The Linkage of Thai Stock Market and Other Major Stock Markets
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Abstract
The objective of this study has two-fold: 1) to study the movement of Thai stock market and other major stock market indices. 2) to study long-term equilibrium and the relationship among the Thai stock market and key stock exchanges. This is a study through the movement of stock market indices of 5 countries including Dow Jones Index (DJI) in the US New York stock market, Nikkei Index (Nikkei) in the Tokyo market of Japan, Hong Kong's Hang Seng Index (HSI), Singapore Stock Exchange Index (STI), and Stock Exchange of Thailand Index (SET). Using daily time series data which is the closing price in each market during January 2018 to June 2022. The methodologies used in the study consisted of: unit root test, cointegration test and finding a cause-and-effect relationship by causality method.
The results of this study showed that 1) during the past 4-5 years, the movement of the stock market indices has moved in a similar manner. The Dow Jones Index and the Nikkei Index recovered faster than the Hang Seng Index, Singapore Stock Exchange Index, and the Stock Exchange of Thailand index. 2) the five stock market indices have cointregration or a long-term equilibrium relationship and are interconnected. The Dow Jones Index has the highest influence on all stock exchanges indices, followed by the Nikkei Index and the Singapore Stock Exchange respectively. However, the Hang Seng Index had no significant influence on other exchanges during the study period. For the Stock Exchange of Thailand, it is influenced by 3 markets including the Dow Jones Index, the Nikkei Index and the Singapore Stock Exchange, respectively.
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สงวนลิขสิทธิ์ © 2553 คณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ
คณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ จัดพิมพ์วารสารเศรษฐศาสตร์และนโยบายสาธารณะ เพื่อเผยแพร่บทความวิชาการทางเศรษฐศาสตร์ นโยบายสารธารณะ และสาขาอื่นๆที่เกี่ยวข้อง ทัศนะและข้อคิดเห็นใดๆที่ปรากฏในวารสารเป็นความคิดเห็นส่วนตัวของผู้เขียน โดยบทความที่ได้รับการตอบรับจะถือเป็นลิขสิทธิ์ของคณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ
บรรณาธิการ ผู้ช่วยศาสตราจารย์ ดร.ณัฐญา ประไพพานิช
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