Anya Khanthavit

• Ph.D. (Intl Bus. and Fin.), NYU (Stern)
• Distinguished Professor of Finance and Banking at Thammasat University

Particulate matter 2.5 (PM2.5) is considered the most dangerous air-polluting particle, causing premature death and inducing severe mental and physical diseases worldwide. PM2.5 affects stock market returns directly via the fundamental channel and indirectly via the behavioral channel. This study examines the effects of Bangkok’s PM2.5 pollution on...

Stock market returns are driven by political events. Investors adjust their behavior and reallocate their investments with respect to them. This study examines the effects of Myanmar’s 2020 general election and 2021 military coup on the Yangon Stock Exchange’s (YSX) returns. Myanmar is one of the fastest growing economies in the world, whereas its...

Traffic congestion generates economic losses within and beyond the confines of transportation systems. In addition, traffic congestion induces stress, which alters investors’ risk preferences and attitude misattribution. As economic losses and investor behavior affect stock market returns, traffic congestion has significant economic and behavioral...

Thai financial institutions have stopped issuing financial products linked to the Thai baht interest rate fixing (THBFIX) after July 1, 2021. The Thai overnight repurchase rate (THOR) serves as a substitute. However, the settlement of THOR-linked products refers to the average of daily THORs (THOR averages) computed in arrears. THOR averages are ba...

Traffic congestion and stock market returns are related, and the variables affect—and are affected by—economic conditions. Moreover, traffic congestion induces investor stress, thereby altering their decision-making. Stock market returns are depressed for high traffic days owing to behavioral reasons. This study analyzes the relationship between Ba...

The decoupled net present value (DNPV) is a popular valuation method for long-term and complex investment projects. It is believed that this method provides a more accurate value than the traditional net present value method. Despite its popularity and accuracy, the DNPV method misvalues projects. This study shows DNPV's misvaluation by the put-cal...

Stress influences decision making. Stressed investors may trade in concert and drive stock market returns in a certain direction. This study examines the effect of Bangkok traffic-induced stress on Thai stock market returns. The average Longdo traffic index during morning rush hours proxies for the level of stress. Because Bangkok traffic affects o...

Stress influences decision making. Stressed investors may trade in concert and drive stock market returns in a certain direction. This study examines the effect of Bangkok traffic-induced stress on Thai stock market returns. The average Longdo traffic index during morning rush hours proxies for the level of stress. Because Bangkok traffic affects o...

Gambling negatively affects the economy, and it brings unwanted financial, social, and health outcomes to gamblers. On the one hand, unemployment is argued to be a leading cause of gambling. On the other, gambling can cause unemployment in the second-order via gambling-induced poor health, falling productivity, and crime. In terms of significant ef...

During crises, investment re-allocation from risky to safe assets, constitutes a flight to quality market environment. This study investigates the flight to quality in Thailand from risky stocks to safe government bonds. It describes returns using the modified, conditional regression model, and extracts the unobserved abnormal returns using the Kal...

Gambling negatively affects the economy, and it brings unwanted financial, social, and health outcomes to gamblers. On the one hand, unemployment is argued to be a leading cause of gambling. On the other, gambling can cause unemployment in the second-order via gambling-induced poor health, falling productivity, and crime. In terms of significant ef...

The decoupled net present value (DNPV) is a popular valuation method for long-term and complex investment projects. It is believed that this method provides a more accurate value than the traditional net present value method. Despite its popularity and accuracy, the DNPV method misvalues projects. This study shows DNPV's misvaluation by the put-cal...

The U.S. presidential election is one of the most important events in the world to which stock markets of other countries react to. The 2020 U.S. presidential election was unique due to delayed vote counts, the incumbent president’s false election-fraud claims, and the violent riots at the U.S. Capitol Building. In this study, the reactions of Thai...

The U.S. presidential election is one of the most important events in the world to which stock markets of other countries react to. The 2020 U.S. presidential election was unique due to delayed vote counts, the incumbent president’s false election-fraud claims, and the violent riots at the U.S. Capitol Building. In this study, the reactions of Thai...

