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Cointegration and causality between stock index and macroeconomic variables in an emerging market.
- Article from:
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Academy of Accounting and Financial Studies Journal
- Article date:
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September 1, 2007
- Author:
- Brahmasrene, Tantatape; Jiranyakul, Komain
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Copyright informationCOPYRIGHT 2007 The DreamCatchers Group, LLC. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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ABSTRACT
This study examined the relationship between stock market index and selected macroeconomic variables during the post-financial liberalization (pre-financial crisis) and postfinancial crisis in Thailand. In the empirical analysis, unit root, cointegration and Granger causality tests were performed. The post-financial liberalization results showed that the stock market index, the industrial production index, money supply, exchange rate, and world oil prices contained a unit root and were integrated of order one. Johansen cointegration test was then employed. The results showed at least one cointegrating or long-run relation between the stock market index and a set ...
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