The Interplay Between the Thai and Several Other International Stock Markets

Preprint OPEN
Valadkhani, Abbas; Chancharat, Surachai; Harvie, Charles;
  • Subject: Stock market; conditional volatility; macroeconomic variables; GARCH; Thailand
    • jel: jel:E44 | jel:G15 | jel:G14

The paper analyses the effect of various international stock market price indices and some relevant macroeconomic variables on the Thai stock market price index, using a GARCH-M model and monthly data from January 1988 to December 2004. It is found, inter alia, that (a)... View more
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