Publication Date
July 2006
Recommended Citation
Valadkhani, Abbas; Chancharat, S.; and Harvie, Charles, The Interplay Between the Thai And Several Other International Stock Markets, Department of Economics, University of Wollongong, 2006.
https://ro.uow.edu.au/commwkpapers/154
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.
Publication Details
Valadkhani, A, Chancharat, S and Harvie, C, The Interplay Between the Thai And Several Other International Stock Markets, Working Paper 06-18, Department of Economics, University of Wollongong, 2006.