This paper examines the time variation in return volatility in the Stock Exchange of Thailand during 1975-2010. Using GARCH-type methodology, together with Bai and Perron’s structural break test, we find that there are two structural breaks in the mean of the conditional volatility of both...

This paper checks for validity of the residual income model of Ohlson (1995) for the companies listed on the Stock Exchange of Thailand between 1992 and 2015. In particular, we test whether there is long-run relationship between market value, book value and residual incomes. Using standard...

This paper examines the accuracy of Value-at-Risk (VaR) estimation in the Stock Exchange of Thailand. We apply standard conditional volatility models (GARCH) and the GARCH model with long memory process (FIGARCH) in calculation of VaR. The empirical results from R|S statistics show that there is...

This paper has two objectives. First, we examine the dynamic patterns of interdependence among six stock markets in the ASEAN Economic Community (AEC). The Dynamic Conditional Correlation (DCC) – GARCH model is used to generate time-varying cross-country correlations in stock returns. The...