The effects of asset price volatility on market participation: Evidence from the Thai foreign exchange market

Koosakul, Jakree; Shim, Ilhyock

doi:10.1016/j.jbankfin.2020.106036

Cited by 10 publications

(5 citation statements)

References 29 publications

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“…Dependent variable is stock market participation. Stock market participation is measured by logarithm natural of trading volume (Koosakul and Shim, 2021). Trading volume refers to the stock trading volume on the publication date of sustainability report.…”

Section: Methodsmentioning

confidence: 99%

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Governance mechanism to improve sustainability report quality: the impact on information risk and stock market participation

Justina,

Lantara

2023

IJQRM

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PurposeThis study aims to examine the effect of sustainability report quality (SRQ) on information risk. This research also aims to examine the effect of SRQ on stock market participation through information risk.Design/methodology/approachThe research sample includes 120 firm-years listed on the Sri Kehati Index period of 2017–2021. The hypothesis test uses firm and industry effect regression analysis. SRQ is measured by the existence of a sustainability committee and external assurance. The information risk is measured by bid-ask spread. Stock market participation is measured by volume of stock trading.FindingsBased on the data analysis, this investigation finds that SRQ reduces information risk. This research also finds that SRQ improves stock market participation by reducing information risk.Originality/valueFirst, this examination gives new evidence of SRQ to promote information environment improvement. Second, this examination contributes to providing the role of SRQ in an emerging market, such as Indonesia. Third, this examination contributes to providing the evaluation standard for sustainability reporting quality in Indonesia, since Indonesia has no specific standard for the sustainability report. Fourth, this examination contributes to filling the previous gap.

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Section: Methodsmentioning

confidence: 99%

“…The lowest ask price and the highest bid price can be accessed at www.idx.co.id. (Koosakul and Shim, 2021). Trading volume refers to the stock trading volume on the publication date of sustainability report.…”

Section: Variables Measurementmentioning

confidence: 99%

Governance mechanism to improve sustainability report quality: the impact on information risk and stock market participation

Justina,

Lantara

2023

IJQRM

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“…For institutions engaged in options trading and portfolio management, volatility forecasting is particularly relevant. (Koosakul and Shim 2021) published a document analyzing the precision of some of the most shared volatility projections: historical models for volatility (including exponentially weighted motion average), the implicit models for volatility, and autoregressive and heteroskedastic models. The model's estimation accuracy is checked for the S&P 500 price index, demonstrating the benefits and drawbacks of each model.…”

Section: Literature Reviewmentioning

confidence: 99%

A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies

Chinthapalli¹

2021

JRFM

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In recent years, the attention of investors, practitioners and academics has grown in cryptocurrency. Initially, the cryptocurrency was designed as a viable digital currency implementation, and subsequently, numerous derivatives were produced in a range of sectors, including nonmonetary activities, financial transactions, and even capital management. The high volatility of exchange rates is one of the main features of cryptocurrencies. The article presents an interesting way to estimate the probability of cryptocurrency volatility clusters. In this regard, the paper explores exponential hybrid methodologies GARCH (or EGARCH) and through its portrayal as a financial asset, ANN models will provide analytical insight into bitcoin. Meanwhile, more scalable modelling is needed to fit financial variable characteristics such as ANN models because of the dynamic, nonlinear association structure between financial variables. For financial forecasting, BP is contained in the most popular methods of neural network training. The backpropagation method is employed to train the two models to determine which one performs the best in terms of predicting. This architecture consists of one hidden layer and one input layer with N neurons. Recent theoretical work on crypto-asset return behavior and risk management is supported by this research. In comparison with other traditional asset classes, these results give appropriate data on the behavior, allowing them to adopt the suitable investment decision. The study conclusions are based on a comparison between the dynamic features of cryptocurrencies and FOREX Currency’s traditional mass financial asset. Thus, the result illustrates how well the probability clusters show the impact on cryptocurrency and currencies. This research covers the sample period between August 2017 and August 2020, as cryptocurrency became popular around that period. The following methodology was implemented and simulated using Eviews and SPSS software. The performance evaluation of the cryptocurrencies is compared with FOREX currencies for better comparative study respectively.

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“…Foreign Exchange or Forex represents a global market that facilitates the trading of foreign currencies by participants from diverse nations [1]. It stands as one of the most liquid financial markets worldwide, with the Bank of International Settlements reporting an average daily trading volume of $5.1 trillion in April 2016 [2].…”

Section: Introductionmentioning

confidence: 99%

Comparative Analysis of Reverse Martingale And Cumulative Win Strategies Using Ichimoku Kinko Hyo Indicator

Wendy,

Sunardi Oetama

2023

International Journal of Science, Technology & Management

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Given the dearth of prior research on the practical implementation of money management strategies in the foreign exchange market, making it arduous to ascertain profitable money management comparisons, this study places its focus on the amalgamation of money management strategies and technical indicators. The research specifically explores the utilization of two money management strategies, namely reverse martingale, and cumulative win strategy, in conjunction with Ichimoku Kinko Hyo serving as the chosen technical indicator. The primary aim of this research endeavor is to identify the most lucrative money management combination within a three-year timeframe. The study centers on the EURUSD currency pair, employing the H1 timeframe for analysis. The research methodology encompasses four essential stages: data collection, data processing, strategy testing, and result analysis. Subsequently, the acquired EURUSD data will undergo amalgamation utilizing the One-Way ANOVA method to determine the presence of statistically significant disparities between the two combinations. The outcomes of this investigation underscore the supremacy of the cumulative win strategy and Ichimoku Kinko Hyo combination, exhibiting a remarkable Return on Investment (ROI) surpassing alternative combinations, soaring to an impressive figure exceeding 2860%.

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The effects of asset price volatility on market participation: Evidence from the Thai foreign exchange market

Cited by 10 publications

References 29 publications

Governance mechanism to improve sustainability report quality: the impact on information risk and stock market participation

Governance mechanism to improve sustainability report quality: the impact on information risk and stock market participation

A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies

Comparative Analysis of Reverse Martingale And Cumulative Win Strategies Using Ichimoku Kinko Hyo Indicator

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