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การประชุมวิชาการBoot-Strapping The International Education Exchanges between Thailand and Japan in The Field of Software Engineeringผู้แต่ง:Papon Yongpisanpop, Dr.Pattara Leelaprute, Associate Professor, Dr.Arnon Rungsawang, Associate Professor, Dr.Putchong Uthayopas, Assistant Professor, Akinori Iharab, HAJIMU IIDA, Noriko Itob, Ken’ichi Matsumoto, การประชุมวิชาการ: |
ผลงานตีพิมพ์ในวารสารวิชาการSeasonality of water and carbon dioxide exchanges at a teak plantation in northern Thailandผู้แต่ง:Igarashi, Y., Tanaka, N., Tanaka, K., Yoshifuji, N., Sato, T., Mr.Chatchai Tantasirin, Assistant Professor, Suzuki, M., วารสาร: |
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หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Trader Types Observed by Volume and Price Volatility Relationship in Futures Exchanges) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, ปิยลักษณ์ หนูดำ สื่อสิ่งพิมพ์:pdf AbstractThis study observes the trader types between developed and emerging commodity futures exchanges. Relationship between trading volume and volatility are investigated in contemporaneous and dynamic relations. The results show fewer heterogeneous trader types in emerging exchanges even though their trading volumes are higher than those of developed exchanges. Regulators of emerging futures exchanges should develop both trading activities and increase of trader types in their exchanges. |
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หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Price Discovery in Developed and Emerging Commodity Futures Exchanges) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, ปิยลักษณ์ หนูดำ สื่อสิ่งพิมพ์:pdf AbstractThis study investigates the price discovery process in developed and emerging agricultural commodity futures exchanges. The results of Vector Error Correction Models (VECM) show that price discovery mechanism mostly works in all developed and emerging commodity futures exchanges except in white corn contracts of the Republic of South Africa Exchange and soybean contracts of Indian Exchange. However, the spot price of some commodity in some countries lead futures price. The empirical results reveal that wheat contracts of U.S., Malaysia?s crude palm oil contracts, RSS3 contracts and white rice 5% contracts of Thailand contribute to over 75 percent of information share in price discovery. |
หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Price volatility, trading volume, and market depth in Asian commodity futures exchanges) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, Kritika Lakmas สื่อสิ่งพิมพ์:pdf AbstractThis paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1) daily volatility measured by close-to-close returns, (2) non-trading volatility measured by close-to-open returns, and (3) trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993), volume and open interest are divided into expected and unexpected components. The GARCH (1,1) model is employed using expected and unexpected components of trading activity (volume and open interest) as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest) is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests. |