Bond market efficiency in Thailand

Name: Saowanit Pulpet

LCSH: Kasetsart University -- Dissertations. Ph.D. (Economics) 2017

Classification :.LCCS: HG5750.55.A3

LCSH: Kasetsart University. Department of economics -- Dissertations

LCSH: Bond market -- Thailand

Abstract: Bond market efficiency is a crucial topic in financial market development. As a result, the main objectives of this study are 1) to describe the structure of Thai bond market, regulations and the government measures related to bonds trading, 2) to construct the composite index of bond market efficiency, and 3) to analyze the factors affecting bond market efficiency. Sixty four monthly Thai government bond series executed from June 2006 to December 2015 are analyzed. The government bond trading in primary market is controlled by the Bank of Thailand, and the trade in secondary market is controlled by the Thai Bond Market Association. In order to construct the composite index of bond market efficiency, the efficiency index can be considered by 2 main components which are transparency and liquidity. Moreover, the liquidity consists of 2 sub-components: tightness and depth. As the result of this study it is found that the efficiency of Thai bond market in transparency, tightness, and depth components are at the highest, high, and the lowest level respectively. The number of reporting trading errors, volatility of bond yield, interest rate policy, and quote bid ask spread yield can negatively affect the bond market efficiency while the net buying volume of foreign investors has the significant positive effect on Thai bond market efficiency. When the bond market authorities issued the measure to improve trading information report, appointed some bond series to be benchmark, and authorized financial institutes and other entities apart from primary dealer to be able to do securities borrowing and lending transactions, such activities will increase efficiency in Thai bond market

Kasetsart University. Office of the University Library

Address: Bangkok

Email: tdckulib@ku.ac.th

Name: Saksit Budsayaplakorn

Role: Thesis Advisor

Name: Supachat Sukharomana

Role: Thesis Co-Advisor

Name: Thana Sompornserm

Role: Thesis Co-Advisor

Created: 2017

Modified: 2023-06-28

Issued: 2023-06-28

วิทยานิพนธ์/Thesis

application/pdf

URL: https://kasetsart.idm.oclc.org/login?url=https://www.lib.ku.ac.th/KUthesis/2560/saowanit-pul-all.pdf

CallNumber: HG5750.55.A3.S26

eng

Spatial: Thailand

DegreeName: Doctor of Philosophy

Level: Doctoral Degree

Descipline: Economics

Grantor: Kasetsart University

©copyrights Kasetsart University

ลำดับที่.	ชื่อแฟ้มข้อมูล	ขนาดแฟ้มข้อมูล	จำนวนเข้าถึง	วัน-เวลาเข้าถึงล่าสุด
1	saowanit-pul-all.pdf	4.91 MB	2	2025-04-06 22:35:39

ใช้เวลา

0.039786 วินาที