A time series analysis and modelling of the Thai Stock Market

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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.


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)
URI https://vuir.vu.edu.au/id/eprint/6573
Subjects Historical > FOR Classification > 1301 Education Systems
Historical > FOR Classification > 1401 Economic Theory
Historical > FOR Classification > 1503 Business and Management
Current > Division/Research > Graduate School of Business
Keywords ResPubID12352, etock exchange of Thailand, Thai economy, foreign exchange rate, bond rate, market capitalization, macroeconomic factors
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