Previous studies have found the significant adverse effects of coronavirus disease 2019 (COVID-19) on stock returns and volatility. The effects varied with the confirmed cases and deaths. However, the extent of the effects have never been measured exactly. This study proposes a measurement model for the COVID-19 effects. In the proposed model, stoc...

A Kalman filtering regression model is proposed to resolve nonstationarity problems commonly found in certain performance variables, e.g., trading volume, of event study analyses. Resolution is possible when the expected performance variables are allowed to move according to random walk processes. The model can be used for cases in which performanc...

Previous studies have found the significant adverse effects of coronavirus disease 2019 (COVID-19) on stock returns and volatility. The effects varied with the confirmed cases and deaths. However, the extent of the effects have never been measured exactly. This study proposes a measurement model for the COVID-19 effects. In the proposed model, stoc...

This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is abnormal, what strategy is followed, whether herd behavior is present, and whether the actions destabilize the market. Foreign investors' trading behavior is measured by net bu...

Investment re-allocation during crises, from risky to safe assets, constitutes a flight to quality market environment. This study investigates the flight to quality in Thailand from risky stocks to safe government bonds. It describes returns using the modified, conditional regression model, and extracts the unobserved abnormal returns using the Kal...

COVID-19—the world’s most recent pandemic, has caused economic and financial crises globally. The situation is continually evolving overtime in a series of events, and stock markets must respond immediately to these evolving events with updates of expected cash flows and the real and perceived risks. This study asks how and how early the world and...

This study extends the conditional regression model for event study analyses to include sub-events related to the events under investigation. The extended model ensures that all relevant sub-events are included in the event window and their significant effects are not averaged out. The model is applied to analyze the effects of Thailand’s 2019 gene...

The COVID-19 pandemic has caused a health and economic catastrophe across the entire world, including Thailand. This study tests for the abnormal trading behavior of foreign investors on the Stock Exchange of Thailand in the time of COVID-19. Foreign investors own 30% of stocks and are the most active traders in this market. The study extends the c...

Event-study analyses are conducted to test for stock market reactions to COVID-19. Based on returns on the world, French, German, Italian, Spanish, U.K., U.S., Chinese, Philippine, and Thai stocks, the study finds significant, negative reactions to the disease. The reactions were to COVID-19’s extensive media coverage and pandemic declaration, not...

Event-study analyses are conducted to test for stock market reactions to COVID-19. Based on returns on the world, French, German, Italian, Spanish, U.K., U.S., Chinese, Philippine, and Thai stocks, the study finds significant, negative reactions to the disease. The reactions were to COVID-19’s extensive media coverage and pandemic declaration, not...

Moods affect investors’ attention, memory, and capacity to process information. Inattentive investors delay the price adjustment process, thus leading to a positive autocorrelation of asset returns. In this study, I investigate the relationship between weather-induced moods and stock-return autocorrelation in the Stock Exchange of Thailand from Jan...

This study extends the conditional regression model for event study analyses to include sub-events related to the events under investigation. The extended model ensures that all relevant sub-events are included in the event window and their significant effects are not averaged out. The model is applied to analyze the effects of Thailand’s 2019 gene...

This study extends the conditional regression model for event study analyses to include sub-events related to the events under investigation. The extended model ensures that all relevant sub-events are included in the event window and their significant effects are not averaged out. The model is applied to analyze the effects of Thailand's 2019 gene...

A Kalman filtering regression model is proposed to resolve nonstationarity problems commonly found in certain performance variables, e.g., trading volume, of event study analyses. Resolution is possible when the expected performance variables are allowed to move according to random walk processes. The model can be used for cases in which performanc...

A Kalman filtering regression to resolve nonstationarity problems found in some performance variables such as trading volume in event studies.

A well-specified and complete empirical model for weather effects, based on a rigorous noise-trader-risk theory, was developed. Using the daily data on the Stock Exchange of Thailand index portfolio and Bangkok weather variables from February 17, 1992 to December 30, 2016, significant effects of weather on both stock returns and volatility were fou...

