Chaiyuth Padungsaksawasdi

• PhD (Finance)
• Professor (Associate) at Thammasat Business School

This study investigates the association between environmental, social, and governance (ESG) performance, demographic change, and stock price crash risk in major Asian markets over the period of 2011–2022. The results show that firms with high overall ESG scores are associated with lower stock price crash risk, underlining the importance of strong E...

Understanding the dynamics between external corporate governance mechanisms and social engagement offers insights into how corporate strategies towards social capital are shaped. We explore the impact of hostile takeover threats on corporate social engagement by utilizing a measure of takeover vulnerability. This allows for a detailed examination o...

Exploring the relationship between corporate social responsibility (CSR) strategy, family business, and board characteristics in Thailand provides invaluable insights into how boards of family businesses integrate CSR considerations, leading to responsible business practices and sustainable development in Thailand. Relying on the top 100 listed fir...

The ultimate goal shared by society is sustainable development, a process of addressing current needs without sacrificing resources of future generations. To achieve sustainability, companies should consider of environmental, social, and governance (ESG) in their stakeholder engagement process. Investment in ESG activities is unavoidably decided at...

This paper utilizes intraday five-minute stock market indices to investigate the causal relation between global stock market volatility and investor attention measured by the Google search volume index during the COVID-19 pandemic. Using the bi-power variation method proposed by Barndorff-Nielsen and Shephard (2004), we separate the realized volati...

This study uses the Worldwide Governance Indicators (WGI) developed by the World Bank to examine a cross-country corporate governance spillover effect among the G7, BRICS, and GIIPS countries during the period of 1996–2014. The panel unit root tests show stationary panel time series properties of the WGI among these country groups. However, the res...

We find that retail investor attention measured by the Google Search Volume Index helps promote herd behavior in 21 international equity markets. The proposed methodology with only one dummy variable in the herd detection model is more appropriate than prior models which include multiple dummy variables, yielding better interpretation, reliability,...

Purpose The paper aims to investigate the effect of uncertain times on LGBT-supportive corporate policies, exploiting a novel text-based measure of economic policy uncertainty (EPU) that was recently constructed by Baker et al. (2016). LGBT-supportive policies have attracted a great deal of attention in the media lately. There is also a rapidly gro...

Purpose Exploiting an exogenous regulatory shock and a novel measure of asset redeployability, this paper aims to explore the effect of independent directors on asset redeployability. In particular, the authors use an innovative measure of asset redeployability recently developed by Kim and Kung (2016). This novel index has been rapidly adopted in...

Purpose The main purpose of this study is to use a new broad board effectiveness index , which has been created from several internal attributes of board of directors and to investigate the association of the overall index regarding stock price crash risk. Design/methodology/approach The authors create a new board effectiveness index from a compre...

This paper focuses on two of the highly debated social issues corporations that are pressured to address—gender equality and workplace discrimination. Countries around the world mandate gender quotas on corporate boards to facilitate firms in addressing the issue of gender equality and anti‐discrimination legislations to address workplace discrimin...

Purpose This paper examines whether short sellers aggravate volatility in the Australian stock market by using five different realized volatility (RV) measures during a more stable period. Design/methodology/approach The authors develop a measure to capture the abnormal level of short selling for each stock and examine the bivariate and trivariate...

The evidence is mixed regarding the role of short sellers on stock market efficiency, with the majority of studies assessing short selling activities during abnormal market conditions. This study investigates the effect of short selling on stock volatility during normal market conditions in the Australian stock market using various proxies for vola...

Using unique minute-by-minute data on six major country implied volatility series, we examine the spillovers and the leadership positions of the global stock exchanges through measuring and assigning the contributions of innovations among their implied volatilities. The entire analyses are performed on synchronized transactions. A hybrid leadership...

This paper examines the causal relationship between global stock market performance and Google search volume index (SVI) surrounding the disastrous event of the coronavirus (COVID-19) outbreak. Based on 6,106 stock index-day observations of 71 countries during the period from 1 January 2020 to 29 May 2020, we find that both the SVI and the growth i...

In the present study we propose a new higher-order co-moment timing ability for fund managers. Top-performing fund managers successfully time higher-order co-moments of their investment portfolios, generating significantly positive abnormal returns. However, worst-performing funds show no abilities. The zero-trading strategy works well with all tim...

As return jumps occur more often today and are considered as a representative of an arrival on non-trivial information, we question the role of return jumps on herd behavior in global equity markets. New herding detection models incorporating return jumps overcome multicollinearity and sample-splitting problems found in prior studies. Even though,...

The ability of mutual fund managers to time coskewness successfully can help them manage their portfolio’s exposure to potential losses and improve their fund’s performance. This study assesses whether mutual fund managers are able to manage the market exposure of their investment portfolios given a change in coskewness. We demonstrate that fund ma...

The study shows critical roles of firm-specific information on herd behavior, which is underexplored in prior literature, albeit an increasing impact of firm-specific information on asset pricing. The main finding demonstrates that three of four selected measures of firm-specific information (return residual, return skewness, and information discre...

Purpose Considering the unique data of the gold investor sentiment index in Thailand, the purpose of this paper is to investigate the bivariate dynamic relationship between the gold investor sentiment index and stock market return, as well as that between the gold investor sentiment index and stock market volatility, using the panel vector autoregr...

Using mutual fund data in Thailand, this study shows that fund managers can time the market-wide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure t...

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship...

This is the first study of the dynamic relation between U.S. bilateral equity flows and the Chicago Board Options Exchange (CBOE's) implied volatility around the globe that employs the panel vector autoregression. We primarily find the unidirectional interdependence relation from the fear indices to the U.S. net equity flows and to the U.S. equity...

This study analyzes the impact of VIX spillovers on market activities during extreme market conditions in 42 international equity markets from 1998 to 2014. Specifically, tail cross-dependence suggests that a small change in VIX significantly influences global market activities during extreme market conditions. The impact of VIX is asymmetric, whic...

This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using the portfolio approach show that high-interest rate currencies co-move positively while low-interes...

We introduce a new conceptually superior realised volatility estimator, volume weighted volatility (VWV), which effectively measures demand-based volatility, rather than only measuring the variability of a price series. We compare the VWV to other return-And range-based measures using the stock index futures, with our results supporting the empiric...

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance of three selected countries in Asia - China, Singapore and Thailand as representatives of fast growing Asian countries. To my knowledge, this is the first research to inco...

To find a substitute vehicle for a direct investment in currencies, we study the behaviors of six major currency exchange-traded fund (ETFs) and their respective spot and futures markets prior to and during the financial crisis of 2008. Our findings indicate that currency ETFs are near-perfect substitutes for a direct investment in currencies. We o...

This paper explores relationships between investor attention and various market variables-return, volatility, and trading volume from selected Asia-Pacific equity markets. Unlike most of previous research on attention effects, we directly measure public interest via the Google Search Volume Index (SVI) which allows us to capture retail investor att...

We examine risk-taking behavior of mutual funds in ASEAN Economic Community by applying parametric approach to determine whether it complies with the tournament hypothesis. The “winner” mutual funds tend to reduce their risk in the second half of the year to maintain their status or ranking, while the “loser” mutual funds adjust their portfolios to...

We examine the return‐implied volatility relation by employing “commodity” option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive contemporaneous return coefficient, which is consistent with...

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect...

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect...

Foreign exchange market is the most active market in today’s global financial domains. While the consensus on several aspects of this market is fairly established, the informational efficiency in this market is still unsettled, particularly during unexpected interruptions and unusual or unstable periods. The financial crisis of 2008 is the most rec...