Pornchai Chunhachinda - Academia.edu (original) (raw)

Papers by Pornchai Chunhachinda

This study examines the role of higher-order systematic co-moments in an asset pricing model, whe... more This study examines the role of higher-order systematic co-moments in an asset pricing model, when stock returns are non-normally distributed. We test the effect of higherorder systematic co-moments using direct observations and the Fama-MacBeth twopass regression on a data set comprising of weekly returns of Thai common stocks during the post-crisis period .By sorting stocks into portfolios based on Fama-French method we find that, in general, the portfolios of small-sized stocks and of value stocks tend to have higher returns . Furthermore, we find that the portfolios with relatively higher returns tend to have less, or negative, systematic co-skewness. Results from two-pass regression show that FamaFrench three-factor model has a better explanatory power than the traditional CAPM and adding systematic co-moments into both models yields a slight improvement. The slope coefficient of systematic coskewness is generally negative, implying there is a trade-off between mean returns and...

This study utilizes a constrained multiplier, input-oriented, data envelopment analysis (DEA) mod... more This study utilizes a constrained multiplier, input-oriented, data envelopment analysis (DEA) model to evaluate the productive efficiency and performance of 12 commercial banks in Thailand. The model has been applied to the most recent data of 1990–2003 period which covers both pre-and post-Asian Economic Crisis of 1997. We find out that among the most efficient banks are the large Thai-owned banks while the least efficient banks are the small foreign-owned banks. The results also suggest that the 1997 Economic Crisis does significantly reduce the efficiencies of commercial banks in Thailand. Moreover, we find a strong relationship between bank efficiency and its inputs and outputs.

This study investigates the impacts of autocorrelation and heteroscedasticity on the optimal hedg... more This study investigates the impacts of autocorrelation and heteroscedasticity on the optimal hedge ratios of four major foreign currency futures. The generalized autoregressive conditional heteroscedastic (GARCH) model is utilized to estimate the time-varying volatility in the foreign currency futures, and that the optimal hedge ratios obtained from both GARCH and OLS models are significantly less than one. However, the hedging performance of the GARCH model is found to be insignificantly different from that of the OLS regression method.

Thai-owned banks are the banks whose major shareholders are Thai and no major foreign shareholder... more Thai-owned banks are the banks whose major shareholders are Thai and no major foreign shareholder of more than 51%. This group consists of Bangkok Bank, Siam Commercial Bank, Thai Military Bank, Kasikorn Bank, and Bank of Ayudhya. B. Foreign-owned banks are the banks whose major shareholders are foreign entities (more than 51%). This group consists of Bank of Asia, Standard Chartered Nakornthon Bank, UOB Radhanasin Bank, and DBS Thai Danu Bank. C. Government-owned banks are the banks that belong to the Thai Government. This group consists of Krung Thai Bank, Siam City Bank and, Bank Thai.

This study investigates cross-market arbitrage opportunities under synchronous trading time, and ... more This study investigates cross-market arbitrage opportunities under synchronous trading time, and uses 5-minute intraday data that mitigates the stale price problem. Three major gold futures markets: COMEX, MCX, and TOCOM, and spot gold are examined using a modified interval pricing model. The evidence reveals both futures-spot and futures-futures arbitrage opportunities, especially in the more recently established markets. Moreover, the average profits of futures-futures arbitrage exceed those of futures-spot arbitrage. Finally, the evidence highlights differences among markets in both speed of price adjustment and lead-lag relationship.

Research in International Business and Finance, 2019

Using mutual fund data in Thailand, this study shows that fund managers can time the marketwide l... more Using mutual fund data in Thailand, this study shows that fund managers can time the marketwide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low-performing fund managers do not show the liquidity timing ability. Moreover, only top-performing bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis. Nonbank-related funds do not possess the liquidity timing ability at both the aggregate and portfolio levels. Several robustness tests confirm the findings. 1. Introduction Aragon and Strahan (2012) and Cao et al. (2013b) document that liquidity risk plays an essential role in portfolio management because mutual fund managers are responsible for managing portfolio liquidity to meet daily investors' operations, especially unexpected large redemptions. 1 Furthermore, unlike market return, which is difficult to forecast, market liquidity is more persistent and allows fund managers to forecast more accurately (Cao et al., 2013b). Although studies on mutual fund performance are extensive,

Finance Research Letters, 2019

Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of addin... more Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash. We compare commodities as a hedge for developed, emerging and frontier equities. Based on a DCC-GARCH framework, we show that forming hedged portfolios, including emerging, rather than developed and frontier market equities and commodities, has better hedging effectiveness in

SSRN Electronic Journal, 2015

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-f... more This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance of three selected countries in Asia - China, Singapore and Thailand as representatives of fast growing Asian countries. To my knowledge, this is the first research to incorporate both coskewness and cokurtosis risk factors into Carhart (1997) four-factor model, to become a six-factor model, to explain the equity mutual fund returns. The result shows that coskewness risk factor show significance in Singapore for mutual fund evaluation. There are some little sign of mild support for the pricing of cokurtosis in Singapore and Thailand too. In China, even coskewness is not statistically but shows economically significantly difference at 2.7% per month. Adding coskewness and cokurtosis risk factors in CAPM or Carhart (1997), four-factor model show little increment in the explanatory power of the models.

