Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Professor in Finance

School of Economics and Finance

Private Bag 102904, NSMC

Auckland

New Zealand

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 1,155

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18,582

CITATIONS
Rank 9,444

SSRN RANKINGS

Top 9,444

in Total Papers Citations

46

Scholarly Papers (29)

1.

ETF Arbitrage: Intraday Evidence

Number of pages: 45 Posted: 16 Nov 2010 Last Revised: 24 Jan 2013
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 3,101 (1,813)

Abstract:

Arbitrage, Pairs Trading, ETF

2.

The Halloween Effect in US Sectors

The Financial Review, Forthcoming
Number of pages: 38 Posted: 10 May 2006 Last Revised: 18 May 2009
Ben Jacobsen and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society and Massey University - Department of Economics and Finance
Downloads 2,472 (3,083)
Citation 9

Abstract:

Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation

3.

Return Predictability Revisited

EFA 2007 Ljubljana Meetings Paper, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 73 Posted: 25 Feb 2007 Last Revised: 19 Nov 2009
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,159 (4,399)

Abstract:

observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

4.

Seasonal, Size and Value Anomalies

Number of pages: 38 Posted: 22 Aug 2005
Ben Jacobsen, Abdullah Mamun and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, University of Saskatchewan - Department of Finance and Management Science and Massey University - Department of Economics and Finance
Downloads 1,572 (6,927)
Citation 10

Abstract:

Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth

Analysis of Limit Order Book and Order Flow

EFMA 2004 Basel Meetings Paper
Number of pages: 44 Posted: 28 May 2004
Charlie Charoenwong, Nuttawat Visaltanachoti and David K. Ding
Nanyang Technological University (NTU), Massey University - Department of Economics and Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 789 (22,636)

Abstract:

limit order book, order flow, Thailand

Analysis of Limit Order Book and Order Flow

EFMA 2004 Basel Meetings Paper
Number of pages: 44 Posted: 04 Feb 2005
Charlie Charoenwong, Nuttawat Visaltanachoti and David K. Ding
Nanyang Technological University (NTU), Massey University - Department of Economics and Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 517 (40,402)

Abstract:

limit order book, order flow, Thailand

6.

Time-Series Momentum versus Moving Average Trading Rules

Number of pages: 45 Posted: 27 Feb 2013 Last Revised: 26 Feb 2015
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 1,126 (7,828)
Citation 1

Abstract:

G11, G12

7.

Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle

Number of pages: 25 Posted: 27 Feb 2006
Abdullah Mamun and Nuttawat Visaltanachoti
University of Saskatchewan - Department of Finance and Management Science and Massey University - Department of Economics and Finance
Downloads 876 (18,484)
Citation 6

Abstract:

Treasury inflation protected securities (TIPS), portfolio diversification

8.

Trading Strategy Performance when Using Value at Risk or Expected Shortfall as a Risk Constraint

Number of pages: 49 Posted: 31 Mar 2002
Nuttawat Visaltanachoti and Yuxing Yan
Massey University - Department of Economics and Finance and Canisius College
Downloads 812 (20,831)

Abstract:

Value at risk, portfolio performance, asset allocation

9.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 535 (32,046)
Citation 1

Abstract:

industrial metals, state-switching, return predictability, gradual information diffusion, business cycle

10.

A Stock Market Reaction Following Convertible Bond Issuance: Evidence from Japan

International Journal of Business, Vol. 10, No. 4, 2005
Number of pages: 18 Posted: 02 Nov 2005
Wei Cheng, Nuttawat Visaltanachoti and Puspakaran Kesayan
Massey University, Massey University - Department of Economics and Finance and Universiti Utara Malaysia (UUM)
Downloads 501 (37,890)
Citation 4

Abstract:

Convertible bond, Japan, Event study

11.

Inflation Expectation and Asset Allocation in the Presence of an Indexed Bond

Number of pages: 34 Posted: 13 Jun 2006
Abdullah Mamun and Nuttawat Visaltanachoti
University of Saskatchewan - Department of Finance and Management Science and Massey University - Department of Economics and Finance
Downloads 365 (61,228)
Citation 1

Abstract:

Inflation, Treasury Inflation Protected Securities (TIPS), Equilibrium Asset Allocation, Inflation Expectation

12.

Liquidity Commonality in Commodities

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 12 May 2010 Last Revised: 27 Jul 2011
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 328 (64,867)
Citation 3

Abstract:

Commodity, Liquidity, Commonality

13.

Is There Momentum or Reversal in Weekly Currency Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 30 Apr 2013 Last Revised: 10 Jun 2015
Ahmad Raza, Ben R. Marshall and Nuttawat Visaltanachoti
University of Otago - Department of Accountancy and Finance, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 327 (53,392)

Abstract:

currency, momentum, reversal

14.

Market Reaction to Credit Rating Announcements in the Irish Stock Market

Number of pages: 40 Posted: 27 Jan 2004
Charlie Charoenwong, Xiang Hong Li and Nuttawat Visaltanachoti
Nanyang Technological University (NTU), Massey University - Department of Commerce and Massey University - Department of Economics and Finance
Downloads 238 (93,505)

Abstract:

Credit Rating, Irish

15.

Frontier Market Transaction Costs and Diversfication

Number of pages: 40 Posted: 13 Oct 2011 Last Revised: 20 Nov 2013
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 236 (89,750)
Citation 2

Abstract:

Frontier market, liquidity, transaction cost, diversification

16.

