The Stock Exchange of Thailand (SET) has promoted quality researches on the Thai capital market, encouraged quality researchers and connected academic network to the capital market by presenting five awards to the finalists in the 2021/2022 SET Research Scholarship Project. The Outstanding Research Award was granted to Natthawut Wangwan, Thammasat University, for the research on the topic of “Hidden Ownership and Corporate Governance”. The Superior Research Award was granted to Watcharapat Masaeng, Thammasat University, for the research on the topic of "Real-financial Connectedness". In addition, three honorary awards were also given to researchers of three quality research studies.
SET Senior Executive Vice President & Head of Corporate Strategy Division Soraphol Tulayasathien said that SET has continuously offered research grants over the past decade to further benefit the development of the Thai capital market, and provide opportunities for students to conduct capital market researches with access to information while exchanging views with experts in the capital market. In the 2021/2022 project, the record number of 36 research proposals were submitted for the capital market research funding by students from 16 faculties of 10 universities – the increasing number of faculties over time. Significantly, this reflects wider interest and more emphasis on knowledge development specifically on capital market research. Furthermore, the expertise in other fields have also been applied to make research dimension broader and deeper, such as innovative research, research on ESG issues, and application of research tools in research.
The award-winning capital market research studies are as follows:
• Outstanding Capital Market Research Award: The research title “Hidden Ownership and Corporate Governance” by Natthawut Wangwan. Professor Dr. Arnat Leemakdej from the Faculty of Commerce and Accountancy, Thammasat University, is the advisor. The research studied impacts from the shareholder structure on corporate governance, presenting a new way to measure offshore hidden shares by using Combinatorial optimization technique. The study found that hidden ownership was positively correlated with level of listed companies’ corporate governance, and companies with high ratio of hidden ownership are those, in which the significant stake is held by foreign shareholders and most of them are institutional investors who play a role in corporate governance development.
- · Superior Capital Market Research Award: The research title "Real-financial
Connectedness" by Watcharapat Masaeng. The advisor is Assistant Professor Dr. Wasin Siwasarit from the Faculty of Economics, Thammasat University. The research studied the linkage using Vector Autoregressive (VAR) model and found that the domestic sector of real economy has experienced net volatility from the stock market (SET), and connection between the Thai bourse and economic policies in foreign countries has a statistically significant increase in every period of crisis.
• Three Honorary awards are as follows:
- Research title: “Black-Litterman Portfolio Management Using Investor’s View Generated by Recurrent Neural Networks and Support Vector Regression” by Kunnachai Punyaleadtip. Dr. Pittipol Kantavat from the Faculty of Engineering, Chulalongkorn University, is the advisor.
- Research title: “The relationship between agricultural commodity and stock market in case of Thailand: Safe-haven, Hedge, or Diversifier?- Cross-quantilogram analysis” by Karjbundit Bunditsakulporn. Assistant Professor Dr. Sicha Thubdimphun from the Faculty of Economics, Thammasat University, is the advisor.
- Research title: “Performance of Equity Mutual Funds during the COVID-19 Pandemic by Using Bootstrapping Method” by Chirasin Siriprachai. Associate Professor Dr. Tatre Jantarakolica from the Faculty of Economics, Thammasat University, is the advisor.
“Notably, these award-winning research studies are prominent, having utilized innovative research tools, enabling scenario analyses from multiple perspectives and making it practical when it comes to real life implementation. SET is poised to support capital market research studies conducted to benefit sustainable development of the Thai capital market. SET has continued to develop the capital market database, with the recent development of a capital market information platform for researchers to access information for research studies more conveniently,” added Soraphol.
The SET Research Scholarship Project, initiated by SET, has been implementing since 2012 in cooperation with educational institutions, experts in the Thai capital market industry, and public and private sectors participating as award judges. It is considered as a network that exchanges knowledge between the academic sector and experts with real experience in the Thai capital market, as such helping to enhance the quality of research work with practical benefits truly for the Thai capital market industry.
Interested public can study research data, and the capital market database via www.set.or.th/setresearch.