Author Page for Nuttawat Visaltanachoti

ETF Arbitrage: Intraday Evidence

Number of pages: 45 Posted: 16 Nov 2010 Last Revised: 24 Jan 2013

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 4,258 (1,936)

Citation 13

Abstract:

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 2,992 (3,564)

Citation 6

Abstract:

3.

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 (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 2,264 (5,701)

Citation 4

Abstract:

4.

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 2,245 (5,786)

Abstract:

5.

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 1,858 (7,995)

Citation 13

Abstract:

6.

Analysis of Limit Order Book and Order Flow

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2

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 959 (22,143)

Abstract:

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 541 (48,615)

Abstract:

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 974 (22,032)

Citation 10

Abstract:

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 859 (26,444)

Abstract:

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 776 (30,426)

Citation 2

Abstract:

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 629 (40,430)

Citation 5

Abstract:

11.

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 498 (54,631)

Abstract:

12.

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 389 (73,870)

Citation 1

Abstract:

13.

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 (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 381 (75,663)

Citation 12

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14.

Frontier Market Transaction Costs and Diversfication

Number of pages: 40 Posted: 13 Oct 2011 Last Revised: 20 Nov 2013

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 287 (103,972)

Citation 5

Abstract:

15.

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 274 (109,253)

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16.

Liquidity Measurement in Frontier Markets

Number of pages: 26 Posted: 30 Oct 2012

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 245 (122,666)

Citation 2

Abstract:

17.

Do Liquidity Proxies Measure Liquidity Accurately in ETFs?

2016 Financial Markets and Corporate Governance

Number of pages: 48 Posted: 11 Dec 2015 Last Revised: 31 Jul 2017

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 228 (131,803)

Abstract:

18.

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 215 (139,473)

Abstract:

19.

Bitcoin Liquidity

Number of pages: 45 Posted: 27 Jun 2018 Last Revised: 05 Jun 2019

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 203 (147,241)

Abstract:

20.

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

Grace Ooi and Nuttawat Visaltanachoti

University of Auckland - Department of Accounting and Finance and Massey University - Department of Economics and Finance

Downloads 186 (159,561)

Abstract:

21.

Country Governance and International Equity Returns

2016 Financial Markets and Corporate Governance, Asian Finance Association (AsianFA) 2016 Conference

Number of pages: 67 Posted: 11 Dec 2015 Last Revised: 16 Jan 2018

Ben R. Marshall, Nhut (Nick) Hoang Nguyen, Harvey Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology, Massey University, Massey Business School and Massey University - Department of Economics and Finance

Downloads 160 (182,094)

Citation 1

Abstract:

22.

Risk Reduction Using Trailing Stop-Loss Rules

Number of pages: 31 Posted: 01 Apr 2019

Bochuan Dai, Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 153 (189,139)

Abstract:

23.

A Note on Intraday Event Studies

Number of pages: 24 Posted: 09 Aug 2017 Last Revised: 17 Aug 2017

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 124 (223,692)

Abstract:

24.

Politics and Liquidity

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017

Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 29 May 2018

Ben R. Marshall, Harvey Nguyen, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 112 (241,019)

Abstract:

25.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 32 Posted: 13 Mar 2019 Last Revised: 30 Mar 2019

Hui Zeng, Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 80 (300,000)

Abstract:

26.

Round Number Effects in Crude Oil Futures Market

Number of pages: 40 Posted: 16 Jul 2018

Ro Cho, Mei Qiu and Nuttawat Visaltanachoti

Massey University, College of Business, School of Economics and Finance, Massey University - College of Business and Massey University - Department of Economics and Finance

Downloads 80 (302,287)

Abstract:

27.

Stock Liquidity and Labor Adjustment Costs

Number of pages: 36 Posted: 05 Oct 2018

Ben R. Marshall, Justin Hung Nguyen, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Victoria University of Wellington - Victoria Business School, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 79 (302,287)

Abstract:

28.

Transaction Costs in an Illiquid Order-Driven Market

Downloads 65 (336,852)

2

Transaction Costs in an Illiquid Order-Driven Market

Number of pages: 27 Posted: 23 Oct 2014

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 65 (341,085)

Abstract:

Transaction Costs in an Illiquid Order‐Driven Market

Accounting & Finance, Vol. 56, Issue 4, pp. 917-933, 2016

Number of pages: 17 Posted: 05 Dec 2016

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

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Abstract:

29.

Asset Class Jumps

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 19 Apr 2018

Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 58 (356,596)

Abstract:

30.

Portfolio Liquidity: Is the Whole More Than the Sum of Its Parts?

Number of pages: 55 Posted: 08 May 2019

Son Duy Pham, Ben R. Marshall, Nhut (Nick) Hoang Nguyen and Nuttawat Visaltanachoti

Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance

Downloads 24 (490,074)

Abstract:

31.

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

Hang (Robin) Luo, Nuttawat Visaltanachoti and Puspakaran Kesayan

Xihua University, Massey University - Department of Economics and Finance and Universiti Utara Malaysia (UUM)

Downloads 8 (583,611)

Abstract:

32.

Executive Gender and Prospect-Value Bias: Evidence from Insider Trading

Number of pages: 44 Posted: 26 Jun 2019

Saba Sehrish, David K. Ding and Nuttawat Visaltanachoti

Massey University, New Zealand, Singapore Management University - Lee Kong Chian School of Business and Massey University - Department of Economics and Finance

Downloads 4 (609,430)

Abstract:

33.

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 (609,430)

Citation 5

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34.

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, Hang (Robin) Luo and Puspakaran Kesayan

Massey University - Department of Economics and Finance, Xihua University and Universiti Utara Malaysia (UUM)

Downloads 3 (617,184)

Abstract:

35.

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

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36.

Performance of Market Order Execution Strategy: The Australian Evidence

Applied Economics Letters, Vol. 14, No. 13, 2007

Posted: 26 Jan 2013

Nuttawat Visaltanachoti, Hang (Robin) Luo and Dongqiang Wang

Massey University - Department of Economics and Finance, Xihua University and Massey University

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37.

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, Hang (Robin) Luo and Lin Lu

Massey University - Department of Economics and Finance, Xihua University and Massey University

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38.

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

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39.

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

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Professor in Finance

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Scholarly Papers (39)

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Transaction Costs in an Illiquid Order‐Driven Market

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The Halloween Effect in U.S. Sectors

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Sell the Rumour, Buy the Fact?

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