This study examines the relationship between stock market index and macroeconomic variables in Thailand. The results from Johansen cointegration test shows that the variables are cointegrated. Thus there exists a long-run relationship between the stock market index and a set of four...

The main objective of this paper is to examine the relationship between energy use, exports, and imports in Thailand. The annual data from 1979 to 2012 are employed. The results from bounds testing for cointegration reveal that energy use is the main determinant of exports and imports. The...

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...

This article tests the Black's hypothesis in five crisis-affected Asian countries (India, Japan, Malaysia, South Korea, and Thailand). The hypothesis posits that economies face a positive relationship between output growth and output volatility. Using monthly data of the industrial production...

This paper investigates the relationship among monetary aggregates, prices, and aggregate output using Thailand's quarterly data from 1993:Q1 to 2006:Q4. The estimates of money demand function based on the quantity theory indicate a stable long-run relationship between real money demand and...

Experiments have identified a number of well-known violations of expected utility theory, giving rise to alternative models of choice under uncertainty, all of which are able to explain these violations. In this article, predictions of several prominent rival formulations are examined. No single...

The notion that more government expenditures can stimulate growth is controversial. The causation between government expenditures and economic growth in Thailand is examined using the Granger causality test. There is no cointegration between government expenditures and economic growth. A...

In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and...

The main objective of this study is to use dis aggregate data between Thailand and its major trading partners to examine the validity of the purchasing power parity (PPP). Bilateral exchange rates between domestic currency (Thai baht) and each currency of major trading partners as well as the...