This study proposed a state-space model that allows time-varying weather effects on asset returns. It resolves the model misspecification of the unrealistic, fixed effect assumption commonly made by previous weather studies. The model was applied to examine the weather effects on Thai government bond returns from July 2, 2001, to December 30, 2015....

The behavior of the Thai bond market in the time surrounding the 2006 and 2014 military coups is examined using the event-study method. Unlike the stock and foreign exchange market results, the bond market results are not affected by possible crony capitalism and seasonal international trade demands. Most variables, except for the 2014 abnormal ret...

Market efficiency evolves with changing market conditions. Moreover, if the conditions are weekday dependent, the efficiency can be day-seasonal. In this study, I test for the day-seasonal efficiency of the Thai stock market and examine how it behaves over time. Using the daily returns on the Stock Exchange of Thailand index portfolio from April 30...

To test for weather effects on stock returns and volatility, weather-related mood indexes were constructed from the principal components (PCs) of weather variables to obtain clean measures of investors' moods. Using the daily data on the Stock Exchange of Thailand portfolio index and Bangkok weather variables from February 17, 1992, to December 30,...

Previous studies on the effects of weather-driven moods on stock returns have focused on significance tests but have never examined the time behaviors of these effects. In this study, I estimated the vector autoregressive model to examine the time paths of the effects and analyzed whether the effects were temporary or permanent. Using the daily ret...

Time Paths of the Weather-Induced Mood Effects on Stock Returns (Appendix)--A. Khanthavit, Thammasat

The coordinated trading of weather-sensitive investors drives stock returns and links the return correlations with weather variables. In this study, I test whether the correlations in the Stock Exchange of Thailand can be explained by Bangkok’s weather variables. Using the daily data from September 3, 2002, to December 29, 2017, I find that the cor...

I review how static hedges for Thailand’s popular sophisticated derivatives are constructed from portfolios of vanilla options. The hedges are simple, and rebalancing is not needed or rare. Although the hedges are designed under restrictive assumptions, and sometimes the replication is approximate, previous empirical tests showed that the hedges ou...

Moods affect investors' attention, memory, and capacity to process information. Inattentive investors delay the price adjustment process, thus leading to a positive autocorrelation of asset returns. In this study, I investigate the relationship between weather-induced moods and stock-return autocorrelation in the Stock Exchange of Thailand from Jan...

Market efficiency evolves with changing market conditions. Moreover, if the conditions are weekday dependent, the efficiency can be day-seasonal. In this study, I test for the day-seasonal efficiency of the Thai stock market and examine how it behaves over time. Using the daily returns on the Stock Exchange of Thailand index portfolio from April 30...

To test for weather effects on stock returns and volatility, I constructed weather-related mood indexes from the principal components (PCs) of weather variables to obtain clean measures of investors' moods. Using the daily data on the Stock Exchange of Thailand portfolio index and Bangkok weather variables from February 17, 1992, to December 30, 20...

As the efficiency of the market improves, it is possible that weather effects cannot be detected by traditional, daily return tests. The effects may not exist at all, or they appear briefly but are traded against and disappear within the day. This study more closely examined weather effects, using intraday returns for the Thai stock market from 201...

The incorrect fixed-effect assumption, missing-data problem, omitted-variable problem, and errors-in-variables (EIV) problem are estimation problems that are generally found in studies on weather effects on asset returns. This study proposes an approach that can address these problems simultaneously. The approach is demonstrated by revisiting the e...

Weather effects exist, as weather influences investors’ mood, compelling them to raise or lower asset prices. These effects are indirect, as weather affects returns via mood – weather does not directly affect returns. Weather effects are, in fact, weather-induced mood effects. In this study, I estimated a model of weather-induced mood effects in it...

If the market is not efficient, bond returns can be set by weather-sensitive investors, thereby establishing a significant relationship between weather and investment returns. This study is the first study to test for the weather effects in the Thai government-bond market. Using a bond-return sample from July 2, 2001 to December 2015, applying full...

To study ways to introduce weather futures to the Thai market, possible underlyings, and benefits to the country, futures market, and investors

This study proposed a model for setting self-discipline saving rates in a risk-management framework and applied it to Thai income earners. The model involved financial planning, incorporating stochastic lifetime incomes, expenses, savings, and investment returns, together with mortality and morbidity data. The self-discipline saving rate was set so...

