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Evolving Market Efficiency of Thailand’s Stock Market (in Thai)

Author

Listed:
  • Anya Khanthavit

    (Faculty of Commerce and Accountancy, Thammasat University, Bangkok, Thailand)

  • Natachai Boonyaprapatsara

    (Kasikorn Securities Plc., Bangkok, Thailand)

  • Arunsri Saechung

    (Kiatnakin Bank Plc., Bangkok)

Abstract

The study tests the evolving market efficiency of Thailand’s stock market using the time-varying STAR model with a p > 1 lag. The model is flexible in that it can describe gradual or rapid changes in the efficiency level. The p lags are general enough to incorporate information of up to p days old into stock prices, as opposed to the 1 lag imposed by previous studies. Analysis of the daily SET index sample data from April 30, 1975 to May 11, 2011 shows that the market efficiency rose gradually rather than suddenly at certain periods. The degree of efficiency is significantly higher today than it has been in the past.

Suggested Citation

  • Anya Khanthavit & Natachai Boonyaprapatsara & Arunsri Saechung, 2012. "Evolving Market Efficiency of Thailand’s Stock Market (in Thai)," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 19(1), pages 46-67, June.
    • Handle: RePEc:aej:apecjn:v:19:y:2012:i:1:p:46-67
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    Cited by:

    1. Nattapong Laksomya & John G. Powell & Suparatana Tanthanongsakkun & Sirimon Treepongkaruna, 2018. "Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 275-309, November.
    2. Pornanong Budsaratragoon & David Hillier & Suntharee Lhaopadchan, 2014. "Does Corporate Governance Improve Transparency in Emerging Markets?," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 87-104, July.

    More about this item

    Keywords

    market efficiency; information dissemination; time-varying STAR model;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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