David Hojman () (University of Liverpool) Robert F. K. Wynn () (University of Liverpool)
Abstract
Using a model of co-movement between East Asian stockmarkets, we show that the determinants of the Thai share price index changed following an article in The Economist, 24 August 1996. In the absence of other 'news', it may be more realistic to interpret this as a case of self-fulfilling prophecy, rather than one of good quality forecasting. Cointegrating regressions are estimated for non-stationary, I(1) series in levels. We examine the sensitivity of the regression results to changes in the dummy variable, to switching from linear to logarithmic specifications, and to explicit consideration of possible seasonality.
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Publisher Info
Paper provided by University of Liverpool Management School in its series Research Papers with number
2002_03.
Length: Date of creation: 2002 Date of revision: Handle: RePEc:liv:livedp:2002_03
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