Master of Science in Finance Program at Chulalongkorn Business School combines theory and practice with the latest industry perspectives to deliver in-depth knowledge in extensive fields of finance. We prepare our graduates to be impactful leaders in financial industry worldwide.

MSF Chula?

  • Classes are taught by world-renowned experts in financial field: A-list faculty, visiting professors from world class universities, and active professionals in finance and banking sector
  • Internationally recognized global learning
  • Breakthrough curriculum to accelerate career in finance
  • Opportunities to meet in persons with distinguished executives 
  • Flexible weekday or weekend schedules
  • Accredited by EPAS as well as Chulalongkorn Business School’s AACSB and EQUIS 
  • Broad portfolio of learning opportunities at partner universities around the world
“The program opens the door into the world of Finance, theoretically and practically. The funs and excitements will be waiting for you”
- Neramit Leewairoje (FX 1), Credit Agricole Corporate and Investment Bank, Singapore


Open House of MSF & MFE programs 2021 available now

Introduction of MSF & MFE Click here

Alumni Session Click here

Q&A Session Click here

MSF Chula is the Master of Science in Finance program, operating under the umbrella of the Department of Banking and Finance, Chulalongkorn Business School, Chulalongkorn University.
Established in October 1996, we are the first master’s degree program in Thailand that focuses on financial discipline and still continues to be one of the nation’s finest programs.

The mission of the program is to deliver frontier knowledge and skills through high quality academic and learning environment. We aim to encourage students to be innovative and take intellectual challenges in order to sharpen their understanding of financial issues. As well, we empower them to reach their true potential and excel as sustained leaders in the financial field.

In addition to AACSB and EQUIS accreditations granted to Chulalongkorn Business School that confirm our international-standard quality, MSF Chula is the only master’s degree program in Thailand that has achieved the prestigious EPAS accreditation since February 17, 2015.

EPAS is an international program accreditation system developed by the European Foundation for Management Development (EFMD).
There are currently merely 100+ institutions worldwide that has been awarded EPAS accreditation, a very few of which are finance program.

EPAS accreditation process involves an in-depth assessment of the Program through international benchmarking, considering an extensive range of factors that include the Program’s strategy; academic rigor; international focus; quality of the student body, faculty, alumni, as well as their career progression.

The program’s achievement of obtaining EPAS accreditation reflects our commitment to continuous improvement and dedication to excellence in financial education.
For more details regarding the accreditation of Chulalongkorn Business School, please refer to


The MSF Advisory Board comprises both renowned academics and prominent executives. The Board is an important link between the Program and the business community. It advices on our strategic objectives and provides important inputs that contributes to the Program’s strength and future development.
Professor Christian C.P. Wolff, Prof.
Professor of Finance

University of Luxembourg, Luxembourg
Professor Russell Wermers, Prof.
Professor of Finance and Director of the Center for Financial Policy

Smith School of Business, University of Maryland
Sakorn Suksriwong, Prof.
Chairman of Executive Committee

King's College International School Bangkok
Susheel Narula
Investment Advisor

Hunters Investment
Win Udomrachtavanich, Ph.D.
Chief Executive Officer

KTB Investment & Securities Co.,Ltd


MSF Program executive committees, appointed by Chulalongkorn Business School, oversee the Program policies and its effective operation.
Narapong Srivisal, Ph.D.
MSF Director
Anirut Pisedtasalasai, Ph.D.
MSF Associate Director
Assistant Professor of Finance
Pornpitchaya Kuwalairat, Ph.D.
MSF Associate Director
Assistant Professor of Finance
Tanakorn Likitapiwat, Ph.D.
MSF Associate Director
Assistant Professor of Finance
Tanawit Sae-Sue, Ph.D.
MSF Associate Director
Ruttachai Seelajaroen, Ph.D.
MSF Committee and Secretary
Assistant Professor of Finance
Jananya Sthienchoak, Ph.D.
MSF Committee


MSF boasts an excellent faculty of leading scholars who earned their doctorate degrees from world-renowned universities and have wide-ranging expertise spanning all major areas of finance. Often working closely with leading professionals in financial field, our faculty members have strong connections with leaders in banking and financial industries.
Narapong Srivisal, Ph.D.
Anirut Pisedtasalasai, Ph.D.
Assistant Professor
Pornpitchaya Kuwalairat, Ph.D.
Assistant Professor
Tanakorn Likitapiwat, Ph.D.
Assistant Professor
Tanawit Sae-Sue, Ph.D.
Ruttachai Seelajaroen, Ph.D.
Assistant Professor
Jananya Sthienchoak, Ph.D.
Prapaporn Kiattikulwattana, Ph.D.
Associate Professor
Thanyaluk Vichitsarawong, Ph.D.
Associate Professor
J. Thomas Connelly, Ph.D.
Associate Professor
Kanis Saengchote, Ph.D.
Associate Professor
Kanyarat Sanoran, Ph.D.
Assistant Professor
Manapol Ekkayokkaya, Ph.D.
Associate Professor
Nathridee Suppakitjarak, Ph.D.
Assistant Professor
Pornanong Budsaratragoon, Ph.D.
Associate Professor
Roongkiat Ratanabanchuen, Ph.D.
Assistant Professor
Sira Suchintabandid, Ph.D.
Associate Professor
Suparatana Tanthanongsakkun, Ph.D.
Assistant Professor
Thaisiri Watewai, Ph.D.
Associate Professor
Thitithep Sitthiyot, Ph.D.
Assistant Professor
Vimut Vanitcharearnthum, Ph.D.
Associate Professor
Visarut Sribunnak, Ph.D.
Assistant Professor
Natchanont Komutputipong, Ph.D.
Assistant Professor


Alisa Khuarunyasunthon
General Administrator
Chanthima Boonthueng
General Administrator


Jürgen Huber, Prof.
Head of the Department of Banking and Finance

University of Innsbruck Austria
Russell Wermers
Professor of Finance and Director of the Center for Financial Policy

Smith School of Business, University of Maryland 
Steen Thomsen, Prof.
Professor of Enterprise, Foundations at the Center for Corporate Governance (CCG)

Copenhagen Business Sochool, Denmark
Nuttawat Visaltanachoti, Prof.
Dean's Chair in Finance

School of Economics and Finance, Massey University, New Zealand

Bruno R. Gerard DNB Chair Professor in Asset Management, Norwegian School of Management, Norway | Christian C.P. Wolff Professor of Finance, University of Luxembourg, Luxembourg | Deborah Lucas Director of the MIT Golub Center for Finance and Policy, MIT Sloan School of Management, USA | Evangelos Vagenas-Nanos Senior Lecturer in Accounting and Finance, University of Glasgow, Scotland | Hendrik Bessembinder Professor of Finance, Arizona State University, USA | Keng Yu-Ho Professor of Finance, National Taiwan University, Taiwan | Marc Paolella Professor of Empirical Finance, University of Zurich, Switzerland | Meir Statman Glenn Klimek Professor of Finance, Santa Clara University, USA | Michael J. Aitken Professor of Finance, Macquarie University, Australia | Morten Bennedsen Professor of Economics, University of Copenhagen, Denmark | Paul Embrechts Professor of Mathematics, ETH Zurich, Switzerland | Roger King Professor of Finance, Hong Kong University of Science and Techonology (HKUST) | Shawn Cole Professor of Finance, Harvard Business School, USA | Söhnke M. Bartram Professor of Finance, University of Warwick, England | Tony Kang Professor of Accounting, University of Nebraska-Lincoln, USA | Vidhan Goyal Chair Professor of Finance, Hong Kong University of Science and Techonology (HKUST) | Donald R. Chambers Professor of Finance, Lafayette College, USA


Sunti Tirapat Associate Professor of Finance, National Institute of Development Administration (NIDA) | Kridsda Nimmanunta Director of Professional MBA/MSc in Finanical Investment and Risk Management, National Institute of Development Administration (NIDA) | Nattawut Jenwittayaroje Director of the MSc in Financial Investment and Risk Management (MSc in FIRM) program, National Institute of Development Administration (NIDA) | Chonladet Khemarattana Chief Executive Officer, Fintech (Thailand) Co., Ltd. | Chatsularng Karnchanasai, The Bank of Thailand | Chattrin Laksanabunsong Head of 10X Project, Siam Commercial Bank | Kobsidthi Silpachai Head of Capital Markets Research, Kasikorn Bank | Kris Panijpan Managing Partner/Co-Founder, 9 Basil Co., Ltd. | Paritat Lerngutai Chief Financial Officer, Sri U-Thong Limited | Pasu Liptapanlop Director, Proud Real Estate Plc. | Pisit Jeungpraditphan Audit Committee Director & Independent Director, Mudman Public Company Limited | Ponladesh Poomimars, The Bank of Thailand | Sirinattha Techasiriwan | Somjin Sornpaisarn Chief Executive Officer, TMB Asset Management | Sopon Asawanuchit Managing Partner, Confidante Capital Co.,Ltd. | Sornchai Suneta First Vice President, Chief Investment Officer, Wealth Segment, Siam Commercial Bank | Waraporn Prapasirikul Partner, Ernst & Young Office Limited | Yunyong Thaicharoen First Executive Vice President, Economic Intelligence Center, Siam Commercial Bank | Yuttapon Wittayapanitchagorn Executive Vice President, Fixed Income Investment Group, Investment Division SCB Securities Company Limited


