Assessing the price effects of government bond auctions: evidence from Thailand

Name: Satita Sirichotikul

keyword: Government bond auctions

LCSH: Bonds -- Thailand

; Event study of bond auctions

LCSH: Rate of return -- Thailand

; Bond markets

; Independent study

Abstract: This paper applies an event study to analyse the pricing behavior of Thai government bonds around new issues. The abnormal returns found in this study are used to reflect this pricing behavior. By comparing actual returns with benchmark returns, which are derived from the underlying yield curve to access the statistical significance of excess return, the study finds significant amount of abnormal return for both before and during auctions. By using a cross-sectional analysis of cumulative abnormal returns (CAR), excess demand and bond supply are determinant factors of excess return at auctions, while only bond supply contributes to negative abnormal returns before auctions

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Suluck Pattarathammas

Role: advisor

Created: 2014

Modified: 2021-12-24

Issued: 2021-12-24

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2014.539

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

©copyrights Thammasat University

ลำดับที่.	ชื่อแฟ้มข้อมูล	ขนาดแฟ้มข้อมูล	จำนวนเข้าถึง	วัน-เวลาเข้าถึงล่าสุด
1	5593satita.pdf	775.04 KB

ใช้เวลา

0.038943 วินาที