Since 2014
Behavior of Stock Market Index in the Stock Exchange of Thailand
NIDA Economic Review Journal
View Archive Info| Field | Value | |
| Title |
Behavior of Stock Market Index in the Stock Exchange of Thailand
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| Creator |
Jiranyakul, Komain
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| 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.
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| Publisher |
Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์)
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| Date |
2007-06-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://tci-thaijo.org/index.php/NER/article/view/23128
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| Source |
Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์); Vol 2 No 2 (2550): NIDA Economic Review Journal; 47
1906-2540 |
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| Language |
eng
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| Relation |
http://tci-thaijo.org/index.php/NER/article/view/23128/19753
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| Rights |
Copyright (c) 2017 Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์)
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