This paper investigates capital flight from Thailand to the US through trade misinvoicing during ... more 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$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.

SSRN Electronic Journal, 2015

A nonnormal stock return distribution is common in emerging markets. We propose a new liquidity t... more A nonnormal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A coskewness risk factor is statistically priced. High performing portfolios possess significantly positive liquidity timing ability, while low performing portfolios show oppositely. Thus, high performing funds increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low performing funds wrongly forecast market liquidity. Moreover, only bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis.

The Journal of Portfolio Management, 2000

For global equity portfolios, a number of active currency management strategies have consistently... more For global equity portfolios, a number of active currency management strategies have consistently dominated both unhedged and passively hedged strategies. The author shows that for portfolios broadly diversified across major equity markets (including the U.S., the U.K., France, Germany, and Japan), a single technically based active currency management strategy yielded the highest risk–adjusted return in all rolling ten–year periods and in twenty–one of twenty–four rolling five–year periods during 1972–1999. Although equity managers may not be in the business of foreign exchange management, they should not be blind to significant currency trends that could be detrimental to portfolio performance. The author suggests some practical techniques to address these trends.

Review of Pacific Basin Financial Markets and Policies, 2008

This paper investigates capital flight from Thailand to the US through trade misinvoicing during ... more 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$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.

Quarterly Journal of …, 1994

... INTRODUCTION There is ample empirical evidence (Bailey and Stulz, 1990; Cumby and Glen, 1990;... more ... INTRODUCTION There is ample empirical evidence (Bailey and Stulz, 1990; Cumby and Glen, 1990; etc.) that internationally diversified portfolios provide a greater degree of diversification in ... they utilize a more complete description of the underlying return generating process. ...

Global Economy Journal, 2018

This paper applies a mixed effect model to investigate the relationship between international equ... more 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.

Advanced Research on Asian Economy and Economies of Other Continents, 2007

Review of Pacific Basin Financial Markets and Policies, 2014

Economics Research International, 2010

Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or h... more 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-postportfolio 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.

This study examines the role of higher-order systematic co-moments in an asset pricing model, whe... more This study examines the role of higher-order systematic co-moments in an asset pricing model, when stock returns are non-normally distributed. We test the effect of higherorder systematic co-moments using direct observations and the Fama-MacBeth twopass regression on a data set comprising of weekly returns of Thai common stocks during the post-crisis period .By sorting stocks into portfolios based on Fama-French method we find that, in general, the portfolios of small-sized stocks and of value stocks tend to have higher returns . Furthermore, we find that the portfolios with relatively higher returns tend to have less, or negative, systematic co-skewness. Results from two-pass regression show that FamaFrench three-factor model has a better explanatory power than the traditional CAPM and adding systematic co-moments into both models yields a slight improvement. The slope coefficient of systematic coskewness is generally negative, implying there is a trade-off between mean returns and...

This study utilizes a constrained multiplier, input-oriented, data envelopment analysis (DEA) mod... more This study utilizes a constrained multiplier, input-oriented, data envelopment analysis (DEA) model to evaluate the productive efficiency and performance of 12 commercial banks in Thailand. The model has been applied to the most recent data of 1990–2003 period which covers both pre-and post-Asian Economic Crisis of 1997. We find out that among the most efficient banks are the large Thai-owned banks while the least efficient banks are the small foreign-owned banks. The results also suggest that the 1997 Economic Crisis does significantly reduce the efficiencies of commercial banks in Thailand. Moreover, we find a strong relationship between bank efficiency and its inputs and outputs.

This study investigates the impacts of autocorrelation and heteroscedasticity on the optimal hedg... more This study investigates the impacts of autocorrelation and heteroscedasticity on the optimal hedge ratios of four major foreign currency futures. The generalized autoregressive conditional heteroscedastic (GARCH) model is utilized to estimate the time-varying volatility in the foreign currency futures, and that the optimal hedge ratios obtained from both GARCH and OLS models are significantly less than one. However, the hedging performance of the GARCH model is found to be insignificantly different from that of the OLS regression method.

