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Behavior of Stock Market Index in the Stock Exchange of Thailand

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  • Jiranyakul, Komain

Abstract

In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and this is confirmed by unit root tests. The GARCH process shows that the volatility of stock market return generated by the GARCH variance series exhibits an uneven pattern. The unpredictable stock index and uneven volatility of stock return imply that the Thai stock market is efficient according to weak-form efficient market hypothesis.

Suggested Citation

  • Jiranyakul, Komain, 2007. "Behavior of Stock Market Index in the Stock Exchange of Thailand," MPRA Paper 45961, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:45961
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    References listed on IDEAS

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    Cited by:

    1. N’dri Konan Léon, 2015. "Forecasting Stock Return Volatility: Evidence from the West African Regional Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(6), pages 1-2.

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    More about this item

    Keywords

    Stock market index; Variance-ratio test; GARCH; Market efficiency;
    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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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