Please use this identifier to cite or link to this item:
Title: การวิเคราะห์ค่าสุดโต่งแบบคู่ของราคาหลักทรัพย์กลุ่มบริษัทหลักทรัพย์ในตลาดหลักทรัพย์แห่งประเทศไทย
Other Titles: An Analysis of Bivariate Extreme Value in the Price of Stock in Brokerage Sector in the Stock Exchange of Thailand
Authors: รศ.ดร.ประเสริฐ ไชยทิพย์
รศ.ดร.กาญจนา โชคถาวร
ผศ.ดร.ชูเกียรติ ชัยบุญศรี
ลักษณ์ธนัชพร อุตมะดวงแจ่ม
Issue Date: Jul-2015
Publisher: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
Abstract: The purposes of this research are to study the circumstances of the securities companies in SET Thailand in order to find the correlation between the nominal prices of the securities companies, and the SET Index, by using “Bivariate Extreme Value Method”. By performing the correlation study, it shall bring the academic extreme value of the assets of securities companies, and the direction which of the nominal prices and SET index goes, then help those investors decide in investing in securities companies in SET. The data used for analysis in this study were the information on day end reports from July 4, 1991 to August 29, 2015, performed by ‘Bivariate Extreme Value Method” between nominal securities company prices and SET Index. The model of the study was “Bivariate Generalized Extreme Value Distribution (BGEV)”, and “Bivariate Generalized Pareto Distribution (BGPDPD)”. From the study, it was found that the prices of the security ‘ASP’,’CGH’ and ‘KGI’ correlated with the SET index, in the other words, on the period that the prediction goes for the increasing in prices index of SET, or the prices themselves at their peaks, the prices of security ‘ASP’,’CGH’ and ‘KGI’ tends to increase simultaneously. However, if there’s a trend for increasing SET prices, the prices those three companies might not make a big increasing as the correlation was imperfect.
Appears in Collections:ECON: Independent Study (IS)

Files in This Item:
File Description SizeFormat 
ABSTRACT.docxAbstract172.38 kBMicrosoft Word XMLView/Open
ABSTRACT.pdfAbstract165.57 kBAdobe PDFView/Open
FULL.pdfFull IS3.29 MBAdobe PDFView/Open

Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.