An Empirical Analysis of Stock Market Anomalies and Spillover Effects: Evidence from the Securities Exchange of Thailand

PDF Version Also Available for Download.

Description

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average ... continued below

Physical Description

viii, 130 leaves : ill.

Creation Information

Sangmanee, Amporn December 1994.

Context

This dissertation is part of the collection entitled: UNT Theses and Dissertations and was provided by UNT Libraries to Digital Library, a digital repository hosted by the UNT Libraries. It has been viewed 217 times , with 5 in the last month . More information about this dissertation can be viewed below.

Who

People and organizations associated with either the creation of this dissertation or its content.

Chair

Committee Members

Publisher

Rights Holder

For guidance see Citations, Rights, Re-Use.

  • Sangmanee, Amporn

Provided By

UNT Libraries

With locations on the Denton campus of the University of North Texas and one in Dallas, UNT Libraries serves the school and the community by providing access to physical and online collections; The Portal to Texas History and UNT Digital Libraries; academic research, and much, much more.

Contact Us

What

Descriptive information to help identify this dissertation. Follow the links below to find similar items on the Digital Library.

Description

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.

Physical Description

viii, 130 leaves : ill.

Language

Identifier

Unique identifying numbers for this dissertation in the Digital Library or other systems.

Collections

This dissertation is part of the following collection of related materials.

UNT Theses and Dissertations

Theses and dissertations represent a wealth of scholarly and artistic content created by masters and doctoral students in the degree-seeking process. Some ETDs in this collection are restricted to use by the UNT community.

What responsibilities do I have when using this dissertation?

When

Dates and time periods associated with this dissertation.

Creation Date

  • December 1994

Start & End Dates

  • January 1985 - December 1992

Added to The UNT Digital Library

  • March 24, 2014, 8:07 p.m.

Description Last Updated

  • Oct. 28, 2014, 9:37 a.m.

Usage Statistics

When was this dissertation last used?

Yesterday: 0
Past 30 days: 5
Total Uses: 217

Where

Geographical information about where this dissertation originated or about its content.

Place Name

Publication Place

Map Information

  • map marker Automatically generated Place Name coordinates.
  • map marker Automatically generated Publication Place coordinates.
  • Repositioning map may be required for optimal printing.

Mapped Locations

Interact With This Dissertation

Here are some suggestions for what to do next.

Start Reading

PDF Version Also Available for Download.

Citations, Rights, Re-Use

Sangmanee, Amporn. An Empirical Analysis of Stock Market Anomalies and Spillover Effects: Evidence from the Securities Exchange of Thailand, dissertation, December 1994; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc277737/: accessed August 23, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .