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The purpose of the present study is to directly examine the relationship between bilateral exchange rate and stock market index in a bivariate framework during the period of the floating exchange rate regime in Thailand.

The monthly data used in this study are the stock market index or stock prices from the Stock Exchange of Thailand, and the nominal bilateral exchange rate in terms of baht per US dollar from the Bank of Thailand. The period covers July 1997 to June 2010 with 156 observations. This is the period that the country switched from fixed to floating exchange rate regime. The stock market return is calculated by the percentage change of stock market index (or stock prices) while the exchange rate return is the percentage change of the nominal bilateral exchange rate. Three estimation methods are used to capture the interaction between stock and foreign exchange markets: bounds testing for cointegration, non‐causality test, and the two‐step approach with a bivariate GARCH model and Granger causality test.

The results of the present study show that bounds testing for cointegration does not detect the long‐run relationship between stock prices and exchange rate. In addition, the non‐causality test fails the diagnostic test for multivariate normality in the residuals of the estimated VAR model. However, the two‐step approach adequately detects the linkages between the stock and foreign exchange markets. It is found that there exists positive unidirectional causality running from stock market return to exchange rate return. The exchange rate risk causes stock return to fall as expected. Moreover, there are bidirectional causal relations between stock market risk and exchange rate risk, but in different directions.

Since a rising trend in the risk in the foreign exchange market causes stock return to fall, both domestic and foreign investors should be aware of the risk or uncertainty in the foreign exchange market because it can cause their portfolio return to fall. For policymakers, reducing exchange rate risk cannot be done without the associated costs from a rising risk in the stock market.

This study provides an evidence of volatility (or risk) spillovers in stock and foreign exchange markets. In addition, the risk in foreign exchange market that adversely affects return in the stock market is an expected phenomenon under the floating exchange rate regime.

The main objective of the paper is to examine and evaluate how security analysts in Thailand and Malaysia appraise ordinary shares and what sources of information they use. A questionnaire was sent to 570 sell‐side Thai securities analysts working for 63 stock brokering firms, and to 160 Malaysian analysts working for a sample of 24 stock brokering firms. Responses were received from 191 Thai analysts and 75 Malaysian analysts. The results reinforce and support our expectation that fundamental analysis is the primary method of investment appraisal. Of the Thai analysts, 147 (77 per cent) reported that fundamental analysis is ‘almost always’ used to value common stocks and a further 38 (nearly 20 per cent) reported that they ‘usually’ use fundamental analysis. Similarly, 73 per cent of Malaysian respondents indicated that fundamental analysis is almost always used and a further 18 per cent usually use it as a basis for valuing common stocks. The results also reveal that both groups rate profit and loss account, balance sheet, half‐yearly results, company annual report, and company visits as the most important sources of information. In terms of relative importance, Thai analysts view company visits as the most important source, while their Malaysian counterparts rate the profit and loss account first.

Several studies have observed that stocks tend to drop by an amount that is less than the dividend on the ex-dividend day, the so-called ex-dividend day anomaly. However, there still remains a lack of consensus for a single explanation of this anomaly. Different from other studies, this dissertation attempts to answer the primary research question: how can investors make trading profits from the ex-dividend day anomaly and how much can they earn? With this goal, I examine the economic motivations of equity investors through four main hypotheses identified in the anomaly's literature: the tax differential hypothesis, the short-term trading hypothesis, the tick size hypothesis, and the leverage hypothesis.

While the U.S. ex-dividend anomaly is well studied, I examine a long data window (1975–2010) of Thailand data. The unique structure of the Thai stock market allows me to assess all four main hypotheses proposed in the literature simultaneously. Although I extract the sample data from two data sources, I demonstrate that the combined data are consistently sampled. I further construct three trading strategies – “daily return,” “lag one daily return,” and “weekly return” – to alleviate the potential effect of irregular data observation.

I find that the ex-dividend day anomaly exists in Thailand, is governed by the tax differential, and is driven by short-term trading activities. That is, investors trade heavily around the ex-dividend day to reap the benefits of the tax differential. I find mixed results for the predictions of the tick size hypothesis and results that are inconsistent with the predictions of the leverage hypothesis.

