Anya Khanthavit

Scale and scope economies at large banks: Including off-balance sheet products and regulatory effects (1984-1991)

This paper examines the impact of the risk-based capital (RBC) requirements on bank cost efficiencies. We take into consideration both on- and off-balance sheet (OBS) products and allow product mixes to differ across banks and to vary over time. Our empirical results suggest that the cost structures of large banks are significantly different during the pre-RBC and post-RBC periods. That is, the RBC change seemed to reduce the optimal bank size that achieves maximum scale and scope economies, so that some of the large banks that previously were efficient became too large and inefficient. The results suggest that regulations that encourage large banks to expand their production and product mixes any further will likely result in a less efficient banking industry.

Did Families Lose or Gain Control? Thai Firms after the East Asian Financial Crisis

This paper investigates the ownership and control of Thai public firms in the period after the East Asian financial crisis, compared to those in the pre-crisis period. Using the comprehensive unique database of ownership and board structures, we find that the ownership and control appear to be more concentrated in the hands of controlling shareholders subsequent to the crisis. Interestingly, even though families remain the most prevalent owners of Thai firms and are still actively involved in the management after the financial crisis, their role as the controlling shareholder becomes less significant. In addition, our results show that direct shareholdings are most frequently used as a means of control in both periods. Pyramids and cross-shareholdings, however, are employed to the lesser extent following the crisis.

A Markov switching model of market integration

In this paper we estimate a bivariate two-state Markov switching model of excess returns on both domestic equities and a world index of equities for Thailand, Taiwan, and Korea. Our reason for doing so is to determine if changes in the behavior of equity returns can be linked to changes in policies governing the integration of these economies and their capital markets with world markets. We find clear evidence of two regimes: one characterized by a low variance of domestic equity returns and a low β of domestic equities relative to the world index, the other by a high variance of equity return and a high β, in all three countries. The differences across states in the covariance of the local market returns with the world index is consistent with greater integration of goods and capital markets in the high-covariance, high-β state. We find, however that the even in the ‘integrated’ state, equity returns are not consistent with a simple, single-β model of an integrated world capital market. For all three countries our estimates suggest that stock returns are higher than would be predicted by a simple CAPM. Only for Thailand is the temporal behavior of the probability that the high-covariance state is generating the data consistent with a change in government policies leading to greater goods and capital market integration. The estimated probabilities indicate quite clearly that a regime change occurred in the mid-1980s. The early 1980s are characterized by the low covariance state, ‘segmented’ state and thereafter, the data are generated by the high covariance, ‘integrated’ state.

World and regional factors in stock market returns

Purpose - This paper aims to test the hypothesis that the national stock market returns are driven by a world factor, regional factors and idiosyncratic factors, and to measure the importance of each factor. Design/methodology/approach - The state-space model is applied to describe the sample returns and estimate a world factor, regional factors and idiosyncratic factors by Kalman filtering. Weekly and daily returns calculated from MSCI country indexes from January 1988 to December 2004 of 11 national stock markets in four regions, i.e. North America (the USA and Canada), South America (Brazil, Mexico and Chile), Europe (the UK, Germany and France), and Asia (Japan, Hong Kong, and Singapore) are used. Findings - The results support the hypothesis that national market returns are driven by a world factor, regional factors and idiosyncratic factors. National markets do not always respond mainly to the world factor; regional factors and idiosyncratic factors play important roles as well. They also respond to world news at a slower rate than regional news. Research limitations/implications - This paper does not identify the source or origins of news directly but the factors are assumed as random variables and are estimated under certain strict assumptions. Originality/value - This paper applies Kalman filtering to estimate a world factor and regional factors and test the importance of each factor directly, an extension of previous studies that mostly showed strong independence among markets.

Measuring Thailand's barriers to investment

Abstract Capital market integration between Thailand on the one hand and Hong Kong, Japan, Singapore, the U.K. and the U.S. on the other is examined using the single-latent-variable test with investment barriers. Significant barriers to investment, ranging from 2.85 percent for a U.S. investor to 7.39 percent for a Japanese investor, are detected in the Second-Boom period of the Thai market. Insignificant barriers before the Second-Boom period may reflect low Thai stock returns and no asset trade.