Dr Natthinee Thampanya

Financial development has been found to have mixed effects on CO2 emissions. One reason appears to be the relationship is not linear, as is assumed in most earlier studies. This paper re-examines the relationship between financial development and CO2 emissions based on a panel data of 61 countries categorised as high- and middleincome economies, from 1990 to 2018. This study uses the linear ARDL and nonlinear ARDL (NARDL) methods to analyse the impact of positive and negative shocks in financial development on CO2 emissions. Additionally, the panel causality between the variables is also investigated. The analyses from ARDL and NARDL reveal that in the long run, financial development helps to minimise CO2 emissions for high income economies, but it raises CO2 emissions and thereby decreases environmental quality for middle-income economies. Supporting our nonlinear hypothesis, we find that both negative and positive shocks of financial development have significant impacts on CO2 emissions, while the latter have a more profound effect. In particular, the findings suggest that the impacts of financial development on CO2 emissions are distinctive in high- and middle-income economies, leading to useful policy implications, including the suggestion that international development bodies help middle-income countries to incorporate consideration of environmental effects into the operation of their financial institutions and systems at an earlier stage of development than would generally be the case.

This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency returns on the Thai stock market. Employing daily data on gold prices from 2000 to 2019 and on cryptocurrency (Bitcoin) from 2013 to 2019 in a linear and non-linear Autoregressive Distributed Lag (ARDL) framework, we investigate and contrast the hedging effectiveness of gold and bitcoins for equities. This study also evaluates whether hedging potential of gold or cryptocurrency remains equally strong in bearish and bullish conditions of the stock market. Our key findings on stock and gold returns reveal that the effects of gold on the stock market are asymmetric in most of the cases. Negative asymmetry is more likely to occur regardless of stock market conditions. On the other hand, there is very limited evidence showing the meaningful effect of cryptocurrency. The robustness of the ARDL bounds test of co-integration provides evidence for a strong long-run relationship in all cases. Contrary to the existing literature, our results suggest that neither gold nor cryptocurrency acts as a good instrument for hedging in the stock market. Correlations between stock/gold and stock/cryptocurrency pairs are found to be positive in most cases. Our findings imply that adding gold or cryptocurrency to a stock portfolio does not enhance its risk-adjusted return.

Fundamental and behavioural factors are the two determinants of stock prices but are rarely investigated simultaneously. This paper examines the role of fundamental and behavioural factors in stock return volatility in the Association of Southeast Asian Nations-5 countries (ASEAN-5) for the period of January 1995 to December 2018 comprising three regimes (before Asian, between Asian and Global, and after Global financial crises). We find that fundamental factors play crucial roles in influencing stock market volatility in Malaysia, Thailand, and Singapore; whereas, behavioural factors affect stock market volatility more significantly than fundamental factors in Indonesia and the Philippines. We find distinctive differences across the three regimes supporting the above findings. Further our results suggest that ASEAN-5 has made encouraging progress of integration with Malaysia and Thailand being closer to Singapore in terms of economic development, corporate values, and political stability; however, Indonesia and the Philippines are much behind showing economic instability and their vulnerabilities are especially associated with the timing of the Asian and global financial crises. Our findings also suggest that monetary policies play a more important role than fiscal policies in the region and highlight a number of policy implications.

This study explores how temperature anomalies, a novel form of systematic risk, affect financial markets, expanding the traditional understanding of market-wide risks. While climate change is becoming an important consideration, the extent to which temperature anomalies disrupt economic activities and influence stock returns is urgently needed to assess. Using data from 479 Thai companies (2010-2023), we apply linear and nonlinear autoregressive distributed lag (ARDL) models to examine the impact of temperature anomalies and investor sentiment on stock returns.

Our findings reveal that (1) temperature anomalies significantly affect short-term stock returns, especially when prioritising sustainability and environmental, social, and governance (ESG) factors; (2) public awareness, measured by Google Search Volume Index (GSVI), has a complex, nonlinear impact on the stock market; (3) temperature anomalies act like traditional risk measures, influencing stock returns similarly to market volatility. The study highlights the growing importance of climate change in financial decision-making and offers insights into investor reactions to climate risks and economic sentiment. It emphasises the need to consider short-term market reactions to climate-related news and suggests that temperature anomalies could be viewed as a systematic risk in financial markets.