I conclude that, on the Stock Exchange of Thailand, juristic and foreign investors can profitably buy stocks cum-dividend and sell them ex-dividend while local investors should engage in short sale transactions. On average, investors who employ the daily return strategy have earned significant abnormal return up to 0.15% (45.66% annualized rate) and up to 0.17% (50.99% annualized rate) for the lag one daily return strategy. Investors can also make a trading profit by conducting the weekly return strategy and earn up to 0.59% (35.67% annualized rate), on average.

The purpose of this paper is to study the competitiveness of the stock markets in ASEAN 5, which are the Stock Exchange of Thailand (SET), the Singapore Exchange (SGX), Bursa Malaysia (BM), the Indonesia Stock Exchange (IDX), and the Philippine Stock Exchange (PSE).

This research applies Porter’s (1990) diamond model to analyze the competitiveness and the data were collected from World Economic Forum, International Institute for Management Development, the World Federation of Exchanges database, and DataStream.

The results show that SGX is the most competitive exchange in ASEAN 5 region. It dominates other exchanges in every dimension. It gains its reputation for being the region’s most prominent exchange, followed by BM, SET, IDX, and the PSE, respectively.

The results of this investigation provide rank for competitiveness of stock exchanges among ASEAN 5 and identify the way to improve its competitive position.

It is useful for public and private sectors involved in the development and policy making to promote funding and investment efficiency of the exchanges. It will be benefit to establish the well-planned development strategy and policy to build up the competitive advantage of the nations.

Identifying and benchmarking the competitiveness of the stock markets in ASEAN economies. By using Diamond Model, the authors propose indicators to assess the competitiveness of the stock markets in ASEAN 5 countries. Assessing the competitiveness of the ASEAN stock markets in this paper will lead us to better understand about each country’s strengths and weaknesses and to promote a mutual collaboration among the region toward ASEAN Economic Community.

This study aims to analyze the herding behavior in Southeast Asian stock markets. A cross-sectional absolute deviation of the returns approach is used to identify the presence of herding. Individual stocks and market returns were employed on each stock market on a daily basis during the period of January 2008 to December 2014 from five countries selected to obtain the necessary data. The samples observed consisted of stocks having higher liquidity and larger market capitalization for each stock market. The results suggest that there is significant evidence of herding behavior found in Kuala Lumpur and Philippines Stock Exchanges. In addition, there is no evidence of herding behavior in Indonesia, Singapore, and Thailand Stock Exchanges.

This chapter examines the impact of price fluctuations in foreign stock markets on the stock prices of domestic banks in Korea, Malaysia, Singapore, and Thailand. Some studies have argued that the 2007–2009 global financial crisis (GFC) affected domestic banks less in East Asia, even though the supporting evidence is rather limited. Employing a multinomial logit model, we estimate how changes in the United States and Japanese stock markets affected the banking sectors in the sampled countries before the 1997 Asian financial crisis, and before and during the more recent GFC. We interpret the number of banks in a given country that experienced a large price shock on the same day (or “coexceedance”) as shocks to the domestic banking sector. The results suggest that fluctuations in foreign stock market indices exerted a larger impact on the prices of East Asian banking stocks during the 2000s than during the 1990s. In addition, although the shocks brought about by the deterioration of foreign stock markets were significant before the GFC, both increases and decreases in foreign stock prices significantly affected the banking sectors of the respective countries during the crisis. Lastly, we conclude that increasing foreign capital flows and foreign assets and liabilities greatly influenced domestic banking systems in East Asia during the 2000s.

This study uses the unique setting of unusual market activity (UMA) replies to examine the market reaction and the effects of disclosure and investor protection amid information uncertainty.

A total of 1527 hand-collected UMA replies from the interlinked stock exchanges of Indonesia, Malaysia, Thailand and Singapore for the period of 2015–2017 were analysed using event study and Heckman two-step methods with market and matched control firm benchmarks.

The overall results support the uncertain information hypothesis. The UMA replies with new information were also found to reduce information uncertainty, but not information asymmetry, and they are complementary to investor protection in enhancing abnormal returns. The overall finding suggests that the UMA public query system can be an effective market intervention mechanism in improving information certainty and efficiency.

This study provides insight on the effects of news replies and investor protection on abnormal returns, and support for the uncertain information hypothesis. The finding is useful to policymakers and stock exchanges as they seek to understand how to alleviate investors' anxiety and to create an informationally efficient market. Nevertheless, this study is limited by the extensiveness of the hand-collected UMA replies and also the potential issue of simultaneity-induced endogeneity.

