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This study examines the relationship between stock market index and macroeconomic variables in Thailand. The results from Johansen cointegration test shows that the variables are cointegrated. Thus there exists a long-run relationship between the stock market index and a set of fourmacroeconomic variables. Real GDP, money supply, and nominal effective exchange rate significantly impose a positive impact on the stock market index while the price level insignificantly imposes a negative impact. Thefinancial crisis in 1997 has no influence on stock prices. The causality test results from an error correction model show bidirectional causal relations between stock market return and the growth rate in the long run and the short run.

Item Type: MPRA Paper -

Original Title: Economic Forces and the Thai Stock Market, 1993-2007-

Language: English-

Keywords: Stock market returns, macro variables, unit root,cointegration, causality-

Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion ProcessesG - Financial Economics > G1 - General Financial Markets > G19 - Other-

Autor: Jiranyakul, Komain


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