Surachai Chancharat

Thai Stock Market in the Context of Global Stock Market Integration

An Econometric Analysis

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 164
• Erscheinungstermin: 28. April 2011
• Englisch
• Abmessung: 220mm x 150mm x 10mm
• Gewicht: 263g
• ISBN-13: 9783844324495
• ISBN-10: 3844324496
• Artikelnr.: 33354577

Autorenporträt

Surachai Chancharat is a lecturer of Economics in the Faculty of Management Science at Khon Kaen University. He holds a Bachelor of Economics from Srinakharinwirot University, Master of Economics from Chulalongkorn University, Thailand and obtained PhD in Economics from the University of Wollongong, Australia.