FX 15
Chaiwat Ratchawat
The impact of government response’s policy to COVID-19 on stock market volatility
This research explores the effect of government's COVID-19 response
policy on stock market volatility. We explain the stock market volatility dynamics
via the index that measures the strict level of government response’s policy to
COVID-19. Using EGARCH (1,1) model to identify stock market volatility from
daily stock market return of 68 countries and apply the Arellano–Bond two-step
system GMM estimator for dynamic panel data analysis, we found that the stock
market volatility in the COVID-19 period can be reduced by the government policy
response to COVID-19. Furthermore, after dividing the index into 3 types, all types
of policy also reduce the stock market volatility and the economic support policy has
the highest impact on the stock market volatility.
FX 15
Chalakorn Sathiwas
Examination of Facebook's Announcement Effect on Metaverse Tokens
In this research, we study an announcement effect of Facebook Inc.’s rebranding to Meta Platform Inc. in October 2021, as a flagship event that sheds spotlight to the metaverse business, on 50 metaverse-related cryptographic tokens. Using Google’s CausalImpact package in R with historical daily returns within -30,7 windows, the model expects a 11.80% counterfactual CAR but the actual CAR is 69.20%, indicating a 57.40% absolute effect of this announcement on aggregate metaverse tokens at 99% significant level.
We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. Only the constant and marketplace factor shows a positive and negative, respectively, impact at 90% level.
Our study makes two contributions; Firstly, the result indicates that metaverse tokens positively respond to the announcement in aggregate. Secondly, the abnormal returns of these tokens are mainly driven by the uniqueness of each token and the marketplace function is harmful to the abnormal returns.
FX 15
Chapit Asirapongporn
Does accounting quality reduce external financial constraints?
This study investigates how accounting quality relates to
financial constraints at the firm level. In this study, our first hypothesis
is that higher accounting quality reduces financial constraints at the
firm level. Our second hypothesis is that higher accounting quality
reduces financial constraints more after IFRS adoption in 2011 than
before IFRS adoption in Thailand. Our third hypothesis is that higher
accounting quality reduces financial constraints more in state-owned
enterprises than in privately-owned enterprises. Lastly, auditing quality
could be another proxy of accounting quality. Therefore, our fourth
hypothesis is that higher auditing quality reduces financial constraints at
the firm level. In this study. Our results in the first hypothesis are
consistent for KZ index and WW index model. However, the results in
WW index model show a strong relation between accounting quality
and financial constraints when compared to KZ index model. Therefore,
we choose WW index to represent our results for hypothesis 2, 3 and 4.
For the second hypothesis, there is no statical evidence to support this
hypothesis. For the third hypothesis, our results are consistent with our
expectation. For the fourth hypothesis, our test results are consistent
with our expectation.
FX 15
Chomtarn Junanukul
Do COVID-19 cases and government response to COVID-19 drive mispricing in cross-listed companies?
This research is to examine impact of COVID-19 cases and government
response to COVID-19 to cross-listed companies’ stock return, mispricing and
volatility of the mispricing, using evidence from 164 Canadian companies’ stocks
listed on Toronto Stock Exchange (TSX shares) and cross-listed in New York Stock
Exchange or NASDAQ (US shares).
Our results show that there is negative impact from growth of COVID-19
cases to stock return and positive impact from government response to COVID-19 to
stock return in both Canada and US. As for impact to mispricing, using price premium
of stock listed in Canada relative to US as a proxy, the results suggest that when we
implemented separate variables of growth of COVID-19 cases and government
response to COVID-19 for each country, only government response to COVID-19 in
Canada was found to have significant positive impact to the price premium. We have
further examined the impact by implemented variables of difference in COVID-19
cases growth and government response to COVID-19 between Canada and US
instead of separate variables for each country, the results showed that difference in
COVID-19 cases growth of Canada relative to US is significantly negatively related
to the price premium while difference in government response to COVID-19 cases is
significantly positively related to the price premium. As for impact to volatility of the
price premium, COVID-19 cases growth in US and government response in both
Canada and US are found to be positively related to volatility of the price premium.
FT 25
Duangporn Lertsomphol
The monetary policy transmission during the crisis: Evidence from Thailand
The interest rate pass-through is defined as the process by which changes
in policy or money market rate are transmitted to commercial bank rates. In
other words, monetary policy transmission is one of the useful tools for the
analysis of effective monetary policy decisions. This paper examines the
effectiveness of the interest rate passthrough from the money market rate to
various lending rates (MLR, MOR, and MRR) in Thailand from 2008 to 2021
including crisis periods, and also assesses the impact of bank characteristics.
Using the panel cointegration method and error correction model with monthly
data from individual commercial banks.
The results show the incomplete transmission of monetary policy to all
lending rates because of information asymmetry, costs, and market competition.
During the crisis periods, the monetary policy transmission tends to become
weaker since the distress causes higher risks and worse financial conditions.
With regard to bank characteristics, the capital ratio implies the regulatory
constraint, and the non-performing loan (NPL) ratio represents the quality of
assets in the bank’s portfolio, both lead to the diminishing passthrough in
FX 15
Jakkrapob Choojan
The Impacts of Credit Rating Changes on Firm's Dividend Payout and Investment Policies - Evidence in Thailand
This paper studies relationship between impacts of change in credit rating
on firm's dividend payout and investment policies. We use data from listed companies
in Stock Exchange of Thailand during 2000 - 2021. This paper applies fixed effect
ordinary least squares to evaluate impacts of change in credit rating. From this paper,
downgraded firms will decrease dividend payout and investment. However,
upgraded firms will increase dividend payout and investment. Moreover, this paper
studies relationship between impacts of change in credit rating on firm's investment
efficiency. From this paper, downgraded firms will overinvest and upgraded firms
will underinvest. This paper provides information or guidances to debtholders and
shareholders to evaluate the firm is worth to invest.
FT 22
Jeff Dardouillet
The effect of tax avoidance on firm value in the SET
This study investigates whether firms tax avoidance activities have an impact on the perception that shareholders have with regards to firms’ value. This paper analyzes whether the statutory tax rate has an impact on the companies’ tax behavior and whether there is a relation between tax avoidance and firm value in the Stock exchange of Thailand during 2 distinct periods (2009-2011 & 2016-2019). The method employed compares firms’ value and tax differences between the period specific statutory tax rates and the firm effective tax rate in that period.
The findings indicate that a change in statutory tax rate indeed has an impact on the firms’ tax behavior. However, the relation between tax avoidance and firm value cannot be proved as it is not significant enough.
FX 15
Kanda Karnjanonun
SPAC sponsors and their effects on SPAC prices
The purpose of this paper is to find the effect from SPAC sponsor
after the merger announcement. I study SPAC IPOs which had acquiror
and target nation in the United States and were public between January
2020 and December 2021. The final sample has 186 SPACs. I select The
Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study
methodology to test for SPAC sponsors and their effects on SPAC prices.
I find that there is no statistical evidence that sponsor reputation has
impact on SPACs price on the announcement date of combination. There
are two possible plausible explanations for this finding. 1) SPACs are
structured and behave unlike any other asset class in the markets. 2) The
Forbes 400 in 2021 that use as a proxy for sponsor reputation in this paper
may not be appropriate for the study. Moreover, I cannot find the
evidence that SPACs with technology company has impact on SPACs
price on the announcement date of combination. Because investor trading
behavior is bizarre, and SPACs are structured and behave unlike any
other asset class in the markets.
FT 23
Kavisara Vachekrilas
How sensitive are IPOs to the fear of the COVID-19 pandemic in emerging markets?
This study investigates the relationship between COVID-19-related pandemic fear and the short-term performance of initial public offerings in emerging markets. This paper investigates whether the short-term fear of COVID-19 continues to influence post-IPO performance. In doing so, the fundamental methodology is cross-sectional ordinary least squares (OLS) regression and numerous variables are included to the model as control variables.
The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable indicating severity of fear as they were negative in all cases. These results conclude that investors are not making IPO decisions in the first few days, but that over time the effect of high pandemic fear accumulates and suppresses subsequent trading prices.
FX 15
Korn Kongkittiwong
Diversification benefits of domestic and international REITs for SET Index before and during Covid-19 crisis
This study examines the diversification benefit of Thailand, the US, Europe,
Singapore, and Japan REIT indices for the SET index. The time scope for this study
starts from 1st January 2011 to 31th January 2022. It also compares the diversification
benefit degree between pre and during Covid-19 periods. The DCC-GARCH model
is used for the diversification benefit examination. The results posit 3 main points.
First, all the REIT indices provide diversification benefit for the SET index. Second,
the Covid-19 pandemic reduces diversification benefit generated by the US, Europe,
and Japan REIT indices. Finally, the US provides the highest diversification benefit
to the SET index among the others.
FT 25
Nakarin Chanachaivorakorn
Effect of Dividend on Derivative Warrants : Evidence from Stock Exchange of Thailand
The purpose of this paper is to investigate mispricing of
derivative warrants on ex-dividend date. Using data from the
Stock Exchange of Thailand during 2010 to 2020, this research
examines mispricing of derivative warrants by comparing the
market price to the theoretical price, which incorporates the
adjustment of exercise price and ratio on ex-dividend date
according to the rules given by SET. This research also studies
further by investigating the magnitude of impact from the
dividend yield of underlying asset. The empirical results show
strong evidence of mispricing in call derivative warrants,
whereas put derivative warrants are found to be weakly
statistically overpriced. Furthermore, dividend yield of
underlying asset is indeed highly correlated to the magnitude of
mispricing, as high dividend yield stocks have more
underpriced call derivative warrants and as well more
overpriced put derivative warrants.
FT 25
Nutcha Kongpreecha
The impact of ESG performance on firm-idiosyncratic risk in the US and Canada
This paper aims to examine how environmental, social, and
governance (ESG) performance affects the idiosyncratic risk of firms in
the United States and Canada between 2007 and 2020. This study retrieves
ESG scores and other factors from the Refinitiv DataStream, the firms used
for analysis in this paper are 480 listed companies. Results show that ESG
performance can reduce idiosyncratic risk in different firms' characteristics
and periods. First, ESG performance can subdue the idiosyncratic risk in
both sensitive and non-sensitive industries at the same level. Second, only
the environmental pillar in the sensitive industry has an additional negative
influence on idiosyncratic risk due to the concentration in environmentally
sensitive industries of the samples. Third, high market value firms tend to
benefit more from improving ESG performance than low market value
firms. Fourth, the effect size of ESG performance on idiosyncratic risk of
low leverage firms is larger than high leverage firms. Fifth, ESG practice
shows a more considerable effect in times of recession periods compared
to normal periods. Lastly, ESG performance can subdue idiosyncratic risk
of firms in covid-19 period higher than in pre-covid-19 periods.
FX 13
Nutpapol Tantratananuwat
The evidence of beta anomaly in European REITs
This paper finds empirical evidence of the beta anomaly
in the European REIT market in the period 2012 – 2021. The
alpha of a low minus high beta strategy is positive and
statistically significant which can interpret that the low beta
REITs have a higher risk-adjusted return than high beta
REITs. To examine the explanation behind the beta anomaly,
the controlling variables which may cause the beta anomaly
including the lottery-like stock return factor, the skewness
factor, and the institutional ownership factor are added into the
Fama-French 3-factor model. For the result, only the
institutional ownership factor which refers to the leverage
constraint hypothesis shows a significant relation with REIT
returns. To examine that the beta anomaly is a demonstration
of the leverage constraint hypothesis, the result of pooled OLS
regression shows a significant relationship between REIT
betas and institutional ownership.
FT 25
Omtong Kasemsant
Are short sellers equally informed? Evidence from the US. Credit rating announcements
This study uses credit rating and daily short sale data of
firms listed in NYSE from January 2015 to December 2021 to
examine whether there is informed trading. Although postannouncement abnormal return is negatively correlated with
abnormal short volume, no evidence of informed short selling
is found. Higher level of pre-announcement abnormal short
selling is positively correlated to default risk and also
explained by the incentives of short sellers to short more when
past returns are negative. Furthermore, increase in short selling
that is preceded by credit watch placement is more pronounced
before credit rating downgrades. Moreover, the evidence
shows that cumulative abnormal return pre-announcement is
positively and significantly correlated with the abnormal short
sale activities pre-announcement. Lastly, this study provides
evidence that institutional investors or medium or large trade
size increase short position more heavily than smaller trade
FX 15
Patcharee Sae-Tiaw
Does Bond Market Development impact the Flight-to-Quality from Stock to Bond during COVID-19?
This paper analyzed flight to quality effect from stocks to government
bonds in 46 countries including developed and emerging countries during COVID
pandemic. The empirical result from panel data framework shows that the flights
exist and government bonds remain offered diversification benefit to investors
when they are most needed. The negative stock-bond correlation was also amplified
when pandemic is more severe in developed countries. Moreover, this study reveals
that countries with a higher degree of bond market development can support bonds
act as a safe haven better and have more negative in stock-bond correlation.
FT 25
Phuket Kumhangphon
The Impact of Derivative Warrant Introduction: Evidence from Stock Exchange of Thailand
The impact that derivative instrument has on the underlying stocks is important for
regulators and investors to concern. This paper tries to examine the impact of derivative warrant
introduction on liquidity (measured by trading volume) and risk (measure by volatility and
systematic risk beta) of the underlying stocks in stock exchange of Thailand. This paper examines
the impact on trading volume by using t-test for testing the equality of two means between prederivative warrant introduction period and post-derivative warrant introduction period and using
dummy variable regression for finding a change in the underlying’s trading volume after the
introduction of derivative warrant. For the impact on the underlying’s risk, this paper uses f-test
to determine the equality of two variance by using the ratio of variance between pre-derivative
warrant introduction period and post-derivative warrant introduction period and also uses
GARCH (1,1) model with dummy variable to find a change in volatility of the underlying stocks
after derivative warrant introduction, the dummy variable is also applied to investigate a change
in the underlying’s beta after derivative warrant introduction.
Overall, the results from the impact after derivative warrant introduction, reduction in
liquidity, reduction in volatility and no change in systematic risk beta, could provide additional
information for regulators to improve market efficiency and for investors to enhance their trading
FX 15
Pimpimuk Rodnikorn
The inflation hedging ability of real estate investment in Thailand
This study is conducted with the purpose to investigate the inflation hedging
