Insider Trading: A Quantitative Analysis of Premature Market Reactions in Thailand’s Stock Exchanges
Abstract/Contents
- Abstract
- This paper analyzes various firm, exchange and political power specific characteristics that affect intensity of insider trading in Thailand’s equity markets. Using data from 2007 to 2017 provided by the Stock Exchange of Thailand (SET), the study utilizes an event-driven analysis and tracks abnormal stock returns, calculated using a three-factor Fama-French model, leading up to quarterly earnings announcements. These daily returns are normalized and are regressed on various fixed effects to capture variables that intensify and ameliorate premature stock price movements. This paper illustrates that military control in Thailand has non- negligible effects of lessening premature price movements across all equity markets, while capturing exchange-specific effects that diminish as the impact of the earnings announcements on the absolute value of the change equity prices rise.
Description
| Type of resource | text |
|---|---|
| Date created | May 3, 2018 |
Creators/Contributors
| Author | Chayavivatkul, Pavin |
|---|---|
| Primary advisor | Shoven, John B. |
Subjects
| Subject | Department of Economics |
|---|---|
| Subject | Stock Exchange of Thailand |
| Subject | Market for Alternative Investment |
| Subject | abnormal price fluctuations |
| Subject | insider trading |
| Subject | financial markets |
| Subject | Thailand |
| Genre | Thesis |
Bibliographic information
| Related item | |
|---|---|
| Location | https://purl.stanford.edu/dj028cz2349 |
Access conditions
- Use and reproduction
- User agrees that, where applicable, content will not be used to identify or to otherwise infringe the privacy or confidentiality rights of individuals. Content distributed via the Stanford Digital Repository may be subject to additional license and use restrictions applied by the depositor.
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
Preferred citation
- Preferred Citation
- Chayavivatkul, Pavin. (2018). Insider Trading: A Quantitative Analysis of Premature Market Reactions in Thailand’s Stock Exchanges. Stanford Digital Repository. Available at: https://purl.stanford.edu/dj028cz2349
Collection
Stanford University, Department of Economics, Honors Theses
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