BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Forson Joseph Ato (Graduate School of Public Administration, Thailand), Janrattanagul Jakkaphong (Xiamen University, China)
Tytuł
Selected Macroeconomic Variables and Stock Market Movements: Empirical Evidence From Thailand
Źródło
Contemporary Economics, 2014, vol. 8, nr 2, s. 154-174, tab., wykr., bibliogr. 28 poz.
Słowa kluczowe
Wskaźniki makroekonomiczne, Makroekonomia, Indeks giełdowy, Analiza empiryczna, Studium przypadku
Macroeconomic indicators, Macroeconomics, Stock market indexes, Empirical analysis, Case study
Uwagi
summ.
Kraj/Region
Tajlandia
Thai
Abstrakt
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)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Al-Sharkas, A. A. (2004). Dynamic Relations Between Macroeconomic Factors and Jordanian Stock Market. International Journal of Applied Econometrics and Quantitative Studies, 1 (1), 97-114.
  2. Al-Tamimi, H. H., Alwan, A. A., & Abdel Rahman, A. A. (2011). Factors Affecting Stock Prices in the UAE Financial Markets. Journal of Transnational Management, 16 (1), 3-19.
  3. Çagli, E. C., Halac, U., & Taskin, D. (2010). Testing Long-run Relationships between Stock Market and Macroeconomics Variables in the Presence of Structural Breaks: The Turkish Case. International Research Journal of Finance and Economics, 48, 49-60.
  4. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59 (3), 383-403.
  5. Dickey, D.A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74 (366), 427-431.
  6. Eraslan, V. (2013). Fama and French Three-Factor Model : Evidence from Istanbul Stock Exchange. Business and Economics Research Journal, 4 (2), 11-22.
  7. Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71 (4), 545-565.
  8. Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic Factors Do Influence Aggregate Stock.
  9. Returns. The Review of Financial Studies, 15 (3), 751-782.
  10. Granger, C. W. J. (1986). Developments in the Study of Co-integrated Economic Variables. Oxford Bulletin of Economics and Statistics, 48 (3), 213-228.
  11. Gujarati, N. D. (2003). Basic econometrics (4th ed.). Boston, MA: McGraw-Hill/Irwin.
  12. Humpe, A., & Macmillan, P. (2009). Can Macroeconomic Variables explain long term stock market movements? A Comparison of the US and Japan. Applied Financial Economics, 19 (2), 111-119.
  13. Johansen, S. (1991). Estimation and Hypothesis Testing of Co-integration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59 (6), 1551-1580.
  14. Kwanchanok, T. (2000). The relationship between SET Indices and the Macroeconomic Indicators (Unpublished master's thesis). Chiang Mai University, Chiang Mai, Thailand.
  15. Liangnakthongdee, V. (1991). The relationship between SET Indices and the Macroeconomic Indicators (Unpublished master's thesis). National Institute of Development Administration (NIDA), Bangkok, Thailand.
  16. Maysami, R.C., & Koh, T. S. (2000). A vector error correction model for the Singapore stock market. International Review of Economics and Finance, 9 (1), 79-96.
  17. Maysami, R. C., Howe, L. C., & Hamzah, M. A. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices. Journal Pengurusan, 24, 47-77.
  18. Mukherjee, T. K., & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: An application of a vector error correction model. Journal of Financial Research, 18 (2), 223-237.
  19. Narayan, S., & Narayan, P. K. (2012). Do US macroeconomic conditions affect Asian stock markets? Journal of Asian Economics, (23), 669-679.
  20. Nishat, M., & Shaheen, R. (2004). Macroeconomic Factors and Pakistani Equity Market. The Pakistan Development Review, 43 (4), 619-637.
  21. Okon, S. (2012). Investor Reaction to Mandatory Offers on the Warsaw Stock Exchange. Contemporary Economics, 6 (2), 74-83.
  22. Phillips, P. C. B., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335-346.
  23. Rahman, A. A., Mohd Sidek, N. Z., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3 (3), 95-106.
  24. Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13 (3), 341-360.
  25. Sardar, M.N. I., Watanapalachaikul, S., & Billington, N. (2004). A Time Series Analysis and Modelling of Thai Stock Market. Paper presented at UNITEN International Business Management Conference. Selangor: Universiti Tenaga Nasional. Retrieved from http://dspace.uniten.edu.my/jspui/bitstream/123456789/624/1/A.
  26. Seehalak, T. (2004). SET Index Co-movement with Nikkei and Dow Jones (Unpublished master's thesis). Asian University of Science and Technology, Chonburi, Thailand.
  27. Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in Vector Autoregressions with Possible Integrated Processes. Journal of Econometrics, 66 (1-2), 225-250.
  28. Tri, E. (2005). Causality Testing on SET Index and Gross Domestic Product (GDP) (Unpublished master's thesis). Chiang Mai University, Chiang Mai, Thailand.
  29. Zhao, X. Q. (1999). Stock prices, Inflation and Output: Evidence From China. Applied Economic Letters, 6 (8), 509-511.
Cytowane przez
Pokaż
ISSN
2084-0845
Język
eng
URI / DOI
http://dx.doi.org/10.5709/ce.1897-9254.138
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu