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Souvenir production in community-based tourism and poverty reduction in Thailand

  • Yuthana Sethapramote

    ()

    (National Institute of Development Administration)

  • Suthawan Prukumpai

    (National Institute of Development Administration)

Registered author(s):

    This paper examines the time variation in return volatility in the Stock Exchange of Thailand during 1975-2010. Using GARCH-type methodology, together with Bai and Perron’s structural break test, we find that there are two structural breaks in the mean of the conditional volatility of both daily and monthly returns. The empirical analysis in this paper reveals that the structural changes in returns volatility are more likely to be a consequence of policy and regulatory change rather than economic crisis.

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    File URL: http://www.jyoungeconomist.com/images/stories/EEQEL_V1_N3_September_2012_pp_113_130_Sethapramote_Prukumpai.pdf
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    Article provided by Faculty of Economics, Chiang Mai University in its journal The Empirical Econometrics and Quantitative Economics Letters.

    Volume (Year): 1 (2012)
    Issue (Month): 3 (September)
    Pages: 113-130

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    Handle: RePEc:chi:journl:v:1:y:2012:i:3:p:113-130
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    Web page: http://www.econ.cmu.ac.th/

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    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    4. Allen, Franklin & Gale, Douglas, 1994. "Limited Market Participation and Volatility of Asset Prices," American Economic Review, American Economic Association, vol. 84(4), pages 933-55, September.
    5. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
    6. Wang, Jianxin, 2007. "Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand," Journal of Development Economics, Elsevier, vol. 84(2), pages 798-811, November.
    7. Reinhart, Carmen & Kaminsky, Graciela, 2002. "Financial markets in time of stress," MPRA Paper 13869, University Library of Munich, Germany.
    8. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
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