The influence of international stock markets and macroeconomic variables on the Thai stock market

The paper examines the impact of several stock market price indices and macroeconomic variables on the Thai stock market, using a GARCH-M model and monthly data (1988M1-2004M12). We find that (a) changes in returns in Singapore, Malaysia and Indonesia before the 1997 crisis, and changes in Singapore, the Philippines and Korea after 1997 instantaneously influenced returns in the Thai stock market; (b) changes in oil prices negatively impacted on it only prior to 1997; (c) volatility clustering and a GARCH-M model were present only before 1997; and (d) markets outside the region had no immediate impact on the Thai market.