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

39

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22,415

CITATIONS
Rank 12,981

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Top 12,981

in Total Papers Citations

57

Scholarly Papers (39)

1.

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 4,277 (1,948)
Citation 3

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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 3,006 (3,595)
Citation 1

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

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 2,287 (5,698)
Citation 1

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G11, G12

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 2,246 (5,876)

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

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 1,864 (8,068)
Citation 14

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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 968 (22,154)

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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 549 (48,325)

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limit order book, order flow, Thailand

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 979 (22,150)
Citation 9

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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 863 (26,599)

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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 780 (30,608)
Citation 2

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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 631 (40,807)

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Convertible bond, Japan, Event study

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 506 (54,219)

Abstract:

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currency, momentum, reversal

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 (74,747)
Citation 1

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

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 (76,549)
Citation 6

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Commodity, Liquidity, Commonality

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 288 (104,790)
Citation 2

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Frontier market, liquidity, transaction cost, diversification

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 (110,530)

Abstract:

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Credit Rating, Irish

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 247 (123,020)

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frontier market, liquidity proxy, transaction cost

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 230 (132,110)

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

18.

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 223 (136,182)

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Bitcoin, Liquidity, Cryptocurrency

19.

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 (141,057)

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intraday patterns, spreads, depths, order flows, Thailand

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 (161,410)

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Corporate Governance, Legal Reforms, Malaysia

21.

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 168 (176,710)

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Stop-Loss Rule, Risk Reduction

22.

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
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 162 (182,200)
Citation 1

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

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 129 (220,842)

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Intraday, Event Study

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
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 115 (239,203)

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Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty

25.

Transparency and Labor Adjustment Costs

Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 21 Jul 2019
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 89 (284,284)

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Labor Adjustment Costs, Transparency

26.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 34 Posted: 13 Mar 2019 Last Revised: 29 Jul 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 88 (286,332)

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firm level predictability, macroeconomic and technical predictors, principal component analysis (PCA), limits to arbitrage, cross-sectional predictability, business cycle

27.

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 83 (296,919)

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Round Number Effects, Price Clustering, Buy-Sell Imbalance, Open Outcry Auction, Electronic Trading, Hedger

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 66 (342,317)

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Liquidity, transaction cost, order splitting

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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Liquidity, Transaction cost, Order splitting

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 61 (351,980)

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Asset Classes, Jump Risk

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 29 (469,834)

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ETFs; Portfolio Liquidity; Diversification

31.

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 21 (513,499)

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executive gender, insider trading, prospect theory value, biased trades’ loss, access to information

32.

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 (591,872)

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Foreign Currency Exposure, New Zealand

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 (618,492)
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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 (626,533)

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Financial contagion, extreme value, New Zealand

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
Downloads 0 (666,984)
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Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage

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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Liquidity, Commonality, Microstructure, Thailand

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

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Idiosyncratic risk, CAPM, Stock returns