Nongnuch Tantisantiwong

• PhD
• Head of Enterprise Risk and Infrastructure at CIMB Thai Bank

Empirically, the covariance between stock returns varies with their volatility. We seek a robust theoretical explanation of this. With minimal assumptions, we model stochastic properties of equilibrium returns which result from the interaction between inter-temporal traders and noisy, price-sensitive short-term traders. The inter-temporal traders c...

For a risk neutral lender and a group of borrowers facing identical revenue risks we compare individual loans and group lending. We stress the importance of group liquidity in defining the necessary risk premium. There are no welfare differences between the loan forms. However, the default rates and risk premia vary ambiguously between the loan for...

This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can explain stock returns or the volatility of markets. Here, panel data analysis is employed to examine whether these factors can also explain the comovement of stock returns. Time-varying correlations among se...

Recent research has documented that at the time of religious celebrations in Muslim countries, such as Ramadan, there is a “festival” effect in share returns. In the Gregorian calendar, December is also a time of celebration and festivities which may be associated with patterns in the behaviour of security prices. Further, the first month of the ye...

This paper uses Credit Default Swap (CDS) data for Asian reference entities to examine cross-country credit risk spillover effects between sovereigns and firms. Data for three East Asian countries (China, Japan and South Korea) over the period 2009-2018 are analysed. We analyse changes in the CDS spreads of a sovereign debtor and those of a foreign...

Frequent natural disasters caused by climate change and the COVID-19 pandemic have increased global awareness of sustainability issues with a consequent focus on sustainable finance. This study disaggregates the exposures of mutual funds to environmental, social, and governance risks using data from 18,648 investment funds. We find that investment...

This paper fills the gap in the literature by introducing an efficient, incentive compatible audit policy that can minimise the social loss created by the audit cost while maximising social welfare. We apply this within a loan auditing context, but the method is also applicable to any accounting and tax audit context. We explain why the loan contra...

In this paper, we investigate characteristic differences between Socially Responsible Investment (SRI) funds and conventional funds across 35 different categories, including previously unexplored areas, such as fund manager skills and investment strategies. Further, we examine SRI and conventional funds globally rather than from just one country (e...

This paper investigates the linkages between the four emerging stock markets of Bangladesh, India, Pakistan and Sri Lanka after a period of financial liberalisation in South Asia in 2000. The initial analysis was conducted for the period from January 2000 to December 2019 as well as for two sub-periods before and after the Global Financial Crisis o...

In contrast to the conventional fund management industry with a profit-oriented logic based on risk and return, ethical and faith-based funds should follow the religious principles of their investment-style philosophy. Islamic funds should obey the theological teachings of the primary sources of Islam, the Quran and Sunnah, as stakeholders expect t...

This paper documents evidence of changes in the co-movement of stock returns and risk transmission among four South Asian stock markets over periods of regional market reform and global market instability. The sample period (1993–2015) is disaggregated into three sub-periods: before and after the establishment of the South Asian Federation of Excha...

This project is funded by Capital Market Research Institute, The Stock Exchange of Thailand (Scholarship Project Paper 2019) This research aims to introduce a market sentiment index which can be used as a leading indicator for the Stock Exchange of Thailand (SET). This new index is constructed from Big Data extracted from online social media. The...

This research aims to introduce a market sentiment index which can be used as a leading indicator for the Stock Exchange of Thailand (SET). This new index is constructed from Big Data extracted from online social media. The data used in this project are the daily firm-level and market data, market capitalizations of firms and the SET, the total tra...

Stock market trading is an activity in which investors need fast and accurate information to make effective decisions. Since many stocks are traded on a stock exchange, numerous factors influence the decision-making process. Moreover, the behaviour of stock prices is uncertain and hard to predict. For these reasons, stock price prediction is an imp...

Studies have shown that religious beliefs and practice play an important role in influencing share price behaviour. Evidence of a Ramadan effect has been documented in Muslim countries suggesting an increase in mean returns as well as a reduction in volatility during the ninth month of the Islamic calendar. In addition to the Ramadan effect, studie...

Full report is written in Thai. This research project was funded by Thailand Science Research and Innovation (formerly know as Thailand Research Fund) and SDG Move Thailand Abstract: Thailand as one of the members of United Nations has committed to participate in the Post-2015 development agenda under the project “Transforming our world: the 2030...

Purpose Studies on Islamic calendar anomalies in financial markets tend to apply quantitative analysis to historic share prices. Surprisingly, there is a lack of research investigating whether the participants of such markets are aware of these anomalies and whether these anomalies affect their investment practice. Or is it a case that these pract...

The paper attempts to find the socially best loan contract by comparing exante welfare, interest and default rates of individual and group lending. We introduce a general framework which allows auditing policies and interest rates to be simultaneously determined by maximising the social welfare. Both variables vary with the types of risk considered...

Most prior research has tested for monthly regularities based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This paper examines Islamic monthly anomalies in a stock market located within a Muslim country - Pakistan. The study employs data for 106 companies listed...

This article investigates whether economic variables have explanatory power for share returns in South Asian stock markets. In particular, using data for four South Asian emerging stock markets over the period 1998–2012, the article examines the influence of a selection of local, regional and global economic variables in explaining equity returns;...

The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both intermediate and final commodities to be traded in the internati...

We investigate the impact of the capital control (URR) in Thailand. We find that it was incompletely effective in stabilizing the Thai currency. The reductions in total amount and altering its composition of capital inflows. Limited impact on the stock market as foreign equity investment was exempted from the measure. Adverse effects: a wider sprea...

The framework presents how trading in the foreign commodity futures and domestic forward foreign exchange markets can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both intermediate and final commodities to be traded in the in...

:The global credit crunch was believed to have no direct effect on the Asian financial sector except for Hong Kong SAR, Japan, and Singapore where financial sectors are highly linked to the United States and the United Kingdom. However, indirect effects may work through a decline in the Asian export incomes. Export rebalancing policy was proposed t...