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The Interplay Between the Thai and Several Other International Stock Markets

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Author Info
Valadkhani, Abbas () (University of Wollongong)
Chancharat, Surachai (University of Wollongong)
Harvie, Charles () (University of Wollongong)
Abstract

The paper analyses the effect of various international stock market price indices and some relevant macroeconomic variables on the Thai stock market price index, using a GARCH-M model and monthly data from January 1988 to December 2004. It is found, inter alia, that (a) changes in stock market returns in Singapore, Malaysia and Indonesia in the pre-1997 Asian crisis, and changes in Singapore, the Philippines and Korea in the post-1997 era instantaneously influenced returns in the Thai stock market; (b) changes in the price of crude oil negatively impacted on the Thai stock market only in the pre-Asian crisis period; (c) volatility clustering (i.e. ARCH and GARCH effects) as well as a GARCH-M model were statistically significant only in the pre-1997 era; and (d) stock markets outside the region had no significant immediate impact on monthly aggregate returns in the Thai stock market.

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Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp06-18.

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Length: 18 pages
Date of creation: 2006
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Handle: RePEc:uow:depec1:wp06-18

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Keywords: Stock market; conditional volatility; macroeconomic variables; GARCH; Thailand;

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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
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  17. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 281-307. [Downloadable!] (restricted)
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  1. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer, vol. 54(3), pages 371-382, September. [Downloadable!] (restricted)
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