD in relation to other financial variables and their effects on market value. This study offers a new perspective on ESGD’s impact, emphasizing the need for differentiated strategies based on ESG commitment levels.

Analisis Integrasi Dinamis Pasar Modal Indonesia terhadap Pasar Modal ASEAN Pasca Berlakunya Masyarakat Ekonomi ASEAN

This research intends to understand the dynamic integration of the Indonesian capital market with the ASEAN Capital Market before and after the implementation of the MEA (ASEAN Economic Community) or AEC. The sample used in this observation is a series of data collected in the period January 2011 to December 2015 before the MEA was implemented and January 2016 to December 2022 after the MEA was implemented, while the capital markets studied were the Indonesian Stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange Singapore, Philippine Stock Exchange and Thai Stock Exchange. This research analyzes the dynamic integration of the Indonesian capital market towards ASEAN after the implementation of the MEA using the Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH) method which can manifest the level of integration in a measurable way. The results of this research are that there is co-movement among the ASEAN capital markets studied, however, not all ASEAN capital markets are fully integrated. The results of this observation also found that the Indonesian Stock Exchange, Kuala Lumpur Stock Exchange, Thailand Stock Exchange and Singapore Stock Exchange were integrated but the Philippine Stock Exchange was not. The Philippine Stock Exchange tends to be segmented rather than integrated.

Leveraging Generative Pre-trained Transformers for the Integration of Environmental, Social, and Governance Considerations into Investment Management for Thai Stock

Leveraging Generative Pre-trained Transformers for the Integration of Environmental, Social, and Governance Considerations into Investment Management for Thai Stock

Development of ESG Factors for Enhancing Factor Model in the Thai Stock Market

Development of ESG Factors for Enhancing Factor Model in the Thai Stock Market

Corporate governance, policies, and outcomes: The appointment of military connected boards and sustainability

AbstractThis paper explores whether a military connected board is an effective corporate governance mechanism, leading to sustainable corporate policies and outcomes. Appointing military‐experienced directors could be a firm's good and ethical business strategy if it positively influences firms' decision making process and eventually outcomes. Relying on over 6800 firm‐year observations over the period of 2000–2018 in the Thai stock market, we find military connected boards mis‐utilize firms' resources, representing a weakening governance mechanism―in line with agency cost theory. Specifically, firms with military officials on their boards are highly levered, keep low cash reserves, pay low dividends, but underinvest, and historically underperformed. However, we find a positive relationship between military connected boards and firm value, measured by Tobin's Q, representing potential future growth and supporting resource dependency hypothesis. Although backward‐looking analyses point toward irresponsible and unsustainable corporate policies which ultimately destroy corporate outcomes, forward‐looking evidence sees a good use of military connected board members in bidding on the government's projects.

The Mediating Effect of Profitability on the Relationship Between Working Capital Management and Sustainable Growth

Abstract This study investigates the relationship between working capital management and sustainable growth, taking into account the mediating role of profitability. The study uses a sample of non-financial companies that were listed on the Thai Stock Exchange between 2010 and 2020. This study documents the absence of direct relationship between working capital management and sustainable growth using fixed effects regression models. Nonetheless, it is found that profitability appears to be a mediating factor in this relationship. Companies can attempt to minimize their cash conversion cycle to enhance their profitability, which will further help them raise their sustainable growth. Furthermore, companies with higher operating cash flows and those with lower financial debt are able to achieve higher profitability and sustainable growth. Remarkably, this study shows that large companies are more profitable and have higher sustainable growth than smaller ones.

Stock Movement Prediction Using Machine Learning Based on Technical Indicators and Google Trend Searches in Thailand

Machine learning for stock market prediction has recently been popular for identifying stock selection strategies and providing market insights. In this study, we adopted machine learning algorithms to analyze technical indicators, and Google Trends search terms based on the Thai stock market. This study uses three datasets, which are technical indicators, Google Trends search terms, and a combination of the two. The objectives were to study and identify the factors in stock selection, develop and evaluate portfolio selection models using keyword proxies from the three datasets mentioned, and compare the performance of the selected algorithms. In the prediction process, we discovered that the combination of technical indicators and Google Trends search terms while applying Logistic Regression, Random Forest, and Extreme Gradient Boosting (XGBoost) exhibited the highest ROC curves. For success prediction rate and annualized return, Random Forest and XGBoost were almost similar but still different. While XGBoost performs well during a period of market critical conditions (COVID-19), Random Forest performs marginally better than XGBoost during normal market conditions in terms of average success rate.

