The Influence Of International Stock Markets And Macroeconomic Variables On The Thai Stock Market
AbstractThe paper examines the impact of several stock market price indices and macroeconomic variables on the Thai stock market, using a GARCH-M model and monthly data (1988M1-2004M12). We find that (a) changes in returns in Singapore, Malaysia and Indonesia before the 1997 crisis, and changes in Singapore, the Philippines and Korea after 1997 instantaneously influenced returns in the Thai stock market; (b) changes in oil prices negatively impacted on it only prior to 1997; (c) volatility clustering and a GARCH-M model were present only before 1997; and (d) markets outside the region had no immediate impact on the Thai market.
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Bibliographic InfoArticle provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.
Volume (Year): 7 (2007)
Issue (Month): 1 ()
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Web page: http://www.usc.es/economet/eaa.htm
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Rangan GUPTA & Roula INGLESI-LOTZ, 2012.
"Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”,"
Applied Econometrics and International Development,
Euro-American Association of Economic Development, vol. 12(2).
- Rangan Gupta & Roula Inglesi-Lotz, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers 201208, University of Pretoria, Department of Economics.
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