Level and Volatility of Stock Prices and Aggregate Investment: The Case of Thailand
The present paper analyzes the aggregate investment behaviour for Thailand and its relations to real stock prices and stock market volatility. In the analysis, we focus on their long run relations as well as their dynamic causal interactions by means of time series techniques of cointegration and vector autoregression (VAR). Our basic framework consists of real aggregate investment, real output, lending rate, real stock prices and stock market volatility. We obtain evidence for their long run relation and that, in the long run, real aggregate investment is positively related to real stock prices and negatively related to the stock market volatility.The generalized impulse-response functions (IRF) generated from the VAR also paint similar picture in that the real aggregate investment reacts positively to shocks in real stock prices and negatively to innovations in stock market volatility. These results tend to be robust when we extend the framework to include alternatively real credits, real effective exchange rate and real government spending.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 40 (2011)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RGER20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RGER20|
When requesting a correction, please mention this item's handle: RePEc:taf:glecrv:v:40:y:2011:i:4:p:445-461. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.