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real activity) in Thailand, which is an emerging market economy. The standard causality test and the equal forecast …
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economies. The present study investigates the impact of real exchange rate uncertainty on import demand of Thailand. The period … variables are cointegrated. The negative impact of exchange rate uncertainty on Thailand’s imports is found. The results also …
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This paper explores the nature of the linkage between foreign exchange market and the Thai stock market using monthly data of exchange rate and stock prices during July 1997 to June 2010. The results from cointegration test in a bivariate framework show no long-run relationship between stock...
Persistent link: https://www.econbiz.de/10013114204
This paper provides new evidence on the positive risk-return tradeoff in the Thai stock market using monthly data. An AR(p)-GARCH-in-mean model is applied to the data from January 1981 to December 2009. Since stock prices and dividend series are not cointegrated, the excess returns are...
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