ability of real estate investment, both direct and indirect, including single-houses, town
houses, condominium, and SETPREIT in Thailand. The Johansen cointegration test
was used to akishort run dynamic movements, the Vector Error Correction (VEC)
model for cointegrated time series was applied to analyze. In addition, Granger
causality test is conducted to see whether the cause of inflation is independent from the
movements in the price of real estate assets. In addition, the impulse response functions,
and variance decompositions were also incorporated with the purpose to emphasis the
impact of the real estate investment to inflation and vice versa.
The empirical findings, obtaining through the cointegration tests suggest that
there is an existence of the long-run relationship between the price of properties,
including townhouse, condominium and SETPREIT. With the long-term relationship
existing between the real estate assets, and inflation, these real estate assets have an
ability to hedge against inflation (Gunasekarage, 2008); (Le Moigne & Viveiros, 2020);
(Taderera, 2019). Therefore, in summary in the long run, the real estate assets, including
townhouse, condominium, and SETPREIT can be applied as a hedge against inflation.
In the short run, the result suggests that condominium and SETPREIT have
dynamic relationships with inflation. The Granger causality suggests that the direction
of causality is from the price of condominium and SETPREIT to inflation, which
implies that the past information and the variations of the price of condominium and
SETPREIT can be used to predict inflation. Consequently, the price of real estate assets
in Thailand, consisting condominium and SETPREIT are considered to have an
influence on the variation of inflation.
FX 15
Piyamart Srithanomwong
Does Size Really Matter? in Mergers of Equals: An Event Study
This research presents empirical studies on the impact of mergers of equals
on shareholders’ wealth. Due to integration problems between combining
corporations, Daimler-Chrysler merger failures caused the corporate sector to think
that mergers of equals erode shareholder wealth. However, it is based on a small
proportion of MOE transactions, and there is no empirical evidence on the
shareholder’s return on the announcement date implications of MOEs related to the
size of the merger. I provide this research knowledge for the shareholder wealth at
the announcement date for the implications of MOEs related to the size effect of the
Furthermore, MOE characteristics associated with shareholder wealth
impacts are evaluated to assess MOEs. Two tests will be used to determine the
optimal structure of MOE transactions: i) small-size and large-size MOEs – to
determine whether the merger abnormal return is determined by the size of the
acquirer and target firms. ii) local and cross-border MOEs – to determine whether
local or cross-border mergers outperformed in terms of abnormal returns at
announcement date in MOE transactions.
FX 15
Pornthip Supasinthanaphat
Mutual fund performance evaluation with active peer benchmarks of domestic equity funds in Thailand
We use the active peer benchmarks (APB) methodology suggested by Hunter et al.
(2014) to capture commonalities or common idiosyncratic noise in fund strategies. These
commonalities cannot be captured by the Carhart 4-factor model and it also decreases the
accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB
methodology compared with the Carhart 4-factor model. Then we also use the APB methodology
to evaluate the performance of actively managed Thai open-end domestic equity funds from
January 2006 through December 2020. In the APB methodology, we focus on two dimensions:
fund returns and the fund’s investment objectives. Our study applies the Carhart 4-factor model
with the added benchmark that indicates an equal investment in each fund included in the
category as a whole. We call this additional benchmark an "active peer benchmark" (APB). We
discover that the active peer benchmark (APB) methodology is able to decrease the average time
series pair-wise residual correlations between individual funds in the same APB category when
we add the APB factors to the Carhart 4-factor model, which increases the accuracy in fund
performance assessment. This active peer benchmarks methodology is also able to determine
which mutual funds within each peer group are performing the best.
FX 15
Pranittra Ritthiwitthayasakun
The impact of institutional ownership and valuation on stock price around SET50 index inclusion and exclusion
This study examines the impact of institutional ownership and valuation on
stock price around the changes in index constituents. Specifically, this paper studies
the significant SET50 index during the period of 2014 – 2021. According to the
empirical result, there is an asymmetric price response between index additions and
index deletions. The effects from exclusions are considerably stronger than from
inclusions. The findings also show that percentage ownership of institutional
investors and abnormal return are positively correlated in case of exclusions but not
for inclusions (though insignificant). Companies deleted from the index result in
lower institutional holdings and subsequently exhibit lower share prices. Moreover,
stock valuation has no effect on stock price in response to the announcement of
index inclusion and exclusion.
FT 22
Preeyada Kanakupt
Do domestic institutional investors always win? (Evidence from
the Stock Exchange of Thailand)
This study investigates whether momentum strategy trading and aggressiveness trading can cause the inferior trading performance among domestic individual, domestic institutional and foreign investors from 2013 to 2017. This paper applies trade price ratio calculation to compare performance of each investor and two metrics models to estimate aggressiveness of each investor as the estimation method. Moreover, price impact of intra-day intensive trading is also applied to provide explanation to the inferior performance of foreign investors.
The findings indicate that foreign investors are trading at worse prices in all different trade sizes during the sample period and are more aggressive. However, the results are mixed in buy and sell trade prices. Foreign investors tend to trade momentum following previous short-time positive returns, and aggressive trading behavior cannot explain all the inferior trading performance of foreign investors. The price impact results can be concluded that the impact is very small.
FT 24
Shilei Sun
The co-movement between equity markets of Thailand and China: A wavelet-based approach
This paper applied the MODWT wavelet method to decompose
correlations of the stock market of Thailand and China into different time scales
and frequencies. The decomposed correlations are then examined and compared
between short-term and long-term, and also between different time periods when
the interdependence of two markets is expected to change. The result shows that
long-term correlation is not significantly higher and sometimes is significantly
lower than the short-term, whereas the correlation does significantly increase from
2005 to 2020. Furthermore, the paper investigates the effectiveness of using the
correlation in the suitable time scale and frequency in an application of a minimum
variance portfolio. By comparing the traditional correlation and correlation obtained
from the wavelet method, we found that the minimum variance portfolio from the
wavelet method performs better. The result implied that the wavelet method support
investors and policymakers to understand the linkage between two markets and
make better decisions based on the co-movement of returns.
FT 24
Sita Khan
Diversification Benefits of Commodity Indices versus Islamic Stock Indices
The objective of this study is to investigate conditional correlations between
the Dow Jones Emerging Market index and commodity indices (i.e., agriculture,
energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e.,
JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally,
this paper classifies the properties of assets whether it is a diversifier, a hedger, or a
safe-haven assets to the Dow Jones Emerging Market index. The estimation method
is the dynamic conditional correlation generalized autoregressive conditional
heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations
during the period of 2007-2021 which covers the Global financial crisis (GFC) and
Covid-19 pandemic. The finding indicates that all commodity and Islamic stock
indices serve as a diversifier in general. However, MSCI Bahrain, MSCI Kuwait, and
precious metals act as a safe-haven asset during certain periods of the GFC and
Covid-19 crises. Interestingly, KLFTEMSI and JKII present the highest hedging
effectiveness over the study period.
FT 25
Suphawit Keakultanes
Is cryptocurrency a hedge, safe haven, diversifier against Thailand, Indonesia, Philippine stock market on pre-COVID-19 and during COVID-19?
This research study whether cryptocurrencies act as a hedge, safe haven or
diversifier against Thailand, Philippines, and Indonesia stock exchange market.
Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the
conditional correlation between cryptocurrencies and TIP’s stock exchange
market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum,
Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical
results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as
diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as
the hedge and safe haven in PSEI and JKSE index. The safe-haven capability of
Tether can change across market condition. The benefits of this research are to help
investors the important understanding into diversification of cryptocurrencies.
Moreover, authorities and governments would be interested in our findings if they
were to engage in a deeper discussion on the role of cryptocurrencies in financial
markets. This study contributes to the continuing discussion regarding the investment
potential of cryptocurrencies.
FT 25
Talatarn Kromadit
Market Reactions toward Changes in Analysts’ Ratings and Target Prices, Evidence from Thailand
This paper aims to perform a comprehensive analysis of the effects of the stock ratings and target
prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai
market. There are two quantitative indicators that will be focused on in this study, target prices and stocks
rating, by observing the change of these two factors along with the change of market price, I will be able to
study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and
CAR within each focused window period. The observation period starts from January 2, 2019to December
30, 2021.
This research is believed to be one of not many of Thai research that study an up-to-date and indepth market movement according to the change of analyst’ views towards stocks. In addition to the impact
of rating and target price changes on the stock price individually, this research also analyses the combined
effects of the 2 focused key variables. The results a significant correlation between announcements and
market price movement as there is a significantly positive AAR and ACAR when ratings and target prices
are upgraded and significantly negative AAR and ACAR when they are downgraded.
FX 15
Tanyatorn Kulalert
The effect of female board on firm value : Evidence from the Asia Pacific
This paper examines the relationship between board gender diversity and
firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and
two-stage least squares are employed to deal with endogeneity. We find that
increasing female directors to the board has a positive and significant effect on firm
value as measured by Tobin’s Q. The result suggests that independent directors
have a positive and significant impact on firm value. However, when the board is
composed of independent directors, appointing female directors decreases the firm's
value owing to over monitoring. Furthermore, the positive effect of female directors
appears to be diminished in countries with higher corruption environments. This
may be attributable to the fact that gender diversity reduces board corruption.
Overall, we suggest that the present of female directors or mandating gender quotas
on board can reduce firm value in countries where corruption is high.
FX 15
Theerapong Theerahsapphawittaya
The Hedging Effectiveness of Disruptive Technology ETFs to Asia Emerging Markets
This study examines the role of hedge and safe haven of four disruptive
technology ETFs to six Asia emerging markets and assess whether if COVID-19
pandemic has altered the dynamic conditional correlations and hedge effectiveness
between these assets. Using daily return data from February 23, 2018 to January 28,
2022, first, the results indicate that despite the outperformance of disruptive
technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a
hedge or safe haven property against Asia emerging market downturns as their
returns were still positively correlated. They can only be used as diversifier tools to
the Asia emerging markets. Second, the changes in the dynamic conditional
correlations between the ETFs and Asia emerging markets were identified in which
majority of the ETFs were found to have higher correlations with the emerging
markets during COVID-19 period. This implies that the optimal hedge ratio or
hedging cost between these assets were increased during the pandemic. Third, this
study found that the disruptive technology ETFs can provide higher hedge
effectiveness against Asia emerging markets during COVID-19 period than normal
period due to shorting a unit of the ETF can reduce variance of the long-only
portfolio in Asia emerging market by larger magnitude. Hence, these ETFs can be
used as hedging tools to minimize the risk of Asia emerging market portfolio. This
study provides insights for investors to formulate hedging strategies and determine
portfolio diversification by thematic technology ETFs.
FT 25
Thongpattra Nanna
The link between ESG and firm performance in healthcare industry: the moderating role of firm age and people awareness
This paper examines the link between ESG and firm performance in healthcare industry
moderated by firm age and advertising expenses from 2011 to 2020. Firm performance is
measured by Tobin’s Q, ROA, ROE and asset turnover. This study finds the evidence that
environmental pillar is the most important metric to improve firm value in healthcare equipment
& supplies and advertisement helps social and governance pillars to add more value.
Biotechnology looks alike, but firm age can moderate environment pillar to increase the value.
Moreover, social pillar is the most influential to add firm value for healthcare provider &
services and the effect is much better with older firms. Also, advertisement helps environmental
pillar to enhance firm value even though its score per se cannot. Correspondingly, advertisement
can be a moderator for environmental and governance pillars to add firm value for
pharmaceuticals while its ESG subcomponents per se cannot. The conclusions concerning other
performance measures (profitability and efficiency) are outlined in the conclusion section. The
study provides an opportunity for healthcare industry to leverage ESG for firm performance
improvement and presents refined guidelines that employ different firm performance
measurements and ESG metrics compared between crisis and non-crisis.
FX 15
Thornthep Paengsawat
The Impact of Moral Hazard in Institutional Environment On the Decision to Perform Partial Acquisition or Full Acquisition
This paper investigates the impact of moral hazard on the corporate strategic
decision regarding Mergers and Acquisitions. Whether the decision by the acquirer
to make partial or full acquisitions is driven by moral hazard is the main implication
of this research paper. Considering several subsamples of mergers and acquisition
transactions, in domestic transaction, an increase in private benefits of control does
increase the odd of making partial acquisition. Considering the subsample of crossborder acquisitions, private benefits of control still increases the odd of making
partial acquisition but the effect is less pronounced. Having control for the profitmaximizing reasons to make full acquisitions, the increase in private benefits of
control does not increase the odd of making full acquisition which is implied as
wealth-destroying decision. The empirical results align more with the profitmaximizing explanation as the acquirer reacts to the private benefits of control by
making partial acquisition instead of making full acquisition.
FT 25
Torfun Kantatasiri
International Evidence on Corporate Rating Changes
This research aims to study the reaction of the
International stock market around the corporate bond rating
change announcements by Moody's between 2015-2021 using
stocks and rating data from Datastream. The empirical result
shows a significantly positive reaction after the upgrades
announcement and a negative reaction around the downgrades
event date. Specifically, the impact of rating changes on stock
prices is larger around downgrades. The results imply that there
is an information effect but no price pressure effect since there
is a significant reaction in response to downgrades for all
samples insignificance impact following downgrades for subsample of the changes across investment- or speculative-grade
boundary. Furthermore, the absolute change in rating is
statistically significantly related to the cumulative abnormal
FT 25
Tunyaporn Wiriyadee
Halloween Effect and Equity Mutual Funds in Thailand
This paper investigates one of the most famous seasonal anomalies, namely Halloween
effect. It is based on the observation that return during November to April so-called winter period
