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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 The DreamCatchers Group, LLC 2007. Provided by ProQuest LLC. (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 post-financial 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 of macroeconomic ...