Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis

David Hojman () and Robert F. K. Wynn ()
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David Hojman: University of Liverpool, Postal: Department of Economics and Accounting, The School of Management,University of Liverpool, Chatham Street, Liverpool, L69 7ZH, Great Britain
Robert F. K. Wynn: University of Liverpool

No 2002_03, Working Papers from University of Liverpool, Department of Economics

Abstract: Using a model of co-movement between East Asian stockmarkets, we show that the determinants of the Thai share price index changed following an article in The Economist, 24 August 1996. In the absence of other 'news', it may be more realistic to interpret this as a case of self-fulfilling prophecy, rather than one of good quality forecasting. Cointegrating regressions are estimated for non-stationary, I(1) series in levels. We examine the sensitivity of the regression results to changes in the dummy variable, to switching from linear to logarithmic specifications, and to explicit consideration of possible seasonality.

Keywords: Stockmarket; Co-movement; Self-fulfilling prophecy; Asian crisis; Thailand; The Economist (search for similar items in EconPapers)
JEL-codes: C22 C53 D84 F32 G11 G14 G15 (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:liv:livedp:2002_03

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