The Interplay Between the Thai and Several Other International Stock Markets

Abbas Valadkhani (), Surachai Chancharat and Charles Harvie ()
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Abbas Valadkhani: University of Wollongong, http://www.uow.edu.au/commerce/econ/who/index.html
Surachai Chancharat: University of Wollongong, http://www.uow.edu.au/commerce/econ/who/index.html
Charles Harvie: University of Wollongong, http://www.uow.edu.au/commerce/econ/who/index.html

Economics Working Papers from School of Economics, University of Wollongong, NSW, Australia

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.

Keywords: Stock market; conditional volatility; macroeconomic variables; GARCH; Thailand (search for similar items in EconPapers)
JEL-codes: E44 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk, nep-mac and nep-sea
Date: Written
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