Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/13537
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dc.contributor.authorValadkhani, Abbasen
dc.contributor.authorChancharat, Surachaien
dc.date.accessioned2013-10-16T13:17:00Z
dc.date.issued2008en
dc.identifier.citationJournal of Economic Studies, 35(5), p. 425-441en
dc.identifier.issn0144-3585en
dc.identifier.issn1758-7387en
dc.identifier.urihttps://hdl.handle.net/1959.11/13537en
dc.description.abstractPurpose - This purpose of this paper is to investigate the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the USA), using monthly data spanning December 1987 to December 2005. Design/methodology/approach - This paper used both the Engle-Granger two-step procedure (assuming no structural breaks) and the Gregory and Hansen test (allowing for one structural break) provide no evidence of a long-run relationship between the stock prices of Thailand and these countries. Findings - Based on the empirical results obtained from these two residual-based cointegration tests, potential long-run benefits exist from diversifying the investment portfolios internationally to reduce the associated systematic risks across countries. However, in the short-run, three unidirectional Granger causalities run from the stock returns of Hong Kong, the Philippines and the UK to those of Thailand, pairwise. Furthermore, there are two unidirectional causalities running from the stock returns of Thailand to those of Indonesia and the USA. Empirical evidence was also found of bidirectional Granger causality, suggesting that the stock returns of Thailand and three of its neighbouring countries (Malaysia, Singapore and Taiwan) are interrelated. Originality/value - No previous study examines the possibility that the pair-wise long-run relationship between the stock prices of Thailand and those of both emerging and developed markets may have been subject to a structural break.en
dc.languageenen
dc.publisherEmerald Group Publishing Ltden
dc.relation.ispartofJournal of Economic Studiesen
dc.titleDynamic linkages between Thai and international stock marketsen
dc.typeJournal Articleen
dc.identifier.doi10.1108/01443580810903572en
dc.subject.keywordsInvestment and Risk Managementen
local.contributor.firstnameAbbasen
local.contributor.firstnameSurachaien
local.subject.for2008150205 Investment and Risk Managementen
local.subject.seo2008900102 Investment Services (excl. Superannuation)en
local.profile.schoolUNE Business Schoolen
local.profile.schoolEconomicsen
local.profile.emailavaladk2@une.edu.auen
local.output.categoryC1en
local.record.placeauen
local.record.institutionUniversity of New Englanden
local.identifier.epublicationsrecordune-20130905-121449en
local.publisher.placeUnited Kingdomen
local.format.startpage425en
local.format.endpage441en
local.peerreviewedYesen
local.identifier.volume35en
local.identifier.issue5en
local.contributor.lastnameValadkhanien
local.contributor.lastnameChancharaten
dc.identifier.staffune-id:avaladk2en
local.profile.roleauthoren
local.profile.roleauthoren
local.identifier.unepublicationidune:13749en
dc.identifier.academiclevelAcademicen
local.title.maintitleDynamic linkages between Thai and international stock marketsen
local.output.categorydescriptionC1 Refereed Article in a Scholarly Journalen
local.description.statisticsepubsVisitors: 93<br />Views: 94<br />Downloads: 0en
local.search.authorValadkhani, Abbasen
local.search.authorChancharat, Surachaien
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