Equity and Commodity Market Co-Movements in Thailand

Md. Anamul Hoque, Md. Farhan Faruqui

Abstract


This paper studies the dynamic linkage between oil price, gold price and Thailand stock market in the long run as well as in the short run. By employing Time series analysis using monthly data from for the period of August 1999 to August 2013, the study applies co-integration technique, Granger causality test, and Impulse Response Function (IRF) and Variance Decomposition (VDC) analysis. The findings reveal that oil price changes have asymmetric effects on Thailand stock market while a positive relationship has been observed between the gold price and the stock return in the same market. Finally, few implications and applications of the study have been suggested in detail.


Keywords


Gold Price, Oil Price, Thailand Stock Market

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DOI: http://dx.doi.org/10.18533/ijbsr.v7i5.1098

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