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The Interplay Between The Thai And Several Other International Stock Markets, Abbas Valadkhani, S. Chancharat, Charles Harvie
The Interplay Between The Thai And Several Other International Stock Markets, Abbas Valadkhani, S. Chancharat, Charles Harvie
Faculty of Business - Economics Working Papers
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; …