Artikel
Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are included in our analysis: money supply (MS), the consumer price index (CPI), interest rate (IR) and the industrial production index (IP) (as a proxy for GDP). Our findings prove that the SET Index and the selected macroeconomic variables are cointegrated at I (1) and have a significant equilibrium relationship over the long run. Money supply demonstrates a strong positive relationship with the SET Index over the long run, whereas the industrial production index and consumer price index show negative long-run relationships with the SET Index. Furthermore, in non-equilibrium situations, the error correction mechanism suggests that the consumer price index, industrial production index and money supply each contribute in some way to restore equilibrium. In addition, using Toda and Yamamoto's augmented Granger causality test, we identify a bi-causal relationship between industrial production and money supply and unilateral causal relationships between CPI and IR, IP and CPI, MS and CPI, and IP and SETI, indicating that all of these variables are sensitive to Thai stock market movements. The policy implications of these findings are also discussed.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Contemporary Economics ; ISSN: 2084-0845 ; Volume: 8 ; Year: 2014 ; Issue: 2 ; Pages: 157-174 ; Warsaw: Vizja Press & IT
- Klassifikation
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
- Thema
-
CO1
macroeconomic variables
cointegration
Thai Stock Exchange index (SETI)
T-Y augmented Granger-causality
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Forson, Joseph Ato
Janrattanagul, Jakkaphong
- Ereignis
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Veröffentlichung
- (wer)
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Vizja Press & IT
- (wo)
-
Warsaw
- (wann)
-
2014
- DOI
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doi:10.5709/ce.1897-9254.138
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Forson, Joseph Ato
- Janrattanagul, Jakkaphong
- Vizja Press & IT
Entstanden
- 2014
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