A boundary analysis of ICT firms on Thailand Stock Market: a maximum entropy bootstrap approach and highest density regions (HDR) approach. (6th September 2013)

• Record Type: Journal Article
• Authors: Chaiboonsri, Chukiat; Chaitip, Prasert
• Is Part Of: International journal of computational economics and econometrics. Volume 3:Number 1/2(2013)
• Page Start: 14
• Page End: 26
• Publication Date: 2013-09-06
• Subjects: ICT firms -- stock markets -- maximum entropy bootstrap -- Thailand Stock Exchange -- boundary analysis -- highest density regions -- HDR -- information and communications technology -- information technology -- time series -- econometric modelling; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

Abstract

This common aim provides a general framework for specifying, estimating, and testing time series econometric models using maximum entropy bootstrap (MEB) to test with data in time series from Stock Market of Thailand. The MEB is quantitatively reviewed for the first time to investigate the relation between SET Index of Thailand and stock prices of ICT firms, True, DTAC, and AIS. An influence significant relationship covering three companies listed in the technology industry group, information and communication technology (ICT) Sector during period of 2008–2012 (daily data) was investigated. The study indicated the identified significant statistical boundaries in ICT's Stock Market of Thailand (SET). An exact boundary of an influence significant relationship showed that believed maximum entropy bootstrap with powerful tool than conventional statistics. An estimation result of the experiment can significantly improve the prediction accuracy of simple regression analysis method.