The Influence of International Stock Markets and Macroeconomic Variables on the Thai Stock Market

18 Pages Posted: 24 Aug 2008

See all articles by Surachai Chancharat

Surachai Chancharat

affiliation not provided to SSRN

Abbas Valadkhani

University of Wollongong - School of Economics and Information Systems

Charles Havie

affiliation not provided to SSRN

Date Written: August 23, 2008

Abstract

The paper examines the impact of several stock market price indices and macroeconomic variables on the Thai stock market, using a GARCH-M model and monthly data (1988M1-2004M12). We find that (a) changes in returns in Singapore, Malaysia and Indonesia before the 1997 crisis, and changes in Singapore, the Philippines and Korea after 1997 instantaneously influenced returns in the Thai stock market; (b) changes in oil prices negatively impacted on it only prior to 1997; (c) volatility clustering and a GARCH-M model were present only before 1997; and (d) markets outside the region had no immediate impact on the Thai market.

Keywords: Stock market, Conditional volatility, Macroeconomic variables, GARCH, Thailand

JEL Classification: E44, G14, G15

Suggested Citation

Chancharat, Surachai and Valadkhani, Abbas and Havie, Charles, The Influence of International Stock Markets and Macroeconomic Variables on the Thai Stock Market (August 23, 2008). Applied Econometrics and International Development, Vol. 7, No. 1, 2007, Available at SSRN: https://ssrn.com/abstract=1249982

Surachai Chancharat (Contact Author)

affiliation not provided to SSRN ( email )

Abbas Valadkhani

University of Wollongong - School of Economics and Information Systems ( email )

Northfields Avenue
Wollongong, New South Wales 2522
Australia

Charles Havie

affiliation not provided to SSRN

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