tend to perform better than return during May to October so-called summer period. Using a sample
of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the
Halloween effect in mutual funds market. Our research consists of three main objectives. First, we
investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look
into different characteristics of funds by categorizing based on categories from Morningstar
database. As different types of funds may have different strengths of Halloween effect, we further
examine the presence of Halloween effect in 6 groups of 11 different types of characteristics
includes different market capitalization, book-to-market ratio, investment style of active and
passive and sectors. Then, we create trading strategies which based on the different strength of
Halloween effect by investing in a funds characteristic with the highest Halloween effect during
winter and a funds characteristic with no or less Halloween effect during summer months and
compare with the benchmark of buy-and-hold strategy. Third, we generate modified momentum
strategy, which is to long loser portfolio in winter, and long winner portfolio and short loser
portfolio in summer and investigate whether it outperforms conventional momentum long-short
Consistent with Kenourgios and Samios (2021), our results show that Halloween effect
exists in equity mutual funds with significant positive winter months return. We provide evidence
of a robust Halloween effect in every characteristic except for growth funds. Our findings also
show that size of Halloween effect varies across different characteristics of mutual funds similar
to Arendas et al. (2018) and Jacobsen and Visaltanachoti (2009). Halloween effect is stronger for
passive funds than active funds. One possible explanation is fund manager who acknowledge this
phenomenon create their own strategy of what to invest during each period. Kenourgios and
Samios (2021) suggests that fund managers increase their equity exposure during May to October.
We also show that the investment based on rotation strategy and modified momentum strategy is
profitable and outperform their benchmark. The rotation strategy of investing
largevalue/midsmallvalue funds and passive/active funds generate a positive and significant
abnormal return.
FX 15
Veerapat Virochpoka
How does Thai stock market react to the environmental policy announcements?
This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more likely to be sensitive to the environmental issues than other industries.
We further investigated the impact of firms’ environmental disclosure on the cumulative abnormal return. We proxied ESG disclosure and ESG score as one of the indicators for degree of environmental-friendly. The empirical results showed that ESG disclosure had negative impact on cumulative abnormal return at the first action of Thailand towards climate change (signing Paris Agreement) in 2016 (announcement no.2). In contrast, the ESG disclosure had positive impact on cumulative abnormal return to the announcement of Thailand’s commitment to lower temperature rising in the COP meeting in 2021 (announcement no.8). This implies that the investors viewed the impact of ESG disclosure on firms differently before and after the ESG become active in Thailand. In other word, the investors recently view that firms with ESG disclosure are likely to be better at the adaptation to new environmental policies. Additionally, among the firms with ESG disclosure, the ESG score doesn’t have impact on cumulative abnormal return.
FT 24
Fengxu Lin
The effect of air pollution on stock returns: evidence from Thailand and Indonesia
The objective of this paper is to investigate the impact
of air pollution on stock returns in Thailand and Indonesia
from January 1, 2016, to June 30, 2021. Further effects of air
pollution on stock returns during the seasonal pollution period,
full moon period, new moon period, and high pollution period
are also studied.
The result shows that a lagged day of air pollution
proxy significantly reduces stock returns in Thailand. The
significant negative effect of air pollution on stock returns is
similar to that after controlling for the January effect. This is
consistent with the finding of Li and Peng (2016). In addition,
the negative effects of the lag air pollution agent on stock
returns are stronger during the seasonal air pollution period,
the full moon periods, and the high pollution days.
Moreover, the stock returns are higher during the new
moon period in Indonesia. This is consistent with the finding
of Dichev and Janes (2003). However, this paper does not find
the significant effects of air pollution on stock returns in
FX 14
Nanapat Chaochavanil
Is Thai Baht a safe haven currency during the Covid-19 Pandemics
This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known traditional currencies, EUR exhibits to be the safest currency among the others followed by CHF and JPY. Because when the return of 10-year US treasury yield decreases and VIX Index and TED spread increase, only EUR exhibits safe haven behavior as the value of EUR is significantly strengthen. Moving to different timeframe, during 2020, the result remains the same for THB that it still does not possess safe haven currency role. In this period, the safest currency turns to be CHF and JPY following by EUR, GBP and THB.
FX 14
Napassorn Harnchaikittikul
Ownership concentration, corporate governance, and firm's risk-behavior: Evidence from Thailand
The relationship among the ownership concentration, corporate governance, and firm risk are investigated in this study. The sample for this study includes all the firms listed in Thailand Stock Exchange for the time period from 2010 to 2019. In this study, both direct and indirect relationships are investigated. The results shows that ownership concentration has positive significant effect on firm risk in the case of Thailand. The main explanation for this evidence is based on the socio-emotional wealth and limited liability feature of the listed firms. Meanwhile, corporate governance does not seem to have any significant impact on risk. Focusing on the incremental or indirect effect, corporate governance also does not help alleviate the problem of the insider trading or exploitation caused my major shareholders. Therefore, ownership concentrations still have significant impact on firm risk, regardless of how good governance practice it has. Despite of no moderating role in the relationship between ownership concentration on risk, corporate governance does play a significant moderating role in reducing an inappropriate performance effect on firm risk. Firms having high CG score tends to have lower performance effect on risk relative to those having low CG score. Moreover, lead-lag effect of corporate governance is investigated, evidence from our study show no sign of the lead-lag effect for the governance factors.
FX 14
Naratporm Thamthonsiri
Safe-haven property of gold toward multi asset portfolio during Covid-19 Pandemic
This study tested whether gold has a property of safe-haven assets during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset over the pandemic period. For short run relationship during the COVID-19, the result from impulse response shows gold to be a strong safe-haven asset only against traditional asset class such as equity, fixed income, and real estate, but not for the alternative asset class like BITCOIN as the impact from the shock of S&P 500, UST and NAREIT to gold are in the opposite direction compared to pre-pandemic.
FX 14
Pakkawat Kitsirikarn
Oil Shocks and Corporate Investment: Evidence from Stock Exchange of Thailand (SET)
This special project empirically examines the impact from the different type of oil price shocks on corporate investment. This study follows the method proposed by Kilian (2009). He uses the structural vector autoregression model to decompose oil price shock into 3 type which comprised with oil supply shock, oil aggregate demand shock, and oil specific demand shock. Moreover, this work also incorporates industrial competition to investigate how it links to the impact of oil shock on corporate investment. The empirically examined period is Jan 2007 to Dec 2018. This study uses the firm-level data of companies listed in the stock exchange of Thailand. Also, this paper includes a sub-sample analysis of two groups which are energy-related and non-energy related.
This study finds that oil price shock from the supply side has a positive relationship with corporate investment. But oil price shock from the demand sides such as aggregate demand shock and specific demand shock have limited impact on corporate investment. For subsample analysis, The empirical finding is still in line with all samples. While the existing industrial competition of non-energy related industries helps to mitigate the positive impact of supply shock and we can imply that it reduces overinvestment problems.
FT 24
Pattanapong Waiyapoka
Financial Development & Government Revenue
This research studies the effect of financial development on the government revenue by using data from 56 countries since 1996 to 2018 with a generalized method-of-moment model. The analysis results show that the accessibility of financial institutions has a positive impact on government revenue in advanced economies. Furthermore, this study also finds that the depth of financial institutions and efficiency of the financial market are two factors which drive government revenue in emerging economies. However, another finding from this analysis finds that the depth of the financial market enhances the positive effect of GDP on government revenue in developing countries.
FT 24
Pavit Sae-Eng
Stock return dispersion and performance of domestic equity funds in Thailand
We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the meaningful interpretation that the clearly pattern of result in the relation occur only in the non-simultaneous analysis.
FT 24
Pisit Grittiyarangsan
The cross-sectional return dispersion with momentum strategy and the spill over across FX and Equity markets, during COVID-19
This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as an early indicator for the momentum strategy in the other market.
FX 14
Sadanan Ekkaewnumchai
Mutual Fund Flow and the Real Economy
This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4.
The study found a potential correlation between mutual fund flows with both the expected and real economy. Mutual fund flows seem to have a bidirectional relation with predictive variable. The result indicate that mutual fund flows not only react to an anticipated change in economic condition but mutual fund flows also affect investors’ expectation about the future economy. Good future economic expectation tends to lead the flow into bond fund while deteriorated future economic expectation is likely to bring up bond fund flows. Furthermore, the findings suggest that mutual fund flows could help predict predictive variables. The study evidence also suggest that mutual fund flows and macroeconomic condition are likely to be related. Mutual fund flows themselves contain information about the real economy. An improvement in the real economy is possibly predicted by an increase in equity fund flows whereas an increase in bond fund flows is likely to be a signal of a poor economic state. Also, mutual fund flows could possibly be affected by the real economic condition.
FT 23
Sarunporn Thupthong
Do Issuers Affect Derivative Warrants Overpricing? Evidence of Thailand
Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidence that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing differ across issuers. The results demonstrate that Thai derivative warrants tend to be overpriced and the nature of the overpricing phenomenon has changed due to the SEC revised disclosure regulation and the underlying market conditions. Furthermore, the results also show the existence of issuer identity effect on the overpricing level. The overpricing level is different across issuers and ranging from 2.77 to 66.15 percent. The findings can be explained through the issuer’s characteristics, namely, market share of issuer, credit risk of issuer, foreign issuer, and style of calculating time decay.
FX 14
Sasichanok Khongtip
The role of a banking market concentration in the effect of monetary policy on bank risk: Evidence from Thailand
This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system GMM estimator, while five variables of macroeconomic conditions and seven variables of bank-specific characteristics are controlled. Further, the focused explanatory variable of banking market concentration by asset size is incorporated as the interaction term with monetary policy indicators to study its effect on the relationship between monetary policy stance and bank risk exposure. Consistent with the previous literature, the main results of this study suggest that bank risk exposure increases when a monetary policy easing is implemented through not only lowering interest rates relative to the previous quarters and their long-term trends, but also low interest rates and the extended period of low interest rates. Though, such impacts on bank risk exposure during an expansionary monetary policy are mitigated by more concentration in banking market.
FX 14
Sirilada Chansermpong
Spillover Effects of Thailand GDP Announcement Surprise to AEC Stock Markets
This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and Philippines.
FX 14
Viriyah Vorasitchai
Is currency risk priced in the stock return - evidence from AEC markets
When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, as the value of such return varies across countries, it means investors who is risk averse should require a compensation.
FT 24
Yatida Palasri
Causality between corporate social responsibility and corporate financial performance
This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper analyzes the direction of causality between CSR and CFP in five different industries including energy, consumer non-cyclical, financial, technology and healthcare industries. This paper aims to study whether aggregated CSR scores and non-aggregate CSR scores (i.e., environmental, social and governance scores) toward the CFP measures (i.e., return-on-equity and Tobin’s Q ratios) have unidirectional or bidirectional relationship. In doing so, the bivariate panel vector autoregressive model and Granger causality test are used as the main methodology to analyze the unbalance panel data. In addition, several exogeneous factors are included in the model as control variables.
The results reveal that CFP measured by Tobin’s Q ratio negatively influences corporate governance pillar of CSR in energy industry. Moreover, the results show the negative influence of Tobin’s Q toward the aggregated CSR, environment pillar and social pillar in financial industry. These results conclude that the causality relationship between CSR and CFP vary across industries and that the use of different CFP measures generate different results.
FX 14
Boonchai Asawapiched
Asia REIT interdependence and the impact of COVID-19 pandemic
This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic in three sub-periods (overall study period, pre-COVID period, and COVID period). The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen cointegration test, Granger causality test, impulse response functions, and variance decomposition. In addition, U.S. REIT is incorporated to emphasis the impact of the U.S. REIT to Asian REIT.
The results indicate market integration of Asia REIT markets at long-run period which is consistent with the study of Oikarinen et al (2011), Hoesli and Oikarinen (2012), and Geng (2018) suggesting that the long-run REIT performance is closely related to the direct real estate market whereas REIT is affected by shocks and noise like stock in short-run. On the other hand, it is found that Asia developed markets (Japan, Singapore, Hong Kong) are segmented and influence others which could be due to similar economic situation of developed markets and the liquidity spilling over to emerging markets.
Another finding is that Asia REIT interdependent significantly changes after the breakout of COVID-19 suggesting both international and industry diversification in short run. The interdependent varies depending on the characteristics and capital structure of REIT (Bum, 2009). While, the recovery of REIT may rely on different disease control measures, monetary policy, and fund flow. The results show that the markets dominated by hotel and retail REIT (Singapore, Thailand, and Malaysia) have higher cointegration and differentiate from the other markets in COVID period. Furthermore, this study suggests that the impact of U.S. REIT market significantly increases during the COVID-19 period which is the possible effect of massive COVID-19 stimulus packages of the United States to the Asia REIT markets.
FX 14
Boontarikar Dangsritham
Inflation Level and Equity Mutual Fund Flows in Aggregate
This paper investigates the relationship of inflation level and aggregate equity mutual fund flows using Thai evidence. Sample period covered from 2006 to 2020. For the first objective, we investigate the relationship between realized inflation and net flow of money into equity mutual fund. Next, since investors are forward-looking, we extend the analysis to investigate the same relationship using forecasted inflation instead. Lastly, money supply is increasing since 2008 because of the first launch of QE. Also, inflation trend becomes lower since then. Our further exploration is whether there is a change in the relationship between inflation and aggregate equity mutual fund flow between pre-post 2008 period.