Factors Impact Investor Decision to Hospitality & Tourism Transaction in SET50 Index Stock Market in Thailand

In early 2020, the outbreak of new coronavirus did not reverse the trend of global spread until May 2021, and even the 
 situation in some countries was worse than that in 2020 which is a comprehensive challenge to human health, economic growth, 
 social development, national security and international relations. 
 Under the premise of a poor global economic environment, it is important for tourism practitioners and investors to make the right 
 decision and make a profit in the Thai stock ticket market SET50.On the basis of previous studies on Thai stock market and Thai 
 Investors’ financial behavior, this paper draws on previous research results.
 For investors, when monetary policy is introduced, they can refer to this study to modify their investment analysis. It also has a 
 certain reference value for hospitality and tourists.

Thai Stock News Classification based on Price Changes and Sentiments

Thai Stock News Classification based on Price Changes and Sentiments

A matter of others' money: How cash holdings of other firms affect a firm’s cash holding?

PurposeThis study examines the effects of comparable companies, within the same industry, on cash-holding (CH) levels of a specific firm in the Stock Exchange of Thailand (SET). Peer effects are hypothesized to affect a firm's average CH levels.Design/methodology/approachThe authors use data of listed firms in the Thai stock markets from 1995 to 2018. The sample consists of 5,277 firm-year observations. The authors perform robustness tests by incorporating gross domestic product, economy and competitiveness.FindingsPeer firms' CH levels correspond positively to the specific firm's CH. This strengthens further for firms with high cash flow volatility during periods of high competition. Unfavorable economic periods also motivate the association between a firm's CH and peer firms' CH.Practical implicationsA policy on CH should account for cash held by peer firms. Firms can justify their CH policy as compatible with peers' cash flows, especially during periods of competitiveness and an unfavorable economy.Originality/valueThe authors provide novel evidence on how emerging markets' CH levels differ from those in developed markets and propose adjusted explanations for the rivalry- and information-based theories. The findings add substantial knowledge to corporate finance by arguing that CH policies are based on peer firms' strategic moves.

Stakeholder engagement, military ties, and firm performance

AbstractCorporate social responsibility (CSR) and stakeholder engagement have become increasingly important in the global economy. Socially responsible firms take their engagement with stakeholders seriously. Yet, the military, a very important stakeholder in Thailand is rarely investigated. Motivated by this and the importance of CSR and stakeholder engagement, we explore whether and which channels of military ties influence firm performance in the Thai stock market. To alleviate potential endogeneity and omitted variables concerns, we adopt two stages of least square instrumental‐variable analysis. Consistent with resource dependency theory, we find military ties increase firm performance and the influence of military ties is much stronger during the military‐led government. In general market conditions, this relation is in fact driven by the indirect ties through the training of the National Defence College of Thailand (NDCT). However, during military‐led government, the ties through NDCT worsen firm performance while direct military ties increase firm performance.

Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market.

This paper asks whether algorithm traders (AT) mitigate insider trading profits in the Thai stock market over the period of 2010–2016. We find that in general it does but not in the case of buy side, big trades nor the executive trades. Our findings suggest that, to some extent, AT can take important role to increase an efficiency in stock market by processing the public information and incorporating it into price at ultra-fast speed. Additional robustness checks based on the instrumental variable approach confirm our findings.

An examination of calendar anomalies: evidence from the Thai stock market

PurposeThe study examines the existence of calendar anomalies, including the day-of-the-week (DOW) effect and the January effect, in the Stock Exchange of Thailand.Design/methodology/approachUsing daily stock returns from March 2014 to March 2019, the study performs regression analysis to examine predictable patterns in stock returns, the DOW effect and the January effect, respectively.FindingsThere is strong evidence of a persistent monthly pattern and weekday seasonality in the Thai stock market. Specifically, Monday returns are negative and significantly lower than the returns on other trading days of the week, and January returns are positive and significantly higher than the returns on other months of the year.Practical implicationsThe findings offer managerial implications for investors seeking trading strategies to maximize the possibility of reaching investment goals and inform policymakers regarding the current state of the Thai stock market.Originality/valueFirst, the study investigates calendar anomalies in the Thai stock market, specifically the DOW effect and the January effect, which have received relatively little attention in the literature. Second, this is the first study to examine calendar anomalies in the Thai stock market across different groups of companies and stock trading characteristics using a range of composite indexes. Furthermore, the study uses data during the period 2014–2019, which should provide up-to-date information on the patterns of stock returns in Thailand.

Jumps and Cojumps analyses of major and minor cryptocurrencies.

This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

The Impact of Foreign Ownership on Stock Price Volatility: Evidence from Thailand

This paper examines the impact of foreign ownership on stock price volatility in an emerging market, namely, Thailand. The data were obtained from SETSMART, the database of the Stock Exchange of Thailand (SET). After removing financial firms, banks, and insurance companies as well as filtering outliers, the final sample covers 1,755 firm-year observations from 371 nonfinancial firms listed on the SET over the five-year period from 2014 to 2018. The regression model consists of stock price volatility, measured by two methods, as the dependent variable, foreign ownership as the main independent variable, and firm characteristics including firm size, leverage, market-to-book ratio, and stock turnover as the control variables. The pooled OLS, fixed effects, and random effects estimations are employed to examine the relationship between foreign ownership and stock price volatility. The results reveal that foreign ownership has a negative and significant impact on stock price volatility. The two-stage least squares (2SLS) are also performed to address potential endogeneity problem. The results still indicate a negative relationship between foreign ownership and stock price volatility. Taken together, the findings of this study suggest that foreign investors help reduce stock price volatility and thus stabilize share price in the Thai stock market.

