Pornchai Chunhachinda

Portfolio selection and skewness: Evidence from international stock markets

Abstract This paper finds that the returns of the worlds 14 major stock markets are not normally distributed, and that the correlation matrix of these stock markets was stable during the January 1988–December 1993 time period. Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio consisting of the choices of 14 international stock indexes. The empirical findings suggest that the incorporation of skewness into an investors portfolio decision causes a major change in the construction of the optimal portfolio. The evidence also indicate that investors trade expected return of the portfolio for skewness.

Efficiency of Thai Commercial Banks: Pre- vs. Post-1997 Financial Crisis

This study measures and compares the profit and cost efficiencies of Thai commercial banks between 1990 and 2008 which has been subdivided into the pre-crisis, the financial crisis, and the post-crisis periods. The efficiency scores are measured using a combination of parametric and non-parametric frontier approach. Both average profit and cost efficiency levels of the post-crisis period are found to be significantly lower than those of the pre-crisis period. The evidence also indicates that the real GDP growth rate and some general and financial characteristics are correlated with the efficiency level of Thai commercial banks.

Information Transmission Among World Major Gold Futures Markets: Evidence from High Frequency Synchronous Trading Data

This study examines the international information transmission among three major gold futures markets namely COMEX, MCX, and TOCOM. Two well documented approaches, which are VECM and information share, are utilized to measure the process of price discovery under this trivariate system. The uniqueness of this study is that it employs synchronous intraday time series which can mitigate the stale price problem from daily observations. The evidences indicate that the three gold futures prices are cointegrated and driven by one common factor. New arrival information disseminates efficiently among the three markets and the pricing information transmission among exchanges is very rapid. However, the lead-lag relationship among markets still exists with the dominance of COMEX gold futures as the centre of price discovery.

Estimation Risk Modeling in Optimal Portfolio Selection: An Empirical Study from Emerging Markets

Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or has a minimum level of risk given a level of expected return. However, the optimal portfolios do not seem to be as efficient as intended. Especially during financial crisis period, optimal portfolio is not an optimal investment as it does not yield maximum return given a specific level of risk, and vice versa. One possible explanation for an unimpressive performance of the seemingly efficient portfolio is incorrectness in parameter estimates called “estimation risk in parameter estimates”. Six different estimating strategies are employed to explore ex-post-portfolio performance when estimation risk is incorporated. These strategies are traditional Mean-Variance (EV), Adjusted Beta (AB) approach, Resampled Efficient Frontier (REF), Capital Asset Pricing Model (CAPM), Single Index Model (SIM), and Single Index Model incorporating shrinkage Bayesian factor namely, Bayesian Single Index Model (BSIM). Among the six alternative strategies, shrinkage estimators incorporating the single index model outperform other traditional portfolio selection strategies. Allowing for asset mispricing and applying Bayesian shrinkage adjusted factor to each assets alpha, a single factor namely, excess market return is adequate in alleviating estimation uncertainty.

Thailand Capital Flight through Trade with the US During Times of Political and Economic Instability

This paper investigates capital flight from Thailand to the US through trade misinvoicing during the period from 1990 to 2005. The evidence indicates that capital flight from Thailand to the US, valued over US

Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials

16,189 million, had been done through under-invoicing exports to the US rather than over-invoicing imports from the US. The major incentive for the movement of capital is investment, followed by political events in Thailand, and the most significant determinants of capital flight are the US T-bill rate, the deposit rate in Thailand, and the degree of overvaluation of the Thai Baht. Interestingly, the 1997 Asian economic crisis did not play a significant role in the capital movement through trade.

Efficacy of Portfolio Performance Measures: An Evaluation

Abstract This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using the portfolio approach show that high-interest rate currencies co-move positively while low-interest rate currencies co-move negatively, suggesting that foreign equity excess returns can help to explain investment in currency markets, providing a partial resolution to the uncovered interest parity conundrum. Furthermore, we show that global equity market returns, volatility, and liquidity correlate well with currency returns.