This study uses UMA replies and cross-country data taking into account the effects of market surroundings such as information uncertainty and the level of investor protection on market reaction.

The purpose of this paper is to investigate the characteristics of the Initial Public Offering (IPO) market, IPO underpricing and the long-run performance of IPOs and to find out the ex ante difference in the market structure between the pre-, during and post-periods of the Unremunerated Reserve Requirement (URR) at the 30 per cent rate.

The sample is a total of 245 IPOs listed on the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai), during the period 2001-2012. The explanatory variables consist of the age of the firm, the offer size, the time-lag between the IPO date and the first trading date, the proportion of shares owned by the government and the IPO subscription rates by foreign and institutional investors. In further analysis, the authors adopt a two-stage least squares approach to derive unbiased estimates of the relationship between government ownership, IPO underpricing and firm quality.

We find the ex ante uncertainty and earning management partially explain the IPO underpricing phenomenon in the Thai IPO market. Our findings support the impresario hypothesis shown by the negative relation between underpricing and the three-year after-market. In addition, the 30 per cent URR imposition by the Thai Central Bank promptly reduced the number of IPO issues and the proportion of foreigners and institutions subscribing to IPOs. However, it was able to enhance the degrees of IPO underpricing and the long-run performance of IPOs in Thailand.

The results presented in this paper may be, therefore, useful for investors, security analysts, companies and regulators in many other emerging markets beyond Thailand. Given the results from the over-performance of IPOs in the post-URR period, investors may do better holding Thai IPOs for a long period with a likelihood of gaining a higher return.

This paper contributes to the literature concerning IPOs – in that we have considered two stock markets, namely, SET and mai. Furthermore, unique data such as the government ownership and proportion of IPOs subscribed by foreign and institutional investors are taken into consideration in our research model. To the best of our knowledge, for the first time in the Thai IPO market, the effect of the 30 per cent URR on IPO underpricing and the performance of IPOs in the long-run has been closely examined.

The purpose of this paper is to investigate the adoption and evolution of corporate social responsibility (CSR) in Thailand and to scrutinize the mechanisms that drove the direction of CSR activities to their current forms.

Qualitative data were collected through in‐depth interviews with executives of 14 companies, and open‐ended questionnaires filled out by three organizations, all of which the public perceives as highly socially responsible. Additional data were collected from two CSR seminars, official company web sites, and a database provided by the Stock Exchange of Thailand's library.

The study reveals two key findings. One is the pattern of CSR development in Thailand that emphasizes social and environmental issues, which are less relevant to the business' core activities. The other is that Thai social and religious values are important antecedents of CSR strategy and implementation. Corporations communicate CSR implicitly and execute a two‐stage public relations strategy indirectly.

This paper reveals a unique interpretation of CSR in developing economies where agrarian social values and informal networks still dominate. Most extant literature assumes that CSR in developing countries mimics western patterns. This paper asserts that it is instead an adaptation of western concepts to local culture in the case of Thailand, which affected the whole CSR process – idea generation, implementation, and communication.

The purpose of this paper is to examine whether the catering incentives of dividends can influence firms' dividend payment decisions in Thailand.

The sample includes all listed stocks in the Stock Exchange of Thailand during the years 1992‐2009, excluding the firms from financial industries and firms with incomplete information. The catering incentives are measured by dividend premium. The firms' dividend payment decisions are measured by propensity to pay dividends and decision to change dividends.

The findings yield qualitatively consistent with the previous research. After controlling for the effect of the Asian Crisis during 1997‐1999, the result shows that the firm's decision to pay dividend could be affected by the catering incentives. Furthermore, dividend premium will reduce the probability that firms will decide to cut dividend payment from previous years.

The result is limited to the availability of historical data. The Stock Exchange in Thailand has been established for only 35 years. With the lack of availability and completeness of data, the historical data could be gathered for only 18 years.

Investors in Thailand show their preference for dividend incomes. This could be the catering incentive of the firm to decide to pay dividends.

This paper offers the evidence of catering incentives of dividend proposed by Baker and Wurgler in the emerging market. Even though the result is not strong, it can be the evidence supporting the catering theory of dividend, not only in well‐developed markets, but also in emerging markets such as Thailand.