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Temporal causal relationship between stock market capitalization, trade openness and real GDP: evidence from Thailand

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  • Jiranyakul, Komain

Abstract

This study examines both short-run and long-run causal relationship between stock market capitalization, trade openness and economic growth in Thailand. Quarterly data over the period from the first quarter of 1993 to the fourth quarter of 2013 are used in the analysis. The results from this study show that there exists a unidirectional long-run causality running from stock market capitalization and trade openness to real GDP. In the short run, stock market capitalization does not causes economic growth while trade openness negatively cause it. Furthermore, there exist short-run bidirectional negative causations between economic growth and trade openness. However, the short-run phenomena are temporary. The long-run relationship shows that both market capitalization and trade openness are important determinants of real GDP. Based upon the results from this study, policymakers should pay attention to measures that are able to enhance stock market capitalization and trade openness if the long-run target is to achieve high economic growth rate.

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  • Jiranyakul, Komain, 2014. "Temporal causal relationship between stock market capitalization, trade openness and real GDP: evidence from Thailand," MPRA Paper 60623, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:60623
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    More about this item

    Keywords

    Economic growth; market capitalization; trade openness; cointegration; causality;
    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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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