Thai-owned banks are the banks whose major shareholders are Thai and no major foreign shareholder... more Thai-owned banks are the banks whose major shareholders are Thai and no major foreign shareholder of more than 51%. This group consists of Bangkok Bank, Siam Commercial Bank, Thai Military Bank, Kasikorn Bank, and Bank of Ayudhya. B. Foreign-owned banks are the banks whose major shareholders are foreign entities (more than 51%). This group consists of Bank of Asia, Standard Chartered Nakornthon Bank, UOB Radhanasin Bank, and DBS Thai Danu Bank. C. Government-owned banks are the banks that belong to the Thai Government. This group consists of Krung Thai Bank, Siam City Bank and, Bank Thai.

This study investigates cross-market arbitrage opportunities under synchronous trading time, and ... more This study investigates cross-market arbitrage opportunities under synchronous trading time, and uses 5-minute intraday data that mitigates the stale price problem. Three major gold futures markets: COMEX, MCX, and TOCOM, and spot gold are examined using a modified interval pricing model. The evidence reveals both futures-spot and futures-futures arbitrage opportunities, especially in the more recently established markets. Moreover, the average profits of futures-futures arbitrage exceed those of futures-spot arbitrage. Finally, the evidence highlights differences among markets in both speed of price adjustment and lead-lag relationship.

Research in International Business and Finance, 2019

Using mutual fund data in Thailand, this study shows that fund managers can time the marketwide l... more Using mutual fund data in Thailand, this study shows that fund managers can time the marketwide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low-performing fund managers do not show the liquidity timing ability. Moreover, only top-performing bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis. Nonbank-related funds do not possess the liquidity timing ability at both the aggregate and portfolio levels. Several robustness tests confirm the findings. 1. Introduction Aragon and Strahan (2012) and Cao et al. (2013b) document that liquidity risk plays an essential role in portfolio management because mutual fund managers are responsible for managing portfolio liquidity to meet daily investors' operations, especially unexpected large redemptions. 1 Furthermore, unlike market return, which is difficult to forecast, market liquidity is more persistent and allows fund managers to forecast more accurately (Cao et al., 2013b). Although studies on mutual fund performance are extensive,

Finance Research Letters, 2019

Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of addin... more Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash. We compare commodities as a hedge for developed, emerging and frontier equities. Based on a DCC-GARCH framework, we show that forming hedged portfolios, including emerging, rather than developed and frontier market equities and commodities, has better hedging effectiveness in

SSRN Electronic Journal, 2015

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-f... more This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance of three selected countries in Asia - China, Singapore and Thailand as representatives of fast growing Asian countries. To my knowledge, this is the first research to incorporate both coskewness and cokurtosis risk factors into Carhart (1997) four-factor model, to become a six-factor model, to explain the equity mutual fund returns. The result shows that coskewness risk factor show significance in Singapore for mutual fund evaluation. There are some little sign of mild support for the pricing of cokurtosis in Singapore and Thailand too. In China, even coskewness is not statistically but shows economically significantly difference at 2.7% per month. Adding coskewness and cokurtosis risk factors in CAPM or Carhart (1997), four-factor model show little increment in the explanatory power of the models.

This paper investigates capital flight from Thailand to the US through trade misinvoicing during ... more 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$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.

SSRN Electronic Journal, 2015

A nonnormal stock return distribution is common in emerging markets. We propose a new liquidity t... more A nonnormal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A coskewness risk factor is statistically priced. High performing portfolios possess significantly positive liquidity timing ability, while low performing portfolios show oppositely. Thus, high performing funds increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low performing funds wrongly forecast market liquidity. Moreover, only bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis.

The Journal of Portfolio Management, 2000

For global equity portfolios, a number of active currency management strategies have consistently... more For global equity portfolios, a number of active currency management strategies have consistently dominated both unhedged and passively hedged strategies. The author shows that for portfolios broadly diversified across major equity markets (including the U.S., the U.K., France, Germany, and Japan), a single technically based active currency management strategy yielded the highest risk–adjusted return in all rolling ten–year periods and in twenty–one of twenty–four rolling five–year periods during 1972–1999. Although equity managers may not be in the business of foreign exchange management, they should not be blind to significant currency trends that could be detrimental to portfolio performance. The author suggests some practical techniques to address these trends.

Review of Pacific Basin Financial Markets and Policies, 2008

This paper investigates capital flight from Thailand to the US through trade misinvoicing during ... more 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$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.

Quarterly Journal of …, 1994

... INTRODUCTION There is ample empirical evidence (Bailey and Stulz, 1990; Cumby and Glen, 1990;... more ... INTRODUCTION There is ample empirical evidence (Bailey and Stulz, 1990; Cumby and Glen, 1990; etc.) that internationally diversified portfolios provide a greater degree of diversification in ... they utilize a more complete description of the underlying return generating process. ...

Global Economy Journal, 2018

This paper applies a mixed effect model to investigate the relationship between international equ... more 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.

Advanced Research on Asian Economy and Economies of Other Continents, 2007

Review of Pacific Basin Financial Markets and Policies, 2014

Economics Research International, 2010

Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or h... more 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-postportfolio 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.