The Effect of Fund Size on Performance:The Evidence from Active Equity Mutual Funds in Thailand

The effect of fund size on performance is an important issue in portfolio performance literatures. This paper studies the effect of mutual fund size on its performance based on active equity mutual funds in Thailand during 2006-2012. The results show that there is a significant relationship between fund size and performance. However, this relationship is not linear but quadratic. The quadratic relationship found in this study implies that there is an optimal size of mutual fund. For relatively small funds, the performance increases as fund size increases. This can be explained by size advantage from economies of scale. However, when funds become larger and larger, the performance is deteriorated by the size due to diseconomies of scale. Keywords: Portfolio Performance, Fund Size, Portfolio Management, Four-factor Mode

The Preferences of Non-governmental Organizations to Sustainable Investment: Evidence From Emerging Equity Market

Purpose: From December 2015 to August 2018, the shares ownership of NGOs in the Indonesian equity market growing more than 80% for domestic and 120% for foreign. This study is aim to empirically test the NGO investment preferences in the Indonesia Stock Exchange based on the unique data set of free float shares ownership by NGOs in Indonesia Stock Exchange. The authors identify the impact of the firm size, firm liquidity level and recognition of sustainability as factors that imply the preferences of the foreign NGOs ownership in the Indonesia equity market. Design/Methodology/Approach: A new dataset from Indonesia evidence addresses insight of the importance to analyze the preference of NGO investors’ ownership in the stock market. In this study, the researchers examine two models to test the impact of market capitalization, liquidity and recognition of sustainability on the subsequent of NGO shares ownership. The analysis of stock ownership model performs by ordinary-least-squares (OLS) regression approach. Robustness test confirmed that the data do not contain any of window dressing and trade discreteness effects. Findings: The main result of this study shows that foreign NGO prefers to hold more ownership on the firms with recognition of sustainability. There were also found that foreign NGOs prefers to holdings fewer variety stocks, bigger market capitalization compared to domestic NGOs. Implications/Originality/Value: This study contributes to the debate of the important role of NGOs to foster a better investment environment in the emerging equity market. It also may help Indonesia Stock Exchange and Indonesia Financial Services Authority in making regulation and laws concerning NGOs role that significant to the sustainable investment improvement in the equity marke

TRUMP’S TWITTER EFFECT ON FINANCIAL INDEXES

This study investigates the impact of Trump’s tweets on abnormal returns and trading volumes of the S&P 500, using VADER to determine the sentiment of the daily tweets to identify relevant events. Based on the daily tweets from U.S President Donald Trump’s twitter account from 1st January 2018 to 16th December 2019, about 20 event samples had been identified. Statistical analysis using event study techniques demonstrated that only negative tweets could lead to statistically significant abnormal return and trading volumes over 1 or 2 trading days after the tweets. The study did not find any statistically significant relationship among positive tweets, abnormal returns, and trading volumes. According to the analysis, the conclusion of these results demonstrates that Trump’s tweet is still another source of information used to predict the U.S stock market return

Customer Loyalty in the Retail Industry in Yangon, Myanmar

Purpose: The purpose of this research is to investigate the factors impacting customer loyalty in the retail industry in Yangon, Myanmar. The study identified the relationship among product innovation, service quality, product quality, customer satisfaction,  trust, communication, and customer loyalty. Research design, data, and methodology: A total of 491 respondents were used to collect the data via online and offline questionnaire. The sampling procedure involves judgmental, convenience and snowball sampling. Confirmatory Factor Analysis (CFA) was used to test factor loading, composite reliability, average variance extracted, Cronbach’s alpha, validities and goodness of fit. Additionally, the hypothesis testing results were produced by Structural Equation Modeling (SEM). Results: The result shows that service quality and product quality have a significant relationship on satisfaction. Furthermore, the relationship among satisfaction, trust and loyalty are significantly supported. For second order, there are causal relationship among semi/uncontrolled communication and its elements which are word-of-mouth, public relations, media relations, and social media marketing. Nevertheless, product innovation has no significant impact on satisfaction. Conclusion: Products itself and semi-uncontrolled communication are vital points to get customer loyalty in the long run through satisfaction and trust. Thus, organizations and marketers need to focus on a competitive edge to gain sustainability in customer loyalty

THE IMPACT OF SINGLE STOCK FUTURES ON SPOT PRICE VOLATILITY OF UNDERLYING STOCK IN THE STOCK EXCHANGE OF THAILAND DURING 2006 - 2012

The impact of the Stock Futures Trading to spot market has been considered by many countries all around the world. The debate on whether Stock Futures destabilizes or stabilizes the spot market has been well established in the developed market and emerging market on the Stock Index level. This research aims to examine the impact of the introduction of the Single Stock Futures on the volatility of the underlying equity in the Stock Exchange of Thailand from year 2006 to 2012, using the GARCH model. Based on (GARCH 1,1) model analysis, this study showed the introduction of Single Stock Futures stabilized the spot  market volatility in Thailand. The coefficient γ of all 11 stocks shows a statistically significant level.  Additionally, the SET Index was included and set up another model to test as another factor that causes volatility and found post-futures period volatility in the spot market decreased after an introduction of Single Stock Futures trading. In conclusion, the introduction of Single Stock Futures trading decreases the spot price volatility in the market. By considering (SET) as market factors, the results also found most Single Stock Futures trading also decreases the spot price volatility

ABNORMAL RETURN ON STOCK SPLIT - REVISITING THE EVIDENCE OF THAILAND DURING 2009 - 2018

An abnormal return on the stock split is one of the most prominent debates in the finance industry. Positive signaling and optimal trading range hypotheses are underlying principles that are commonly used to describe a positive market reaction to the stock split. This research paper focuses specifically on the market’s reactions by the announcement date of the stock split, applying firm size and price range to explore insightful connections. The samples are listed companies in the Stock Exchange of Thailand (MAI excluded) with a stock split from January 1, 2009, to December 31, 2018, aiming to capture data in all economic cycles. To examine positive abnormal returns around announcement date, the event-study-methodology is applied. The study indicates that average abnormal return (AAR) and cumulative average abnormal return (CAAR) are significantly positive during the announcement. Applying firm size in the study, the market tends to react more positively to small-size firms, likewise, lowprice. The pieces of evidence indicated that stocks responded more positively by reason of consciously or subconsciously anticipation to post-splits. The investors are able to apply the rationales and logic behind this corporate action to distinguish between fundamental changes and expectations for their investment decisions in financial markets