We test for the presence of low-dimensional chaotic structure in the Stock Exchange of Thailand (SET) Index. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes generally explain the nonlinearities...

Research in economics and finance documents a puzzling negative relationship between stock returns and inflation rates in markets of industrialized economies. The present study investigates this relationship for Korea and Mexico. We show that the negative relationship between the real stock...

In this paper we investigate the relationship between regional financial turmoil and equity markets of three emerging Asian economies: Indonesia, Malaysia, and Thailand. The study focuses on the contagion of the regional banking and financial difficulties to security markets in these three...