Record Details

Behavior of Stock Market Index in the Stock Exchange of Thailand

NIDA Economic Review Journal

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Field Value
 
Title Behavior of Stock Market Index in the Stock Exchange of Thailand
 
Creator Jiranyakul, Komain
 
Description In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether theStock Exchange of Thailand is an efficient market. Using monthly market index duringJanuary 1987 and December 2006, the variance-ratio test shows that the market index followsa random walk process, and this is confirmed by unit root tests. The GARCH process showsthat the volatility of stock market return generated by the GARCH variance series exhibits anuneven pattern. The unpredictable stock index and uneven volatility of stock return implythat the Thai stock market is efficient according to weak-form efficient market hypothesis.
 
Publisher Development Economic Review
พัฒนาการเศรษฐกิจปริทรรศน์
 
Date 2007-06-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://tci-thaijo.org/index.php/NER/article/view/23128
 
Source Development Economic Review; Vol 2 No 2 (2550): NIDA Economic Review Journal; 47
พัฒนาการเศรษฐกิจปริทรรศน์; Vol 2 No 2 (2550): NIDA Economic Review Journal; 47
1906-2540
 
Language eng
 
Relation https://tci-thaijo.org/index.php/NER/article/view/23128/19753
 
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