This document is the supplement to Khanthavit (2016). It reports the coefficients from artificial Hausman and OLS regressions for the SET, SET 50, and MAI index returns over the full and sub-periods. These statistics are referred to in Khanthavit’s (2016) discussion section.

This study tests for day-of-the-week effects in Thailand's corporate-bond market, using the Thai Bond Market Association's corporate-bond, zero-rate-return indexes of fixed durations and ratings. It is the first study for the market. More importantly, it is able to resolve changing-characteristics problems of bond returns in previous studies. Durin...

Financial markets around the world are converging to informational efficiency due to factors such as adaptive investors, strong competition, communication networks, and financial innovations. Within the same markets, however, the benefits of these factors to large and small stocks are not necessarily the same, hence leading to a faster or slower sp...

Background: Physical exercise improves physical health, reduces sickness risk and raises work productivity. This study proposes the expected, present value of bequest increment being induced by physical exercise to measure these combined benefits. Bequest summarizes how long, how healthily, and how lucratively a person lives. Because its present va...

The authors revisited the day-of-the-week (DoW) effect in the Stock Exchange of Thailand, using the daily return data on the SET, SET 50 and MAI index portfolios from September 2, 2002 to August 31, 2015. The DoW effect was found for the SET and SET 50 index portfolios, but not for the MAI index portfolio. The SET and SET 50 returns were significan...

Bid-ask spread can be decomposed into permanent and transitory components. In this study, I estimate the spread’s permanent and transitory components in Thailand’s government bond market--using daily bid and ask yields from January 2, 2003 to August 22, 2014, and relate them respectively with asymmetric-information and inventory-control costs being...

Monte Carlo simulation is applied to measure exactly to what degree regular physical exercise helps Thai baby boomers to improve family security (the ability to support loved ones) and health (freedom from sickness), which are ranked highest in their generational value system. The analysis examines comprehensive retirement planning, which incorpora...

Multivariate mediation analyses were used to relate perceptions of particulate matter 2.5 (PM_2.5) pollution level directly and indirectly to mental stress of residents in Bangkok, Thailand. PM_2.5 induced concerns about respiratory and cardiovascular diseases, health, and unemployment served as mediators of the indirect effects...

Certain approaches can be applied to estimate real yields on a daily basis for Thailand’s bond market. The estimation is complicated, data-intensive and time-consuming; hence it is not very useful to practitioners. This study proposes a simple and practical approach which practitioners can actually use. Simplicity and practicality result from the u...

Identifying necessary parameters using the linear projection approach in a latent multifactor interest model can be numerical challenging due to highly nonlinear and badly behaved objective surfaces. This study applies the minimum-chi-square estimation successfully in order to lessen computation time for Thailand’s daily real yields. Using monthly...

The study proposes an approach to estimate the term structures of daily real yields and expected inflations. An affine multifactor interest model for daily real and nominal yields and daily inflation rate is considered and then aggregated for the month so that it can be estimated using aggregate daily nominal-yield and information-variable data tog...

The study improves upon the linear projection approach to estimate daily real yields and expected inflations in a latent multifactor interest rate model. It estimates the projection coefficients for inflation factor exclusively from monthly inflation data, rather than from both inflation and nominal yield data, in order to lessen biasedness. Becaus...

The study tests for evolving market efficiency of Thailand’s stock maket, using the Time-Varying STAR model with a p > 1 lag. The model is flexible such that it can describe either gradual or swift changes in the efficiency level. The p lags are general enough to incorporate information of upto p days old into stock prices, as opposed to the 1 lag...

This study aims at providing empirical evidence on a comparison of two equity valuation models: (1) the dividend discount model (DDM) and (2) the residual income model (RIM), in estimating equity values of Thai firms during 1995-2004. Results suggest that DDM and RIM underestimate equity values of Thai firms and that RIM outperforms DDM in predicti...

