Author : Surachai Chancharat
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783844324495
Total Pages : 164 pages
Book Rating : 4.3/5 (244 download)
Book Synopsis Thai Stock Market in the Context of Global Stock Market Integration by : Surachai Chancharat
Download or read book Thai Stock Market in the Context of Global Stock Market Integration written by Surachai Chancharat and published by LAP Lambert Academic Publishing. This book was released on 2011-04 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an econometric analysis of the Thai stock market in the context of global stock market integration. Chapter 2 presents a comprehensive review on stock market integration. Chapter 3 examines whether stock prices for 16 countries are trend stationary or follow a random walk process using. Chapter 4 investigates the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners. The Gregory and Hansen (1996) test provide no evidence of a long-run relationship between the stock prices of Thailand and these countries. Chapter 5 explores the relationships between stock market returns of 13 countries. Factor analysis provides evidence that stock returns in a number of Asian countries are highly correlated and, based on the resulting robust factor loadings; they form the first well-defined common factor. Chapter 6 analyzes how 15 international stock markets and five key Thai macroeconomic variables influenced stock returns in Thailand. The results indicate that the Singapore stock market influenced the Thai stock market significantly in both the pre- and post-1997 periods.