Kanchana Chokethaworn

Frontier of Econometrics Time Series Analysis in ICT's Stock Market of Thailand: Maximum Entropy Bootstrap Approach

Abstract Maximum Entropy Bootstrap proposed by Vinod and Lacalle (2009) was tested in the Stock Exchange of Thailand(SET) to demonstrate an influence significant relationship with three companies listed in the Technology Industry Group, Information & Communication Technology (ICT) Sector during period of 2008-2012(daily data). From statistical relationship, can easily be overwhelmed by computed forces far more powerful than the past statistical procedures. The study found the exact boundaries of an influence significant relationship indicated the reason to believe Maximum Entropy Bootstrap newer, wiser, and more powerful than conventional statistics are. The progress of Maximum Entropy Bootstrap through the past many years is quantitatively reviewed for the first time used with the Stock Exchange of Thailand (SET). Probabilistic capability and coverage density function are both found to fix the problem especially the case of time series econometrics model estimation.

Money Supply Influencing on Economic Growth-wide Phenomena of AEC Open Region

Abstract This paper aims to study a big picture on relationship between money supply and economic growth-wide phenomena of AEC open region including Thailand, Indonesia, Singapore, Malaysia, Philippines, Vietnam, Lao PDR and Cambodia. The macro variables comprise of economic growth-wide phenomena or GDP growth rates and money growth-wide phenomena or money supply, consisting of money (M1) and demand deposits (DD) of selected countries in ASEAN were tested by using secondary data, covering during nineteen yearly period from 1995 to 2013. Panel unit root and estimation models by using panel ARDL of Pooled Mean Group Estimator (PMGE) were conducted to observe the long run relationship and the short run relationship as a speed of adjustment to the long run equilibrium. The result showed that narrow money (M1), demand deposits (DD), and GDP growth rates were stationary with I(0) and I(1) levels. Also, the result outputs shown coefficients of estimation indicated that money supply were associated with economic growth-wide phenomena of AEC open region in long run including a speed of adjustment to long term equilibrium.

The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC)☆

Abstract The international finance modelling of AECs currencies have to be investigated more on copula approach that tests as a standard tool in financial modelling. Probabilistic capability and exposure density function are looking how to obtain empirical data for the econometric modelling of time series for financial problems. A unique question for opportunity to study this issue in the financial field is how accurate are the predictions of Markov Switching Model in Dynamic Copula approach (MSDC) algorithm. Dependent structure and co-movement between which cover available daily data during the period 2006-2013 of currencies both Thai Baht (THB) and Malaysian Ringgit (MYR) were investigated. The model selection based on AIC and BIC confirmed that the Elliptical copula fitted for those currencies appreciated value to against the US dollar. The model selection based on AIC and BIC indicated that the Elliptical copula fitted for those currencies depreciated value to against the US dollar. The overall benefit is to give the applied researchers knowledge and information which researchers can understand and apply to obtain confirmation a new reliable knowledge of MSDC and protect the wealth of money market and safety every working day.

The Effect of Inflation-Targeting Policy on Economic Growth in AEC Countries

Bayesian econometrics is very useful for subjective probability judgments of risk insecurity. This examination was inspired by the key issue for the investigation of inflation-targeting policy in Asian Economic Community (AEC) countries under the concept of the inflation-targeting framework of effective inflation policy for the economic growth of each of the AEC countries. Further, it was aimed at analyzing time series data of the annual inflation target rate and the gross domestic product growth rate from 1960 to 2015. Three key distinctive stages of analysis reveal enhancement prospects in the panel model. The estimation result provided by the Bayes factor approach can be used as guidance on how information on comparative monetary policy is under the control of price stability. The appropriate relationship is best employed across important inflation-targeting policy, setting the monetary policy to stimulate long-term economic growth in Thailand, Singapore, Malaysia, and Indonesia respectively, but not in the Philippines economy.

To Determine the Key Factors for Citizen in Selecting a Clinic/Division in Thailand

This paper presents an integrated methodology to find out key factors that affects people choose for different types of clinic and hospital department. The requirements of the methodology not only consider factors before, during and after treatment, but also identified clinic, dental clinic, aesthetic clinic, dental department in hospital, department of family medicine in hospital, and department of orthopedics. Although there are multiple and contradictory objectives to be considered respectively, grey relational analysis (GRA) can sort out key factors to each clinic/department and be the decision maker.

The Study of Stock Price Return of Petroleum and other Liquids Using Extreme Value Theory Based Decision on Belief Function Theory

Abstract The aims of this study is to provide extreme value forecasting methods to predict the maximum return of IRPCs stock price and maximum return of SUSCOs stock price. The data was used for prediction is the time series data during period of 2004-2014 (daily data) for prediction. Moreover, the belief function theory was applied to evaluate the maximum return of their stocks price. Based on extreme value forecasting methods (EVT-GEV based and EVT-GPD based) were summarized that all of companies will be received the maximum return of their stocks price in positive way for future. However, based on belief function theory give more information that maximum return of IRPC (Integrated Refinery & Petrochemical Complex) is not similarly with the maximum return of SUSCO (Siam United Service Public Company Limited: SUSCO Limited Company). If these results are generalized for upcoming years, it is suggested that both the stock exchange of Thailand and investor should prepare to receive increasing stock price of these energy companies group.