-GARCH 1)Construct portfolios Direct & Indirect 2)Examine Dynamic Correlation with Bitcoin after the announcements Dynamic Correlation with Bitcoin Impulse-Response Analysis • One standard deviation shock
Those who have plenty of free time value freedom High correlation between perceived freedom and internal locus of control Internals perceive risks and uncertainties optimistically Financial Literacy and
Marsden, 2015; Nian and Chuen (2015); Gafar et al., 2021) 4 Background(Cont.) •Support combine Cryptocurrency to Portfolio •Low correlation with traditional assets(Krückeberg and Scholz, 2019) • Improve
Persistence of Performance http://www.sec.or.th Empirical Paper Methodology Evidence Sharpe (1966) Spearman rank correlation Yes Jensen (1968) Jensen’s alpha No Grinblatt&Titman (1989,1992) Jensen’s alpha Yes
analysis • Correlation matrix • pooled cross-sectional data analysis Research Finding 14 Research finding 15 Mean SD Min Max Panel A: Indonesia ROA 7.632 7.920 -16.392 41.100 ESG 20.984 10.389 2.000 50.000
style can be analyzed through performance-based, holding-based and transaction-based framework. Fund return, correlation, tracking error Portfolio turnover, Transactional data Fund constituent (Name and
. • Multicollinearity Test There are no any simple correlation coefficients between the variables is greater than 0.8 (Harvey, 1990) Page 29/40 Research Outcome Process (Cont’) • The heteroskedasticity Test White’s
groups. Result • Difference-of-mean t-test Result • Correlation between five-day lag returns and trading imbalance Result • Multivariate regressions • 𝑦𝑖𝑝𝑡 is the measure of imbalance, • 𝛼𝑖 the stock
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 A LP H A ( A N N U A LI ZE D ) EXPENSE RATIO Correlation = 0.0387Correlation = 0.1857 However, the net returns here exclude load fees (front-end, back-end). Comparison
ได้ นอกจากนี้ ความเชื่อมโยงกันระหว่างสินทรัพย์ดิจิทัล และภาคการเงินยังพิจารณาได้จากความสัมพันธ์ (correlation) ของราคาสินทรัพย์ดิจิทัลและราคาหุ้นใน ตลาดหลักทรัพย์ (S&P 500) โดยในช่วงปี 2563 – 2564 ราคา