Logo
Munich Personal RePEc Archive

Economic Forces and the Thai Stock Market, 1993-2007

Jiranyakul, Komain (2009): Economic Forces and the Thai Stock Market, 1993-2007. Published in: NIDA Economic Review , Vol. 4, No. 2 (December 2009): pp. 1-12.

[thumbnail of MPRA_paper_45582.pdf]
Preview
PDF
MPRA_paper_45582.pdf

Download (178kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.