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A time series analysis and modelling of the Thai stock market

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dc.contributor.author Islam, M.N. Sardar
dc.contributor.author Watanapalachaikul, Sethapong
dc.contributor.author Billington, Nick
dc.date.accessioned 2009-06-16T01:41:17Z
dc.date.available 2009-06-16T01:41:17Z
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/123456789/624
dc.description.abstract Undoubtedly, the stock market plays a major role in the Thai financial system. The performance of the stock market determines the wealth and performance of the Thai economy. This paper provides a financial econometric analysis of the valuation of Thai stocks. Many contemporary techniques, approaches and models such as the unit root test, augmented Dickey Fuller, augmented Engle-Granger, co integration, and multi-factor model are developed in order to identify the long-run relationship between macroeconomic factors and the stock price. The result shows the empirical characteristics of the Stock Exchange of Thailand (SET) that market index prices are determined by the interest rate, foreign exchange rate, bond rate, market capitalization, P/E ratios and consumer price index in both short and long run. en
dc.language.iso en en
dc.publisher Universiti Tenaga Nasional en
dc.subject Thai Stock Market Multi-Factor en
dc.subject stock prices en
dc.subject stock returns en
dc.subject Macroeconomic factors en
dc.subject Stock market en
dc.title A time series analysis and modelling of the Thai stock market en
dc.type Working Paper en

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