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A time series analysis and modelling of the Thai Stock Market

Islam, Sardar M. N, Watanapalachaikul, Sethapong and Billington, Nick (2004) A time series analysis and modelling of the Thai Stock Market. In: International Business Management Conference, December 2004, Pahang, Malaysia.

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Abstract

Undoubtedly, the stock market plays a major role in the Thai financial system. The performance of the stock market determines the wealth and performance of the Thai economy. This paper provides a financial econometric analysis of the valuation of Thai stocks. Many contemporary techniques, approaches and models such as the unit root test, augmented Dickey Fuller, augmented Engle-Granger, co integration, and multi-factor model are developed in order to identify the long-run relationship between macroeconomic factors and the stock price. The result shows the empirical characteristics of the Stock Exchange of Thailand (SET) that market index prices are determined by the interest rate, foreign exchange rate, bond rate, market capitalization, P/E ratios and consumer price index in both short and long run.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: ResPubID12352, etock exchange of Thailand, Thai economy, foreign exchange rate, bond rate, market capitalization, macroeconomic factors
Subjects: FOR Classification > 1301 Education Systems
FOR Classification > 1401 Economic Theory
FOR Classification > 1503 Business and Management
Faculty/School/Research Centre/Department > Graduate School of Business
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Depositing User: VUIR
Date Deposited: 18 Jul 2017 06:33
Last Modified: 04 Mar 2019 00:46
URI: http://vuir.vu.edu.au/id/eprint/6573
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