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The Interplay Between the Thai and Several Other International Stock Markets




Type Of Work


  • Scholarly edition

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 Date


  • 2006

Citation


  • Valadkhani, A., Chancharat, S., & Harvie, C. (2006). The Interplay Between the Thai and Several Other International Stock Markets. Retrieved from http://business.uow.edu.au/econ/who/index.html

Web Of Science Accession Number


Type Of Work


  • Scholarly edition

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 Date


  • 2006

Citation


  • Valadkhani, A., Chancharat, S., & Harvie, C. (2006). The Interplay Between the Thai and Several Other International Stock Markets. Retrieved from http://business.uow.edu.au/econ/who/index.html

Web Of Science Accession Number