We find a strongly negative relationship between equity flows and realized inflation. When inflation is high, economic stability will be worsened and nominal interest rate is going up. As a result, there are outflows from equity. However, the same relationship is not founded using inflation expectation. Net equity mutual fund flows tend to move with the realized inflation rather than the forecasted. Furthermore, our findings show that there is a significant amount of fund flows into equity mutual fund since 2008 onwards, but we cannot detect any significant change in the relationship between inflation and aggregate equity mutual fund flows.
FX 14
Chawalit Rungpiboonsopit
Premium, Ownership and Operating performance in RTO
A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in this study, we aim to raise the research question about “Can we separate between good performance RTO firm and bad performance RTO firm?”. We examine 59 reverse takeovers in the U.S. stock market during 2007-2018. We then suggest that the premium that a private firm paid to a public firm and ownership that a private firm obtained from a public firm after a merger might be a signal to separate between good performance RTO and bad performance RTO. By examining the relationship between these two variables and change in operating performance, we cannot find evidence that these two variables can play a role to imply post-RTO operating performance.
FX 14
Juthamard Klomkhao
Do Women on Boards, Education Diversity and Corporate Governance affect Firm Risk and Firm Performance in Thailand?
The purposes of my study are to investigate the relationship among women on
boards, education diversity, and corporate governance on firm risk and/or firm performance of
listed companies in Thailand during 2010-2019. Surprisingly, I find an insignificant relationship
between the proportion of female directors and firm risk (both total risk and idiosyncratic risk).
Moreover, the findings show that women on boards strongly improve ROA, but significantly
reduce Tobin’s Q. For education diversity, there is no significant relationship on any measures
of firm performance. This study further discovers that an incremental effect of female
education diversity on women directorship positively affects only Tobin’s Q. In addition, the
result also suggests that an incremental effect of women directorship on corporate governance
lowers a positive effect of corporate governance on ROA, but not on Tobin’s Q. Overall, all of
these findings appear to vary depending on the type of firm performance measures used.
FX 12
Kamolwan Pavavimol
Single currency and the liquidity in corporate assets market
The single currency was adopted in 1999. It gave a huge impact on financial
system. In this study, we focus on the single currency impacted to the liquidity in the
corporate assets market, market whereby the mergers and acquisitions occurred. The
studies found that the single currency had positive effect to the liquidity index in the
corporate asset market measured by the intensity of the market transactions in each
industry. This increasing in the liquidity mainly from the cross-border deals from the
countries that stayed outside the eurozone. Moreover, we found that single currency
had positive effect to acquirers to initiate more deals. The acquirer-initiated positive
effects stayed with the mergers and acquisitions that happened in eurozone, no
empirical evidence was found on the mergers and acquisitions that acquirer was from
outside euro area.
FX 14
Kittika Sansanavanee
This study examines stock price reaction around credit rating and outlook
changes in Thailand. We collect data from stocks listed in SET (The Stock Exchange
of Thailand) which issued corporate bonds. These bonds must be listed in TBMA
(The Thai Bond Market Association) and were rated by either Tris or Fitch rating
Thailand between 2002-2020 (corporate bond credit rating and outlook change).
We also study further about the effect of these credit rating events in 3 sectors of
stock - Banking, Finance and Property Development. The empirical result shows
that good credit events provide significant positive abnormal stock return after the
announcement in both full sample (general stock) and 3 sectors sample, while bad
credit event announcements do not provide any significant negative abnormal
stock return. To precisely investigate the impact of credit event announcements,
we add control variable to eliminate partially effect of other factors in our
experiment. We found that cumulative abnormal return of stocks in 3 sectors is
significantly greater than stocks in other sectors during good credit event
announcements, but we did not find evidence that cumulative abnormal return of
stocks in 3 sectors is lower than the cumulative abnormal return of stocks in other
sectors during bad credit event announcements.
FX 14
Krit Yodpradit
Determinants of Power Purchase Agreements and Levelized Cost of Electricity in Renewable Energy Projects
Similar to the concept of concessions, governments worldwide encourage
investment in renewable energy by providing a fixed price under the power purchase
agreement (PPA) to the renewable energy developers. Depending on each renewable
energy technology, the PPA usually corresponds to the levelized costs of electricity
(LCOE) or the average lifetime costs of electricity produced by a power plant. Hence,
these two parameters play an important role in boosting renewable energy
development. Little is however known about the determinants of the PPA and LCOE.
Therefore, the paper tries to shed some light on the determinants of the PPA and
LCOE of wind and solar technologies with a global (totaling 26 countries) panel data
over the period of 2015 to 2019 using a fixed-effects and a system generalized method
of moments (sys-GMM) estimation model. We mainly find that the trend of PPA in
a more mature wind technology has tapered off but still driven mainly by the
technological costs and how risky the banks view the wind projects. Meanwhile, the
trend of PPA in a less mature solar technology is still declining and affected by the
additional demand shifted from conventional energy such as oil, natural gas, and coal
towards renewable energy and the environmental pressure from high CO2 emissions.
The LCOE’s of wind and solar energy are both in a downward trend and driven
mainly by the reduction in technological costs, the additional demand from
conventional energy players and the pressure from high CO2 emissions with the solar
LCOE also depending on the bank’s perspective. Lastly, the investment environment
through the FDI, inflation, and long-term interest rates can also affect the PPA and
LCOE. Implications of our results are also mentioned.
FT 23
Matina O-warinrat
Market liquidity and mutual fund performance during financial crisis
Market illiquidity influences mutual fund performance differently between crisis and non-crisis period. A significant drop in market liquidity makes investors panic leading to the early and large redemption. Fund managers have to liquidate the portfolio putting pressure on the asset prices, so the underperformance of mutual fund is recognized in non-crisis period. However, the result of illiquidity is different during crisis. The total effect of market illiquidity is positively related to all fund classes. This could then be interpreted as the evidence of management skills, market-timing and volatility-timing skills in fund managers to provide superior fund performance. Moreover, the further investigation on management strategy supports the evidence of manager skills in active fund to minimize the loss during the crisis.
FX 14
Paripon Sriboon
Unexpected Movement in Monetary Aggregates and Its Effect on Asset Price in Thailand
This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error variance decomposition suggests that the variance of shock in goods price is the main factor that contributes more than 90% to the total variance of forecast error for broad money. In addition, the impulse response analysis provides another three key findings. First, broad money significantly decreases after a few months in response to a rise in short-term rate. Second, an increase in money supply can lead to a rise in real output, goods price, and house price. Lastly, the response of goods price to shock in money supply is faster than the house price but the magnitude of the response is much smaller.
FT 24
Patipol Prawangsuk
Herding Behavior ,Case of Listed Companies in Thailand
We examine herding behavior in the Thailand stock market under different market conditions, industries, firm sizes, and investor types. We also study herding behavior during the Covid19 period. Lastly, we further develop a new factor that is a qualified price-risk element for stock return. The results show evidence of herding behavior in the Thailand stock market during the extreme positive and negative markets condition. And the herding behavior exists in twenty sectors out of twenty-six. The small-cap portfolio shows a greater magnitude of herding behavior compares with a large-cap portfolio. During the covid19 period, the result indicates herding behavior is more severe than usual. We further suggest the new risk factor in the Carhart four-factor model.
FX 14
Pattha Yodseranee
Demographic, Macroeconomic and Institutional Determinants of Life Insurance Consumption: Evidence from countries in Asia
Objective of this paper is to examine the determinants of life insurance consumption in terms of demographic, macroeconomic and institutional conditions from 26 countries from Asia covering the period of 1980 to 2019. The variables including 4 demographic variables, 7 macroeconomic variables and 3 institutional variables are explored by fixed effect estimation. The study also further examines difference of impact in different countries characteristic, that divided into Muslim, High-income and High-aged dependency ratio countries. The findings show that life insurance consumption have significant positive relationship with life expectancy. For high-income country, found that the Aged dependency ratio had less impact than other countries. On the contrary, Health expenditure and Political stability affect life insurance purchase decisions more than any other country. Subsequently, Aged dependency ratio and Inflation had less impact for High-aged dependency ratio countries.
FX 14
Pimnapa Wongvisavakorn
The lead-lag relationship of Block Trade Single Stock Futures and the underlying stocks: Evidence from Thailand
According to the efficient market hypothesis, there should not be any lead-lag relationship of the spot and futures price of the financial assets; however, many empirical studies have suggested otherwise. This study uses the Vector Error Correction Model (VECM) and Granger causality test with the daily trading data of Thailand’s block trade single stock futures and its underlying securities of 42 companies from 2016 to 2020. It reveals both unidirectional and bidirectional relationships of spot and futures markets with a less dominant role of the futures market in the price discovery function. None of the sample companies have both long-run and short-run causality from futures to spot market, and only 5% of the 42 companies show the leading role of the futures market in the long-run with bilateral interaction in the short-run. The results contradict our hypothesis that block trade single stock futures lead the counterpart underlying stocks in the short-run and long-run despite the higher leverage, lower transaction cost, and no short sale restriction of the futures market. The lead-lag relationship between block trade single stock futures and the underlying stocks in Thailand can provide insightful information for regulators and policymakers in promoting efficiency and improving the information asymmetry that would help create a better trading environment for investors.
FX 14
Pimsuda Tunyalagsanakul
Clayton Copula Value-at-Risk in Crisis and the Gold Optimal Weight: Evidence in Thailand
In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested in the tool to accurately estimate the market risk and ways to keep the portfolio maintaining the good performance in the extreme situation. This paper particularly investigates the Value-at-risk (VaR), which is one of the simplest and helpful tools to estimate market risk. By using data of SET50 and Thai Baht Gold, this paper demonstrates the best way to compute VaR among the various models of joint distribution of SET50 return and Thai Baht Gold return. There are two important components of joint distribution. The first one is the marginal distributions of SET50 and Gold. The study compares between the normal distribution and the extreme value distribution. Another component is the dependence structure of SET50 and Gold which will is described as copula. The study compares the gaussian copula with the clayton copula, the dependence structure capable of capturing lower tail dependence during the extreme negative return. Nevertheless, the result shows that value-at-risk using extreme value distribution and gaussian copula is our best model. To maintain the portfolio performance. the study sets the optimization problem and find the optimal weight by maximization the risk-adjusted return and use value-at-risk each model represents the risk instead of the standard deviation. The study shows that the optimal weight improves the portfolio performance during crisis, but the portfolio performance is worse during the non-crisis period.
FT 23
Sakolwat Seneekosol
Impact of Monetary Policy on Firm's Risk-taking Position and Investment Decision
The recent economic circumstance which takes a long period of recovery from the latest crisis push the monetary policy authorities to adopt ease monetary policy both conventional and unconventional policy (Taylor 2009). The traditional policies to boost the economic situation are lowering policy rates to promote economic activities, allow inflation to increase, and decrease the unemployment rate as Philippe Curve relationship. While the current situation makes conventional policies reach their limit, most of the major central banks adopt new techniques as unconventional tools which are Quantitative Easing (QE) to stimulate economic growth, financial conditions and reach the central bank’s inflation goal (Bernanke 2012). While these techniques are in use, the side effects of these techniques are concerned by a large number of market participants both from the internal market and external market in many aspects e.g. international liquidity shocks (Schnabl 2012), international spillover effect (Stanley 2014), and international credit supply (Morais, et al. 2019). The major policy effects on firm’s activities are changing their risk-taking behavior (Altunbas, Gambacorta and Marques-Ibanez 2014) and investment decision (Charoenwong, Morck and Wiwattanakantang 2020) due to these policy actions lead to the low return of government bond on the local market which pushes local firms to reach-for-yield on their investment (Diamond and Rajan 2009). Especially for banking business, these policy actions amplify these type of firms to increase their borrowing and lending activities (Matsuyama 2007), increase default probability (Kishan and Opiela 2012), and the policies also generate higher risk-taking position to banking industries ((Rajan, Has Finance Made The World Riskier? 2005), (Adrian and Shin, Financial Intermediaries and Monetary Economics 2010) and (Stein 2013)). With the globalization of the world financial market, the effect of Quantitative Easing by major countries spillover to other countries around the world especially emerging market ((Rey 2013), and (Rajan, Competitive monetary easing: Is it yesterday once more? 2014)) since emerging market like Southeast Asia always attracts the investors due to high potential of growth in the new-born market and the economic conditions which accommodate firm expansion, e.g. lower wages, the capacity of labor and tax holiday policies. While the international unconventional monetary policies are adopted to stimulate the major economy, the local monetary policy also plays an important role in the firm’s risk-taking as well (Jimenez, et al. 2014). Both external and internal impacts of monetary policy might affect market actions in an inappropriate way which can damage market stability and whole market confidence. As the main duty of the central bank to manage market stability and create a good investment environment, the central banker should be aware of these side effects and wisely adopt the policies to absorb both external and internal shock to balance between market stability goal and market stimulation. Thus, the monetary policies should set at the appropriate level to generate adequate economic conditions with proper firm investment and firm risk-taking position.
To identify the effect of monetary policy on the risk-taking position of a firm, the technique of Altunbas, Gambacorta, and Marques-Ibanez (2014) contribute the way to observe risk-taking position by using the expected default frequency (EDF) method as a proxy of the firm’s risk-taking position. The main analysis uses a change of expected default frequency in quarterly frequency with local monetary policy. In contrast with recent papers analyze the effect of monetary policy on the firm’s risk-taking, we extract the monetary policy shocks which are exogenous with the local stock market to observe the real effect of monetary policy. Moreover, we also improve our analysis of the effect of quantitative easing shock as an unconventional monetary policy which adopts by major economies.
To identify the effect of quantitative easing policy on the firm’s investment decision, (Charoenwong, Morck, and Wiwattanakantang 2020) provide the dummy variable to capture the firm’s investment period in quarterly frequency. The dummy variable is used to represent the period in which the firm decides to expand its investment by using long-term debt or capital funding. The analysis of investment decisions is limited to the effect of the Japanese government’s quantitative easing policy. In opposite to the literature, we extend our analysis to cover the effect of both local conventional policy and quantitative easing from other major economies including the US, UK, EU, and Japan on a firm’s risk-taking and investment decision.