Analysts' recommendations are especially important as they provide useful and straightforward information to investors. Using I/B/E/S data of analysts' recommendations from 1993 to 2002, we find analysts' recommendations convey similar informative 'value' to the Thai market. Our results on a calendar-time approach indicate that a momentum trading s...

Purpose This paper aims to test the hypothesis that the national stock market returns are driven by a world factor, regional factors and idiosyncratic factors, and to measure the importance of each factor. Design/methodology/approach The state‐space model is applied to describe the sample returns and estimate a world factor, regional factors and i...

To investigate the factors contributing to health-related quality of life (HRQL) in chronic liver disease (CLD). Patients with CLD and age- and sex-matched normal subjects performed the validated Thai versions of the short-form 36 (SF-36) by health survey and chronic liver disease questionnaire (CLDQ). Stepwise multiple regression analysis was used...

This paper investigates the ownership and control of Thai public firms in the period after the East Asian financial crisis, compared to those in the pre-crisis period. Using the comprehensive unique database of ownership and board structures, we find that the ownership and control appear to be more concentrated in the hands of controlling sharehold...

This study examines the behaviour of stock prices in the presence of asymmetric information, when market participants are prohibited from short selling. Although insiders privy to negative information may not exploit this information by selling if they do not own the stock, the market maker can deduce the occurrence of bad news by observing the tra...

This study evaluates the value of stock recommendations provided by brokers and sub-brokers in the Thai stock market. Using weekly survey data from Managers Information Services from 7 March 1994 to 3 March 1997, the study finds a significant price increased for recommended stocks on Monday and Tuesday in the recommendation week. However, the price...

This study proposes a more complete model to pricing warrant by taking into account the expected cash infusion when warrants are exercised. The model can be extended to pricing the warrant of levered firm. In addition, the paper suggests an alternative test to examine the impact of warrant listing on volatility of the underlying stocks. The alterna...

This study examines the information and trading behavior of investors in the Thai market. This market is an important emerging market in the Pacific Rim, whose structure is different from that of a more developed market. We propose a vector autoregression model to describe and test action and reaction of the portfolio reallocation of investors and...

Analytically considers an observed turnover anomaly and attributes the findings to the combination of insider trading on asymmetric information and short sale constraints. The sequential trade and firm-specific model is an extension of Easley and O'Hara's (1992) microstructure model for price formation in a competitive world with informed insiders,...

In this paper we estimate a bivariate two-state Markov switching model of excess returns on both domestic equities and a world index of equities for Thailand, Taiwan, and Korea. Our reason for doing so is to determine if changes in the behavior of equity returns can be linked to changes in policies governing the integration of these economies and t...

We use daily returns to identify seasonality on the Kuala Lumpur Stock Exchange (KLSE), The Stock Exchange, Bombay (SEB), the Stock Exchange of Singapore (SES) and The Stock Exchange of Thailand (SET). On all four, we find strong day-of-the-week effects. Month-of-the-year effects exist on the KLSE and the SES but not on the SET or the BSE. Strong C...

This paper examines the impact of the risk-based capital (RBC) requirements on bank cost efficiencies. We take into consideration both on- and off-balance sheet (OBS) products and allow product mixes to differ across banks and to vary over time. Our empirical results suggest that the cost structures of large banks are significantly different during...

Capital market integration between Thailand on the one hand and Hong Kong, Japan, Singapore, the U.K. and the U.S. on the other is examined using the single-latent-variable test with investment barriers. Significant barriers to investment, ranging from 2.85 percent for a U.S. investor to 7.39 percent for a Japanese investor, are detected in the Sec...

This paper investigates the ownership of Thai public firms of the post crisis period in comparison to that of the pre-crisis period. Using the comprehensive unique database of ownership and board structures, we find that the ownership appears to be more dispersed after the crisis. The proportion of firms with controlling shareholder decreases signi...

ABSTRACT We show how banks can use the information on statistical distributions of crop returns to set limits for farm loans so that borrowing,farmers are able to repay,their loans by the ,crop income ,with an accepted ,default probability. We then ,apply the technique proposed by Ramirez (1997, 2000) to estimate the return distribution. Its result...