Spread, Depth, and Order Flow Patterns of Warrants and their Underlying Stocks on the Stock Exchange of Thailand

EFMA 2004 Basel Meetings Paper
Number of pages: 48 Posted: 28 May 2004
Charlie Charoenwong, Nuttawat Visaltanachoti and David K. Ding
Nanyang Technological University (NTU), Massey University - Department of Economics and Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 206 (114,948)

Abstract:

intraday patterns, spreads, depths, order flows, Thailand

17.

Liquidity Measurement in Frontier Markets

Number of pages: 26 Posted: 30 Oct 2012
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 178 (117,736)

Abstract:

frontier market, liquidity proxy, transaction cost

18.

Corporate Governance Legal Reforms and Stock Return in Malaysia

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 37 Posted: 19 Jan 2010 Last Revised: 07 Jul 2010
Bee-Wah Grace Ooi and Nuttawat Visaltanachoti
University of Auckland - Department of Accounting and Finance and Massey University - Department of Economics and Finance
Downloads 152 (135,644)

Abstract:

Corporate Governance, Legal Reforms, Malaysia

Transaction Costs in an Illiquid Order-Driven Market

Number of pages: 27 Posted: 23 Oct 2014
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 51 (314,124)

Abstract:

Liquidity, transaction cost, order splitting

Transaction Costs in an Illiquid Order‚ÄźDriven Market

Accounting & Finance, Vol. 56, Issue 4, pp. 917-933, 2016
Number of pages: 17 Posted: 05 Dec 2016
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 0

Abstract:

Liquidity, Transaction cost, Order splitting

20.

The Halloween Effect in U.S. Sectors

Financial Review, Vol. 44, No. 3, pp. 437-459, August 2009
Number of pages: 23 Posted: 09 Jul 2009
Ben Jacobsen and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society and Massey University - Department of Economics and Finance
Downloads 4 (503,713)
Citation 9

Abstract:

21.

Do Liquidity Proxies Measure Liquidity Accurately in ETFs?

2016 Financial Markets and Corporate Governance
Number of pages: 49 Posted: 11 Dec 2015 Last Revised: 17 Jan 2017
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 0 (175,334)

Abstract:

Liquidity Measurement, Liquidity Proxy, Transaction Costs, Exchange Traded Funds, ETF

22.

Country Governance and International Equity Returns

2016 Financial Markets and Corporate Governance, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 66 Posted: 11 Dec 2015 Last Revised: 19 Oct 2016
Ben R. Marshall, Nhut H. Nguyen, Hung T. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University, Monash University and Massey University - Department of Economics and Finance
Downloads 0 (222,227)

Abstract:

Governance, Return Predictability, International Equity Markets, Information Diffusion, Slow Moving Capital

23.

Sell the Rumour, Buy the Fact?

Accounting & Finance, Vol. 54, Issue 1, pp. 237-249, 2014
Number of pages: 13 Posted: 04 Mar 2014
Ben R. Marshall, Nuttawat Visaltanachoti and Genevieve Cooper
Massey University - School of Economics and Finance, Massey University - Department of Economics and Finance and Massey University
Downloads 0 (531,768)

Abstract:

Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage

24.

Performance of Market Order Execution Strategy: The Australian Evidence

Applied Economics Letters, Vol. 14, No. 13, 2007
Posted: 26 Jan 2013
Nuttawat Visaltanachoti, Robin H. Luo and Dongqiang Wang
Massey University - Department of Economics and Finance, ALHOSN University and Massey University

Abstract:

25.

Holding Periods, Illiquidity, and Disposition Effect in the Chinese Stock Markets

Applied Financial Economics, Vol. 17, No. 15, 2007
Posted: 26 Jan 2013 Last Revised: 18 Jan 2017
Nuttawat Visaltanachoti, Robin H. Luo and Lin Lu
Massey University - Department of Economics and Finance, ALHOSN University and Massey University

Abstract:

26.

Financial Contagion within a Small Country

International Journal of Business and Information, 2006, Volume 1, Number 2, 119-136.
Number of pages: 18 Posted: 23 Jan 2013 Last Revised: 09 Jan 2017
Nuttawat Visaltanachoti, Robin H. Luo and Puspakaran Kesayan
Massey University - Department of Economics and Finance, ALHOSN University and Universiti Utara Malaysia (UUM)
Downloads 0 (531,768)

Abstract:

Financial contagion, extreme value, New Zealand

27.

Analysis of Foreign Currency Exposure of the New Zealand Stock Market

Investment Management and Financial Innovations, 2006, Volume 3, Issue 1, 132-141.
Number of pages: 10 Posted: 23 Jan 2013 Last Revised: 12 Jan 2017
Robin H. Luo, Nuttawat Visaltanachoti and Puspakaran Kesayan
ALHOSN University, Massey University - Department of Economics and Finance and Universiti Utara Malaysia (UUM)
Downloads 0 (521,734)

Abstract:

Foreign Currency Exposure, New Zealand

28.

Commonality in Liquidity: Evidence from the Stock Exchange of Thailand

Pacific-Basin Finance Journal, Forthcoming
Posted: 20 Jan 2009
Kuntara Pukthuanthong and Nuttawat Visaltanachoti
University of Missouri, Columbia and Massey University - Department of Economics and Finance

Abstract:

Liquidity, Commonality, Microstructure, Thailand

29.

Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis

Applied Financial Economics, Forthcoming
Posted: 20 Jan 2009
Kuntara Pukthuanthong and Nuttawat Visaltanachoti
University of Missouri, Columbia and Massey University - Department of Economics and Finance

Abstract:

Idiosyncratic risk, CAPM, Stock returns