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

Journal Article


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Abstract


  • 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.

UOW Authors


  •   Chancharat, Surachai (external author)
  •   Valadkhani, Abbas (external author)
  •   Harvie, Charles

Publication Date


  • 2007

Citation


  • Chancharat, S., Valadkhani, A. & Harvie, C. (2007). The influence of international stock markets and macroeconomic variables on the Thai stock market. Applied Econometrics and International Development, 7 (1), 221-238.

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=1397&context=commpapers

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/379

Number Of Pages


  • 17

Start Page


  • 221

End Page


  • 238

Volume


  • 7

Issue


  • 1

Place Of Publication


  • http://www.usc.es/~economet/aeid.htm

Abstract


  • 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.

UOW Authors


  •   Chancharat, Surachai (external author)
  •   Valadkhani, Abbas (external author)
  •   Harvie, Charles

Publication Date


  • 2007

Citation


  • Chancharat, S., Valadkhani, A. & Harvie, C. (2007). The influence of international stock markets and macroeconomic variables on the Thai stock market. Applied Econometrics and International Development, 7 (1), 221-238.

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=1397&context=commpapers

Ro Metadata Url


  • http://ro.uow.edu.au/commpapers/379

Number Of Pages


  • 17

Start Page


  • 221

End Page


  • 238

Volume


  • 7

Issue


  • 1

Place Of Publication


  • http://www.usc.es/~economet/aeid.htm