To generate the monetary policy shocks from both conventional and unconventional policy, Romer and Romer (2004), (Caldara, et al. 2016), (Shirota 2019), and (Mumtaz and Theodoridis 2020) use regression on the Taylor-rule concept to extract conventional policy shock. The regression link between the local policy rate and macroeconomic variables on their estimation. This relationship is based on the loss function of the inflation targeting framework which shows the trade-off between the GDP gap and inflation gap while implementing the monetary policy. For unconventional policy shock, Morais, et al. (2019) create the proxy by using the change in the asset balance sheets of major central banks as a share of their country’s GDP which mainly represents the size of unconventional policy relative to the size of the country to standardize across the country.
This paper also contributes to the literature of monetary policy effect on risk-taking position. Ease monetary policy may stimulate higher risk-taking of the firm as discussed by (Rajan, Has Finance Made The World Riskier? 2005), (Adrian and Shin, Financial Intermediaries and Monetary Economics 2010), (Stein 2013), and (Altunbas, Gambacorta and Marques-Ibanez 2014). The empirical evidence of the effect of monetary policy on risk-taking can be diversified into two-level. The first level is the local level which affects their economy as justified by Jimenez, et al. (2014), Dell'Ariccia, Laeven and Suarez (2017), and (Morais, et al. 2019). The second level is the international level which is affected by ease policy rates and Quantitative easing by major economies to credit supply on emerging countries as tested by Rey (2013), Miranda-Agrippino and Rey (2015), Bruno and Shin, Capital flows and the risk-taking channel of monetary policy (2015), Bruno and Shin, Cross-border banking and global liquidity (2015), and Morais, et al. (2019).
Monetary policy not only affects risk-taking but also the firm’s investment decision. According to Tobin (1969), easing monetary policies affect current production and capital accumulations of the firm due to market valuation and reproduction cost. In particular, the empirical evidence by Charoenwong, Morck, and Wiwattanakantang (2020) also provides the effect of quantitative easing policy in Japan on a firm’s investment decision due to lower their cost of capital and bankruptcy risks. Another explanation supports the effect of easing monetary policy induce firm investment is a lower cost of capital might attract firm to inefficient allocation their investment due to “empire-building” investment strategy by the CEO or agency problem in the firm (Jensen (1986), and Pinkowitz, Stulz and Williamson (2006)).
Finally, we contribute the literature of risk-taking measurement for banking business as discussed by Chan-Lau and Sy (2006). The banking firms have special characteristics and regulations, known as Basel III or capital adequacy ratio, which control their asset quality and quantity. As mentioned earlier, the regulation control ratio between a safe asset and risky asset which implies the based status for all banking firms. The effect of these regulations surely reduces the risk of banking business to taking risks relative to other businesses.
My key contribution is analyzing the change in the firm’s risk-taking by both conventional monetary policy shocks and unconventional monetary policy shocks which allow us to capture the effect of each type of policy on the risk of firms. Moreover, this paper also analyzes the monetary policy spillover effect from the major economy on the local firm’s risk-taking position. While the monetary policy might affect the firm’s risk-taking position, this paper also analyzes the impact of both conventional and unconventional monetary policy on a firm’s investment decision which provides a deep analysis of both the quantity and quality of the firm’s investment. Lastly, my analysis also provides empirical evidence of monetary policy effect on the firm’s action which should be considered by local central banks as their duty to maintain financial stability.
In this paper, my study focuses on the effect of both local and foreign monetary policy including both conventional and unconventional policy on Southeast-Asia firm’s risk-taking behavior and their investment decision which limits 5 main stock markets in Southeast Asia. We also focus our analysis on (I) whether local conventional monetary policy shocks affect local firm’s risk-taking position and their investment decision, (II) whether foreign conventional monetary policy shocks affect Southeast Asia firm’s risk-taking position and their investment decision, (III) whether foreign unconventional monetary policy shocks affect Southeast Asia firm’s risk-taking position and their investment decision, (IV) whether local unconventional monetary policy shocks affect local firm’s risk-taking position and their investment decision. (V) whether the effect between local and foreign conventional monetary policy affects both risk-taking position and investment decision on local firms differently. (VI) whether the effect between local and foreign unconventional monetary policy affects both risk-taking position and investment decisions of local firms differently.
As discussed earlier research question, this section aims to link the economic logic and state the result expectation for answer all research questions. First, I expect the negative effect of local conventional monetary policy shocks on the firm’s investment decision because when central banks adopt the contractionary monetary policy, local firms might face negative shocks of higher investment cost. As mentioned by Diamond and Stiglitz (1974), higher investment cost shocks create uncertainty on firms that refer to the cost of random demand. These effects distort the firm’s action to accumulate more capital to maintain its utility level which refers to higher investment or higher chance to make an investment decision. While firms make investment decisions at higher investment costs, I also expect a higher risk-taking position of local firms because of their risky investment decision. While the foreign conventional monetary policy might affect local firm’s investment decisions and risk-taking position in the same way as a local conventional monetary policy due to higher foreign policy rate might create capital outflow and lower local credit supply which will increase local loan rate and firm’s investment cost. As discussed earlier, higher local investment cost distorts the local firm’s actions to expand its investment and taking a higher risk-taking position.
Second, I expect a negative effect of contractionary unconventional monetary policy on a local firm’s investment decision. The unconventional monetary policy mainly supports the firm’s balance sheet by allowing the central bank to hold a firm’s debt. While contractionary monetary policy is implemented, the central banks decrease their firm’s debt purchase or lower their firm’s balance sheet support which increases a firm’s risk awareness. Thus, firms with higher risk awareness will carefully select their investment or hard to make an investment decision. The lower level of investment decision also affects the lower firm’s risk-taking position. For foreign unconventional monetary policy as mentioned by Fratzscher, Duca, and Straub (2018), The effect of unconventional monetary policy spillover from the US market to emerging market which mainly boosts the emerging stock market. I expected the large credit supply from major countries’ unconventional monetary policy to Southeast Asia stock market which creates over credit supply in the local market and decreases a firm’s investment rate. Thus, the lower firm’s investment rate creates positive shocks on firms to receive a higher utility level and tend to accumulate lower capital asset and lower their investment decision. Lastly, the lower firm’s investment decision lead to a lower firm’s risk-taking position.
FX 12
Sirilak Sriburapar
Industry Size and Deal Initiation: Evidence from Merger and Acquisition
Targets in small industries are more likely to initiate the
deal than targets in large industries. Bidders are willing to pay
more for target-initiated deals in small industries than in large
industries. This research finds empirical evidence that industry
size significantly impacts firms' decision to initiate the deal
and bid premium. Targets in small industries are more
plausibly to initiate the deal because the demand for target
corporate assets is lower. Consequently, they receive lower
premiums compared to targets in large industries.
Surprisingly the impact of target-initiated deals on
premiums significantly depends on target industry size, the
negative impact of target-initiated deals is larger in large
industries. As a result, target-initiated deals in small industries
receive higher premiums than target-initiated deals in large
industries. The premium gap between bidder-initiated deals
and target-initiated deals in small industries is narrower than in
large industries.
FX 14
Tanatuch Kujiranuwat
Cross Hedging Currency Risk from Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives
The study explored performances of cross-hedging emerging/frontier market currency risk with developed market currencies from Thai investors’ perspective. The results showed that Thai investors can use a cross-hedging strategy to reduce currency risk and improve risk adjusted return from their emerging market investment. Single cross hedging can reduce portfolio risk significantly as confirmed by the F-test. Multiple cross-hedging showed signs of improvement from single cross-hedging both in currency risk reduction and risk adjusted return improvement, but the statistical test failed to prove that the improvement is significant. While the portfolio return was penalized by the hedging cost. The risk reduction justified the hedging cost and improved risk adjusted return performance indicators; Sharpe ratio and Sortino ratio. The improvement was confirmed by the standard paired bootstrap test of the ratios.
The study also revealed that, in some cases, Ederington hedge effectiveness and Sharpe/Sortino ratio can be contradicting, both measures must be considered before making hedging decisions. When investment risk is significantly higher than the FX risk, the improvement will not be as prominent as when investment risk and FX risk are at the same level. Thus, in this study, cross-hedging bond investment showed more significant risk adjusted return than in stock investment. In our study, rebalancing strategy affects the cross-hedging performance, 3-month rebalancing strategy produced significantly higher risk adjusted return than 1-month rebalancing strategy. Sharpe ratio and Sortino ratio were equally effective and always went in the same direction. The results are sensitive to market conditions and situations, thus selection of recent data sets and continuous monitoring in actual implementation of currency cross-hedging will be crucial.
FX 12
Thanakorn Petkajee
Analysts’ Consensus and Predictability of Forward P/E Ratios
Analysts play a crucial role in providing some important investment data,
such as firms’ performance analysis, target prices, the forward P/E ratios, and so on,
to investors. This special project studies the impact of analysts’ consensus on
predictability of the stocks listed on the Stock Exchange of Thailand. Two models
of analysts’ forecast error are proposed and used as a proxy for predictability in the
study. The first model of analysts’ forecast error, ln(AFE), is computed from the
natural logarithm of the squared error in a median forecast of one year ahead, i.e.
(Actual next 12M EPS – median forecast EPS)2
, deflated by the beginning share
price. The second model of the forecast error, |EPS FE|, is calculated from the
difference in a median forecast error, i.e., Actual next 12M EPS – median forecast
EPS, divided by the absolute value of Actual next 12M EPS. The study investigates
the impact of analysts’ consensus via the analyst variables, such as the previous
forecast error, the number of analysts (NOA), the variance of target returns (VTR),
the skewness of target returns (STR), and the percentage of “Buy” recommendation
(PBR), while controlling firm’s fundamental and macroeconomic factors, i.e.,
dividend yields, earnings growth, firm’s leverage, firm’s size, and the short-term
interest rate. The empirical results show the forecast error in the first model is
influenced by the previous forecast error whereas other analyst variables, as well as
control variables, have no relationship with it. This implies that analysts improve
their current forecast by learning from their previous forecast error. The regression
results of the second model reveal that the previous forecast error, NOA, VTR, and
PBR are the only factors affecting the current forecast error. However, the
robustness test reveals that the second model may not be suitable for measuring
analysts’ forecast error because it is sensitive to the outlier data whereas the results
of the first model remain unchanged after removing the outliers.
FX 14
Thanawat Thangchadakorn
Option return around earning announcement in London
While prior studies find that returns on straddles constructing before earning announcements are positive in U.S. equity option market, we further investigate and find that returns on straddle constructing before earning announcement are positive in London Stock Exchange either. The logic behind this positive return while return on straddles are generally negative is option traders underestimate volatility of upcoming earning announcement period due to recency bias.
FT 24
Thapanee Suphapitakpaiboon
The relationship between fees and performance of domestic equity funds in Thailand
This study inclusively examines the relationship between fund fees and performance of open-end domestic equity funds in Thailand from 2010 to 2019 to analyze the domestic-equity fund market in 2 main dimensions: the market competitive and conflict-of-interest between the duties of asset management companies (AMCs) to their parent bank and to unitholders through fund fee channel. The study investigates the relationship of (1) fund fees, (2) fund fees set by bank subsidiaries, and (3) fund fees set by large-bank subsidiaries with its performance in term of both returns over benchmark and Jensen’s alpha.
Based on the results, investors paid higher fees to AMCs without compensating the fees with superior performance from investment in Thai domestic-equity funds on average. These also implies the domestic equity funds market is not able to be concluded that the market is highly competitive. For funds managed by bank subsidiaries, the result reports that there is statistically significant in the additional negative impact from the fees set by bank-subsidiaries on the fund performance. Thus, the fees set by bank-subsidiaries do matter as it could higher deteriorate the fund performance. One of underlying concept to explain this is because of bank conglomerate structure in mutual fund market, there is possible that AMCs may involve in the activities such as increase in fund fees collected from unitholders that was beneficial to parent bank in term of increase in its revenue rather than maximizing the interests or fund returns to unitholders. Moreover, to inclusively study in conflict-of-interest issue through fund fee channel, the result significantly shows that investors would significantly pay higher fees especially to non-large bank subsidiaries and not receive superior performance.
FX 14
Tharita Jumroonwat
The impact of ETF mechanics and the Bank of Japan intervention on the intraday volatility of the underlying stocks
Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs on intraday volatility. In addition, I find that the sign of stock-level mispricing has a different impact on intraday volatility where the negative sign of net mispricing (ETFs are traded discounted) has less impact. This is because arbitrage treading involves higher costs. I further investigate the direct and indirect impact of BOJ ETFs purchase on intraday volatility. The evidence confirms the effectiveness of BOJ intervention as it could lower intraday volatility and reduce the impact of ETF arbitrage on stock price volatility. Moreover, during the COVID-19 pandemic, the effect of interest is lower because during the crisis, a market, in general, is illiquid. Hence, there is less intensity of ETF arbitrage and less volatility.
FT 24
Theerapat Muenpakdee
Return Predictability of CAPE versus PE, A Case of Thai Stock Exchange Market
The cyclically adjusted price-earnings ratio (CAPE) is proved to have better predictability than traditional PE in the US market, S&P index, and robust through inflationary changes. This paper finds the result is similar in Thailand and consistent in the scale of stock level, but the performance is different in different periods. The performance of CAPE is significantly better than PE when the stock is in the group of stocks that has a high market-to-book value with low dividend yield, a high inflation period, and the period that has more amount of positive earnings-per-share. The study also shows that CAPE could be adapted with a shorter investment period than 10-years. The forecasting period of 3-years also shows the better predictability performance of CAPE comparing to PE.
FX 14
Thippapha Glinlek
Capital Structure Volatility and Dividend Policy: Evidence from Thai Listed Firms
This study attempts to identify the factors affecting capital structure volatility using firm-specific on a sample of listed Thai firms from 2001 – 2020. This study documents that firm-specific factors impact capital structure volatility. Firms with higher growth opportunities, more profitable and have greater change in their assets tend to vary their capital structure more.
In the second part, after determining the factors influencing capital structure volatility. This study provides the evidence of capital structure volatility (CSV) on dividend policies. And find that a high level of CSV is negatively associated with dividend policies. This paper also examines the variation of dividend policy across industries. The results illustrate that there is a variation of dividend policy across industries and factor influencing dividend policy also different across industries. Moreover, defensive industry pays higher dividend than non-defensive industry.