Evolution, structure and dynamics of the Thai stock market: A network perspective

We study 115 stocks from the Thai Stock Market (SET) from 2006 to 2015. The evolution of correlations between stocks is estimated for different periods of world major financial events and the effect of these global financial events on the Thai stock market is studied. A spectral analysis of the correlation matrix based on random matrix theory is done. The evolution and dynamics of threshold networks derived from the correlation matrix are studied. The entropic measure on the eigenvector gives the information contained in each eigenvector which shows that eigenvector on lower side of spectrum are highly localized as compared to higher side of spectrum. The evolution of various topological properties of network are investigated. Thai stock market is found to be less robust during the global financial crisis.

The Influence of Risk Management, Third-Party Funds and Capital Structure on Banking Sector Financial Performance in Indonesia and Thailand with Corporate Governance as Moderating Variable in 2015-2019

The banking sector plays an important role in the country's economic growth. International experience shows that a weak banking sector not only threatens the long-term stability of a country's economy. It can also cause a financial crisis which can lead to economic crisis. Therefore, it is important to identify and investigate the factors on which the financial performance of banks depends. The purpose of this study is to analyze the influence of risk management, third-party funds and capital structure on banking sector financial performance in Indonesia and Thailand with corporate governance as moderating variable. The authors use return on assets (ROA) as the key indicator of bank efficiency. The data used in this study are secondary data, including nonperforming loan (NPL), loan-to-deposit ratio (LDR), operating expenses to operating income (BOPO), net interest margin (NIM), third party funds (TPF), debt-to-equity ratio (DER), return on assets (ROA), corporate governance. The data was obtained from the official website of the Indonesia Stock Exchange (www.idx.co.id) and the Thai Stock Exchange (www.set.or.th). The sample used in this study is 20 conventional banks listed on the Indonesia and Thailand Stock Exchange from 2015-2019. The methodological basis of this study is the use of the Structural Equation Model (SEM) with Partial Least Square (PLS). Data processing was performed in the WarpPLS 7.0 software. The study results show that NPL and LDR have a negative and significant influence on the financial performance of banks. At the same time, the BOPO and DER do not affect the financial performance of banks. The NIM and TPF have a significant and positive influence on the bank's financial performance. In addition, corporate governance does not moderate risk management relationship to the bank's financial performance. The results of this study can benefit bank shareholders and customers, and bank management.

Factors Influencing Retail Investors’ Trading Behaviour in the Thai Stock Market

This paper investigates trading behaviour among Thai retail investors in 2016. Using detailed survey data from 491 investors, we examine the characteristics and behavioural patterns that lead to investor bias. Empirical results in the behavioural finance literature indicate that retail investors may not behave reasonably. Behavioural biases may influence investor decisions and affect financial markets. These studies, however, are limited to subsamples of the overall investor groups studied and mainly focus on developed markets. We find that biases are common among investors and that men are more overconfident than women. Moreover, we discover that investors with more experience in trading are less likely to hold their stocks for long periods of time. Further, investors aged 45 and younger hold more diversified portfolios. Another finding is that participants with an income of more than 50,000 Baht a month and/or who employ a number of brokers hold more diversified portfolios. This evidence is consistent with the findings that have been reported for Turkey, India, and Vietnam, indicating that demographic factors are useful for distinguishing between investors in terms of the level of overconfidence bias they exhibit. This result confirms that demographic factors play a role in differentiating and classifying retail investors and should motivate future researchers to consider these factors in their research.

COMMODITY PRICES AND THE STOCK MARKET IN THAILAND

This study aims to investigate the association between Thai stock market and the commodity markets using twenty-year historical monthly data from January 2000 to January 2020. Commodity prices used in the research consist of the prices of crude oil, natural gas, liquified natural gas, commodity agricultural raw materials, and gold. The traditional VAR is used in analyzing the relations between the commodity prices and stock index. The findings show how changes in each commodity prices had significant influence on the stock market. Both evidences of a long-run and a short-run impacts are examined to determine if the past values of changes in the prices of energy, agricultural raw materials, and gold are important in predicting the developments in the stock market or not. The results from the study provide the evidence that Thai stock market is responsive to energy-related, precious metal, and commodity-related indicators. Keywords: Energy price Commodity price, Gold price, Stock return, Granger Causality, Vector Autoregressive JEL Classifications: E44, G10, Q43 DOI: https://doi.org/10.32479/ijeep.10298