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

48

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26,196

SSRN CITATIONS
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SSRN RANKINGS

Top 13,698

in Total Papers Citations

40

CROSSREF CITATIONS

47

Scholarly Papers (48)

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, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 4,676 (2,325)
Citation 11

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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 3,213 (4,450)
Citation 5

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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 H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 2,597 (6,342)
Citation 6

Abstract:

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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 2,281 (7,845)
Citation 1

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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 2,013 (9,586)
Citation 18

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

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 1,311 (18,494)

Abstract:

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limit order book, order flow, Thailand

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 591 (56,614)

Abstract:

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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 1,038 (26,592)
Citation 10

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Treasury inflation protected securities (TIPS), portfolio diversification

8.

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 904 (32,477)
Citation 6

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

9.

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 875 (33,860)

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Value at risk, portfolio performance, asset allocation

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 701 (45,839)
Citation 2

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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 562 (60,991)

Abstract:

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currency, momentum, reversal

12.

Bitcoin Liquidity

Number of pages: 45 Posted: 27 Jun 2018 Last Revised: 05 Jun 2019
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 493 (71,812)
Citation 1

Abstract:

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Bitcoin, Liquidity, Cryptocurrency

13.

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 398 (92,495)
Citation 1

Abstract:

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

14.

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, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 397 (92,772)
Citation 7

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Commodity, Liquidity, Commonality

15.

Risk Reduction Using Trailing Stop-Loss Rules

Number of pages: 31 Posted: 01 Apr 2019
Bochuan Dai, Ben R. Marshall, Nhut H. 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 339 (111,014)

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Stop-Loss Rule, Risk Reduction

16.

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, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 308 (123,118)
Citation 5

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Frontier market, liquidity, transaction cost, diversification

17.

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 284 (134,192)
Citation 1

Abstract:

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Credit Rating, Irish

18.

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, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 279 (136,637)
Citation 1

Abstract:

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frontier market, liquidity proxy, transaction cost

19.

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 H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 271 (140,799)
Citation 3

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

20.

A Note on Intraday Event Studies

Number of pages: 24 Posted: 09 Aug 2017 Last Revised: 17 Aug 2017
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 239 (159,507)
Citation 1

Abstract:

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Intraday, Event Study

21.

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 222 (171,231)

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intraday patterns, spreads, depths, order flows, Thailand

22.

Predicting ETF Liquidity

Number of pages: 43 Posted: 04 Aug 2020 Last Revised: 16 Sep 2021
Son Duy Pham, Ben R. Marshall, Nhut H. 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 202 (186,992)

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ETFs, Liquidity, Bid-Ask Spread, Forecasting

23.

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
Independent and Massey University - Department of Economics and Finance
Downloads 194 (194,037)

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Corporate Governance, Legal Reforms, Malaysia

24.

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

International Review of Financial Analysis, Forthcoming
Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 04 Feb 2021
Ben R. Marshall, Justin Hung Nguyen, Nhut H. 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 189 (198,646)
Citation 1

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Information Environment, Information Asymmetry, Labor Adjustment Costs

25.

Lottery Stocks and Stop-loss Rules

Number of pages: 35 Posted: 04 May 2021
Bochuan Dai, Ben R. Marshall, Nhut H. 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 186 (202,416)

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Lottery Stocks, Stop-loss Rules, Trading Strategies, Individual Investors

26.

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 H. 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 186 (201,426)
Citation 1

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

27.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 37 Posted: 13 Mar 2019 Last Revised: 19 Jan 2021
Hui Zeng, Ben R. Marshall, Nhut H. 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 163 (225,620)

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

28.

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 H. 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 133 (266,131)

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Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty

29.

Active ETF Liquidity

Number of pages: 60 Posted: 08 May 2019 Last Revised: 27 Mar 2020
Son Duy Pham, Ben R. Marshall, Nhut H. 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 127 (277,132)

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ETFs; Portfolio Liquidity; Diversification

30.

Liquidity Spillover between ETFs and Their Constituents

Number of pages: 58 Posted: 18 Mar 2021
Son Duy Pham, Ben R. Marshall, Nhut H. 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 123 (282,160)

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ETFs; Portfolio Liquidity; Spillover; Arbitrage; Short Sale Constraints

31.

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 - Massey Business School and Massey University - Department of Economics and Finance
Downloads 109 (307,359)

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

32.

Climate Events and Return Comovement

Number of pages: 37 Posted: 09 Aug 2021
Rui Ma, Ben R. Marshall, Harvey Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti
La Trobe University - Department of Economics and Finance, 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 96 (343,487)

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Comovement, climate event, disaster

33.

Financial Markets and Carbon Dioxide Emissions

Number of pages: 55 Posted: 13 Jul 2021
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 89 (350,716)

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Financial Markets, Carbon Dioxide Emissions

34.

Asset Class Jumps

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 19 Apr 2018
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 84 (363,376)

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Asset Classes, Jump Risk

35.

A Note on Green Investment: Do Climate Disasters Matter?

Number of pages: 24 Posted: 23 Feb 2021 Last Revised: 12 Aug 2021
Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology, Massey University - Department of Economics and Finance and Massey University - School of Economics and Finance
Downloads 72 (396,968)
Citation 1

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Salience, Climate Disasters, Socially Responsible Investing, Mutual Funds

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, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 72 (401,572)

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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 H. 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

37.

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 64 (422,590)
Citation 1

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

38.

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

Number of pages: 31 Posted: 29 Sep 2020 Last Revised: 17 Dec 2020
Bochuan Dai, Ben R. Marshall, Nhut H. 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 53 (462,183)

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Asset Allocation, Stop-Loss Rule

39.

Do Accounting Information and Market Environment Matter for Cross-Asset Predictability?

Accounting and Finance, Forthcoming
Number of pages: 50 Posted: 25 Feb 2021
Narongdech Thakerngkiat, Harvey Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University, Massey University, Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 39 (522,983)

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Limits to Arbitrage, Information Diffusion, Cross-Asset Predictability

40.

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 9 (718,355)

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Foreign Currency Exposure, New Zealand

41.

Beta Estimation in New Zealand

Number of pages: 31 Posted: 15 Sep 2021 Last Revised: 16 Sep 2021
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 6 (742,056)

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Beta, Cost of Capital

42.

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 (757,630)

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Financial contagion, extreme value, New Zealand

43.

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 (757,630)
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44.

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 (803,671)
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Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage

45.

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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46.

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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47.

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

48.

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