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2014 | 8 | nr 2 | 154--174
Tytuł artykułu

Selected Macroeconomic Variables and Stock Market Movements: Empirical Evidence From Thailand

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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 bicausal 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.(original abstract)
Rocznik
Tom
8
Numer
Strony
154--174
Opis fizyczny
Twórcy
  • Graduate School of Public Administration, Thailand
  • Xiamen University, China
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171288055

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