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Sophana Buraprathep. Moving toward efficiency : the study of time-varying informational efficiency in the Stock Exchange of Thailand. Master's Degree(Finance). Thammasat University. Thammasat University Library. : Thammasat University, 2015.
Moving toward efficiency : the study of time-varying informational efficiency in the Stock Exchange of Thailand
Name: Sophana Buraprathep
keyword:
Time-varying market efficiency
Abstract:
The application of random walk or general auto-regressive model to investigate time-varying degree of informational efficiency in the previous literatures has some drawbacks. To make improvements on model specification, this study proposes the stochastic AR(p) coefficient model that relates the dynamic behavior of degree of efficiency with time in three functional forms. Using daily returns from Thailands stock market from April 30th, 1975 to September 19th, 2014, this study finds the statistically significant relationship between degree of efficiency and time, which is well described either by the linear or the logistic function. Furthermore, the results suggest that degree of informational efficiency in the stock market improves through time as indicated by the decreasing numbers of day to disseminate particular amount of information
Thammasat University. Thammasat University Library
Address:
BANGKOK
Email:
preserv@tu.ac.th
Name: Anya Khanthavit
Role:
advisor
Created:
2015
Modified:
2021-10-08
Issued:
2021-10-08
วิทยานิพนธ์/Thesis
application/pdf
eng
DegreeName: Master of Science
Level: Master's Degree
Descipline: Finance
Grantor: Thammasat University
©copyrights Thammasat University
RightsAccess:
ใช้เวลา
0.026614 วินาที
Sophana Buraprathep
| Title | Contributor | Type |
|---|---|---|
| Moving toward efficiency : the study of time-varying informational efficiency in the Stock Exchange of Thailand
มหาวิทยาลัยธรรมศาสตร์ Sophana Buraprathep | Anya Khanthavit | วิทยานิพนธ์/Thesis |
Anya Khanthavit
| Title | Creator | Type and Date Create |
|---|---|---|
| International market integration : a study of Thai market
จุฬาลงกรณ์มหาวิทยาลัย Santi Tirapat;Anya Khanthavit | Pornanong Penpas | วิทยานิพนธ์/Thesis |
| C-CAMP and equity risk premium in Thailand
มหาวิทยาลัยธรรมศาสตร์ Vimut Vanitcharearnthum;Anya Khanthavit | Thatchai Sedthapinun | วิทยานิพนธ์/Thesis |
| An application of conditional Copula for the risk management of fixed income portfolio
มหาวิทยาลัยธรรมศาสตร์ Anya Khanthavit | Chaipakorn J.kunopakorn, 1983- | วิทยานิพนธ์/Thesis |
| Moving toward efficiency : the study of time-varying informational efficiency in the Stock Exchange of Thailand
มหาวิทยาลัยธรรมศาสตร์ Anya Khanthavit | Sophana Buraprathep | วิทยานิพนธ์/Thesis |
| Measuring risk in financial markets
มหาวิทยาลัยธรรมศาสตร์ Anya Khanthavit | Pariyada Srisopitsawat | วิทยานิพนธ์/Thesis |