Student Exchange and Collaboration Courses are extraordinary opportunities for students to enrich and diversify their academic experience overseas. Each year MSF students take part in these activities to get a chance to work with renowned professors and vibrant students at our partner universities around the world. In addition to our students going outbound, there are international students from various universities exploring unique learning opportunity in our Program creating such an interesting diversity to MSF Program.
“Getting my Master’s degree from MSF Chula was a rewarding experience for me. As an international student, I felt cared for by the professors and staff. The program provides a lot of opportunities to expand my mind and enhance my experiences in the field of finance. Excellent educational resources and infrastructures lead to an overall enjoyable educational experience.”
Zahin M. Chowdhury (FX12) Managing Director, MNC Packages Ltd., Bangladesh
“The MSF program does contribute to the progress in my career at EGAT. Through the theoretical and practical knowledge in finance, I have been equipped with capabilities and confidences to cope with investment development challenges in the period of technology disruption and transition in energy industry.”
HARID KHAOLUANG (FX10) Chief, Investment Analysis and Development Department, Business Development Division of EGAT
MSF Chula offers a broad slate of academic courses for both freshly graduated and experienced professionals. The program requires 36 credit hours to graduate. In addition to the core course requirements, students must select one of these two options:
Plan A
Students with less than 1 year work experience are required to take this option which is only offered full-time. Out of the required 36 units, students will take 24 credit units of course work and 12 credit units of thesis research project over 2-term period.
1 year work experience

