Economic Forces and the Thai Stock Market, 1993-2007

Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the relationship between stock market index and macroeconomic variables in Thailand. The results from Johansen cointegration test shows that the variables are cointegrated. Thus there exists a long-run relationship between the stock market index and a set of four macroeconomic variables. Real GDP, money supply, and nominal effective exchange rate significantly impose a positive impact on the stock market index while the price level insignificantly imposes a negative impact. The financial crisis in 1997 has no influence on stock prices. The causality test results from an error correction model show bidirectional causal relations between stock market return and the growth rate in the long run and the short run.

Keywords: Stock market returns; macro variables; unit root; cointegration; causality (search for similar items in EconPapers)
JEL-codes: C22 G19 (search for similar items in EconPapers)
Date: 2009-12
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Citations: View citations in EconPapers (1)

Published in NIDA Economic Review 2.4(2009): pp. 1-12

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Related works:
Working Paper: Economic Forces and the Thai Stock Market, 1993-2007 (2009)
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