PDF Version Also Available for Download. This study examines two interrelated but separate issues: The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies earnings-price ratio, firm size, and book-to-market ratio can be generalized across national stock markets.

The second essay studies the price and volatility spillover effects from the New York Stock Exchange NYSE to the SET.

The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average Sangmanee, Amporn December This dissertation is part of the collection entitled: UNT Theses and Dissertations and was provided by UNT Libraries to Digital Library , a digital repository hosted by the UNT Libraries. It has been viewed times , with 9 in the last month. More information about this dissertation can be viewed below.

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Finance Dissertation Topics

Descriptive information to help identify this dissertation. Follow the links below to find similar items on the Digital Library. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns.

The adjustment of estimated beta for the effect of thin trading does not change the implications of the results.

Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. In contrast to the previous empirical results for the U. The second essay employs a generalized autoregressive conditionally heteroskedastic GARCH model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates.

Further examinations reveal that information inferred from price changes in the U. This implies that price in the SET is informationally efficient with respect to the price determined in the U. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.

"The role of the stock market in influencing firm investment in China" by Feng Xiao

Unique identifying numbers for this dissertation in the Digital Library or other systems. Theses and dissertations represent a wealth of scholarly and artistic content created by masters and doctoral students in the degree-seeking process.

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Please update your browser or try another if possible. Showing of pages in this dissertation. Description This study examines two interrelated but separate issues: Physical Description viii, leaves: Who People and organizations associated with either the creation of this dissertation or its content. Chair Tripathy, Niranjan Major Professor Committee Members Redfearn, Michael R. Minor Professor Karafiath, Imre, Cobb, Steven L.

Publisher University of North Texas Place of Publication: Rights Holder For guidance see Citations, Rights, Re-Use. Provided By UNT Libraries Library facilities at the University of North Texas function as the nerve center for teaching and academic research. About Browse this Partner.

What Descriptive information to help identify this dissertation. University of North Texas Name: Doctor of Philosophy Department: Department of Finance, Insurance Real Estate and Law Discipline: Subjects Keywords New York Stock Exchange Stock Exchange of Thailand finance stock returns Library of Congress Subject Headings Stock exchanges -- Thailand.

Item Type Thesis or Dissertation. Identifier Unique identifying numbers for this dissertation in the Digital Library or other systems. Collections This dissertation is part of the following collection of related materials.

UNT Theses and Dissertations Theses and dissertations represent a wealth of scholarly and artistic content created by masters and doctoral students in the degree-seeking process. About Browse this Collection. Digital Files image files available in multiple sizes 1 file. When Dates and time periods associated with this dissertation. Creation Date December Added to The UNT Digital Library March 24, , 8: Description Last Updated Oct.

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Publication Place Denton, Texas University of North Texas. Map Information Automatically generated Place Name coordinates. Automatically generated Publication Place coordinates.

Stock market efficiency in developing countries: a case study of the Nairobi stock exchange. - Enlighten: Theses

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