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Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand

posted Jul 12, 2013, 6:26 AM by Nopphon Tangjitprom   [ updated Jul 12, 2013, 10:25 PM ]
This is summarized from the paper published in International Journal of Financial Research by Nopphon Tangjitprom in 2012

Macroeconomics condition is believed to be an important factor to explain the stock market performance. There are also many studies showing that the stock market performance can be explained by macroeconomics variables. In this study, the researcher uses the evidences on Thailand data. The macroeconomic variables are unemployment rate, interest rate, inflation rate, and exchange rate. The results show that only interest rate and exchange rate has the impact to stock market performance whereas unemployment rate and inflation rate have no impact. However, after using some lag information instead of contemporaneous, it shows that two-month lag of unemployment and inflation have an impact to stock market. Moreover, the use of either short-term interest rate or long-term interest rate does not alter the impact. 

Furthermore, the examination of lead-lag relationship reveals that stock market performance can predict the macroeconomics performance rather than macroeconomics variables can predict stock market performance. This result is consistent with the fact that the Bank of Thailand also use stock market index as a leading economics indicator. 

You can read the full article from here.

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