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Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis

Author

Listed:
  • 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.

Suggested Citation

  • David Hojman & Robert F. K. Wynn, 2002. "Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis," Working Papers 2002_03, University of Liverpool, Department of Economics.
    • Handle: RePEc:liv:livedp:2002_03
    as

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    More about this item

    Keywords

    Stockmarket; Co-movement; Self-fulfilling prophecy; Asian crisis; Thailand; The Economist;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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