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 4,464 (2,085)

Citation 9

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 3,102 (3,896)

Citation 5

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 2,426 (5,889)

Citation 3

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 2,258 (6,642)

Citation 1

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 1,928 (8,692)

Citation 17

Abstract:

6.

Analysis of Limit Order Book and Order Flow

Downloads 1,742 ( 10,260)

2

Analysis of Limit Order Book and Order Flow

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 1,172 (18,668)

Abstract:

Analysis of Limit Order Book and Order Flow

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 570 (51,205)

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 1,008 (23,745)

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 SUNY at Geneseo - John Wiley Jones School of Business

Downloads 868 (29,409)

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 823 (31,724)

Citation 5

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 661 (42,700)

Citation 1

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 529 (56,991)

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 391 (82,186)

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 389 (82,682)

Citation 7

Abstract:

14.

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 351 (93,139)

Citation 2

Abstract:

15.

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 292 (114,002)

Citation 5

Abstract:

16.

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 280 (119,204)

Citation 1

Abstract:

17.

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 262 (127,845)

Citation 1

Abstract:

18.

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 248 (135,215)

Citation 3

Abstract:

19.

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 - 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 244 (137,397)

Abstract:

20.

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

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 217 (153,907)

Abstract:

21.

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 194 (170,813)

Citation 1

Abstract:

22.

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 190 (174,024)

Abstract:

23.

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 166 (195,982)

Citation 1

Abstract:

24.

Does a Change in the Information Environment Affect Labor Adjustment Costs?

Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 30 Jun 2020

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

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

Downloads 155 (207,725)

Abstract:

25.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 37 Posted: 13 Mar 2019 Last Revised: 25 Mar 2020

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 136 (230,924)

Abstract:

26.

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 124 (247,914)

Abstract:

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 95 (298,559)

Abstract:

28.

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 76 (342,097)

Abstract:

29.

Transaction Costs in an Illiquid Order-Driven Market

Downloads 68 (363,833)

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 68 (368,213)

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:

30.

Active ETF Liquidity

Number of pages: 60 Posted: 08 May 2019 Last Revised: 27 Mar 2020

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 62 (381,661)

Abstract:

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 48 (429,314)

Citation 1

Abstract:

32.

Predicting ETF Liquidity

Number of pages: 45 Posted: 04 Aug 2020

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 9 (641,020)

Abstract:

33.

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 (648,244)

Abstract:

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 4 (677,452)

Abstract:

35.

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 (677,452)

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Abstract:

36.

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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Abstract:

37.

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

Abstract:

38.

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

Abstract:

39.

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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40.

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:

41.

Do Stop-loss Rules Add Value in International Equity Market Allocation?

Number of pages: 31

Bochuan Dai, 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 0

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Professor in Finance

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Scholarly Papers (41)

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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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