A study of foreign exchange exposures and their impact on stock returns : evidence from Thailand | |
| Author | Ghimire, Hariom |
| Call Number | AIT RSPR no.SM-10-11 |
| Subject(s) | Foreign exchange rates--Thailand Stock exchanges--Thailand |
| Note | 64 leaves : ill. |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-10-11 |
| Abstract | Majority of research encompassing the Effici ent Market Hypothesis has been done on major stock markets of United States a nd Europe. A considerable amount of research cannot be seen in case of the stock markets of de veloping and less developed count ries .Some studies have been conducted on Karachi stock exchange (KSE), but most of them were focusing only on one form of efficient market hypothesis, wh ich are also not in recent past . This study seeks evidence of Weak-form efficiency & Semi strong form of efficiency in KSE. The sample includes the daily price indices of KSE 100 index for the period of Dec 31st 2003 - 4th March, 2010. The first hypothesis of the study is whether the KS E is weak form efficient. This Hypothesis has been tested with the help of Random walk model. Fi rstly it was tested for Normal Probability distribution with the help of two Non-Parametric tests named as Chi-Square test & Kolmogrov –Smirnov normality test. 2nd pa rt of Random walk model, stated as Independence was checked w ith the help of Run test & Autocorrelation test. For semi strong form, the relevant conceptual testing was conduc ted to check Weekday e ffect, Weekend effect, January effect & religious Holidays’ effect. These all tests were performed on the original data of closing prices. By assuming Return as the difference of 2 days closing prices, severa l models have been employed to develop, after 1 st order differencing. The best model discovered was ARIMA model. As this model was fulfilling the criteria of selection for all four diagnostic tests. The results provide evidence that series of market prices do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency. The results of Semi strong form of efficiency gave mixed i ndications. As the means found for January effect & religi ous holidays effects are different .While no difference in means for Weekday effect & Weekend day effect. The issues are important to security analysts, investors and security exchange regulatory bodi es in their policy making decisions to improve the market condition. |
| Year | 2010 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-10-11 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Venkatesh, Sundar |
| Examination Committee(s) | Winai Wongsurawat;Donya Prueth Krairit |
| Scholarship Donor(s) | Baluchista n University of Informati on Technology Engineering and Management Sciences (BUITEMS) and AIT Fellowship |
| Degree | Research Studies Project Report (M.B.A.) - Asian Institute of Technology, 2010 |