Plan A Diagram

Plan B
Students with at least 1 year of work experience are eligible to pursue this option on either a full-time or flexible schedule basis. This plan consists of 3 components: 30 credit units of course work, 6 credit units over 2 term period of research project, and a comprehensive examination which is to be taken the following term upon completion of all course works.
1 year work experience

Plan B Diagram

Our full-time classes meet on Monday – Friday from 9:00 – 16:00 hr. Upon availability of each individual lecturer, some classes may meet off-office hour.
Term 1
Term 2
Term 3
Plan A
5 Core Courses 1 Core Courses +3 Elective Courses +Proposal 1 Elective Course +Thesis
Plan B
(Special Project)
5 Core Courses 1 Core Courses +3 Elective Courses+SP(l) 4 Elective Courses + SP(ll) + Comprehensive Exam
*Plan A: Students with less than 1 year work experience
Plan B: Students with at least 1 year work experience
We offer flexible program during weekends and after regular office hours to suit students who have full-time career and yet still want to pursue academic advancement. Flexible program classes meet on Saturday-Sunday from 9:00 – 17:00 hr. Subject to each lecturer’s schedule, some classes may also meet on weekdays from 18:00 – 21:00 hr. Applicants in this flexible program must have more than 1 year work experience and choose Plan B (Special Project).
Flexible Program Curriculum Overview
Term 1
Term 2
Term 3
YEAR 1 3 Core Courses 2 Core Courses 1 Core Course +
 2 Electives Courses
Term 4
Term 5
Term 6
YEAR 2 2 Electives Courses+ Comprehensive Exam 2 Elective Courses +SP(l) 1 Elective Course +SP(ll)

Course List

Course Title
Finance Theory
Financial theories related to investment and consumption decisions under certainty and uncertainty; risk preferences; application of expected utility theory in investment analysis; perfect asset markets; complete asset markets; portfolio theories; asset pricing theories; analysis of key corporate finance issues; capital structure; dividend policy; ownership structure; asymmetric information
Derivatives and Risk Management
Derivative markets; options and trading strategies; option pricing models; option price sensitivities; futures and trading strategies; swaps; forward rate agreements; interest rate options; value at risk (VaR) approaches; real options.
Financial Statement Analysis
Techniques for financial statement analysis and their interpretation for decision making; uses of financial statement information in practices; demand and supply of financial statement information; quality of financial statement information; credit analysis; security analysis; risk analysis; corporate valuation.
Financial Econometrics
Statistical techniques and econometrics for financial research; linear regression analysis; hypothesis testing; large sample statistical theory; relaxing assumptions of classical linear regression models; univariate time series analysis
Ethics in Finance
Code of ethics; standards of professional conduct; ethics in the investment profession.
Financial Markets, Institutions, and Instruments
Roles of financial markets; structure of financial markets: money and capital markets; primary and secondary markets;
types and roles of various financial institutions in intermediation process; determination of interest rates; roles of regulators;
central banks; commercial banks; money supply process; debt markets; equity markets; foreign exchange markets;
financial instruments; efficient market hypothesis; financial markets in international context.
Corporate Finance
"Initial public offerings; seasoned equity offerings; rights offerings; private placement of equity; debt offerings; convertible debt; venture capital financing; mergers and acquisitions; corporate diversification; securities market regulations and corporate governance; event-study methodology.

Condition: Prerequisite 2604631 and 2604632"
Corporate Governance and Compliance
Corporate governance; compliance and other related issues; strategic compliance management; integration of corporate governance, risk management and compliance.
Practical Corporate Financial Modeling
"Condition: Prerequisite (2604631 and 2604632) or 2604639
Financial planning and assessment of financing needs; cost of capital estimation and capital budgeting; discounted cash flow valuation model; weighted average cost of capital; adjusted present value model; corporate financial decisions and their impact on firm valuation"
Strategic Portfolio Management
Concepts, process and construction of investment portfolios; portfolio management strategies and diversification; portfolio performance evaluation; portfolio management for individual and institutional investors; asset allocation.
Portfolio Performance Evaluation and Attribution
Basic and advanced portfolio performance evaluation models; applications of performance evaluation and attribution techniques; measuring portfolio performance without knowledge of the proper model; measuring market timing; measuring hedge fund performance.
Equity Analysis and Valuation
Market efficiency and valuation; discounted cash flow valuation; relative valuation; residual income valuation and economic value added; option application for stock valuation; technical analysis.
Selected Topics in Risk Management
"Advanced tools of financial risk management; credit derivatives; credit risk modeling; credit scoring; option-based models; credit migration models; reduced form models; applications of risk management for financial institutions; developments and current issues in risk management.

Condition: Prerequisite 2604643"
Financial Programming
Introduction to programming; data manipulation techniques; software project management; spreadsheet application.
Financial Risk Management for Pension Plans
"Condition: Prerequisite 2604631 or 2604639
Fundamentals of pension plans; pension plan valuation concepts; pension funding concepts; solvency concepts; asset and liabilities management of pension funds; optimal asset allocation and risk management for pension plans; capital requirements and economic capital."
Alternatives and Innovations in Investment
Alternative investment strategies: hedge funds, real estate, and private equity; risk-return characteristics of various alternative investments; use of alternative investments to enhance portfolio risk-return trade offs.
Foundation of Behavioral Finance
Theoretical foundations of behavioral finance; overconfidence; representative heuristic; attribution theory; anchoring; prospect theory; limits to arbitrage; market anomalies; corporate behavior.
Market Microstructure
Market microstructure models; order types; order submission strategies; trader types; behavior of informed traders; probability of informed trading; price discovery; origins of liquidity and volatility; transaction cost measurement.
Macro Issues in Finance
Financial system and institutions; aggregate demand and supply; money creation; roles of expectation on markets and policy; monetary and fiscal policies; economic indicators.
Financial Engineering
Financial modeling; portfolio optimization; exotic derivatives; structured products; simulation and numerical methods for derivative valuation; financial innovation; cases in financial engineering.
Fixed Income Securities
Fixed income securities and markets; bond valuation; risk measurement of bonds; term structure of interest rate; yield curve fitting; bond portfolio management; interest rate derivatives.
Special Topics in Finance
"Financial planning and assessment of financing needs; cost of capital estimation and capital budgeting; weighted average cost of capital model; adjusted present value model; corporate financial decisions and their impact on firm valuation"
Emerging Capital Markets
"Development of emerging capital markets; cross-border capital flows; governance and regulations; valuation challenge in emerging markets; risk analysis and assessment; issues in emerging equity and bond markets."
"MSF is one of the top of mind for financial school in Thailand. Not only the theories I learned, but also practical cases which is very useful.
With proficient professors and interesting curriculum, a year spent in this program was a great opportunity for accelerating my career path in finance."
Chuleephan Patiyatyothin (FT19) Financial Consultant (Assistant Vice President), KKP Private Wealth Management


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As a world-class institution, Chulalongkorn Business School offers top-ranked Master of Science in Finance program. Our graduates are fully prepared to meet the challenges of rapidly changing financial markets. Thank you for your interest in joining our MSF Chula family!

Tentative Dates for 2022 Admission (** Subject to change due to Covid Situation)

Deadline for application submission of batch#1
28 Jan 2022
Interview of batch#1
7 February 2022
Deadline for application submission of batch#2
5 May 2022
Interview of batch#2
Full Time: 16 May 2022
Flexible: 17 May 2022
Admission decision notification
26 May 2022
"The MSF program provided me with a strong theoretical foundation to better understand and analyze financial markets, products, and risks. It also sparked my desire to become a more well-rounded and proactive financial regulator, equipping me with the skillsets to pursue a second Master’s degree at Harvard University, work with FinTech startups, and think critically when balancing financial innovation with financial stability and consumer protection.”
Tunyathon Koonprasert (FX9) Senior Analyst, Bank of Thailand, and Project Manager, Alliance for Financial Inclusion