Equity and Commodity Market Co-Movements in Thailand
DOI:
https://doi.org/10.18533/ijbsr.v7i5.1098Keywords:
Gold Price, Oil Price, Thailand Stock MarketAbstract
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.
References
Aggarwal, R., Lucey, B.M., 2007. Psychological barriers in gold prices? Rev. Finan. Econ. 16 217–230.
Aazim, M. (2011). Gold the first choice of investors. Dawn Economic & Business Review.
AbderrazakDhaoui and NaceurKhraief (2014). Empirical Linkage between Oil Price and Stock Market Returns and Volatility: Evidence from International Developed Markets. Economics Discussion Papers, No 2014-12, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2014-12
AlMamun Md. et al. (2012), Fiscal Policy Determinants of Bangladeshi Economic Growth: An Econometric Analysis. IJAR-BAE 1(2): p. 46 - 55.
Akaike, H. (1973) “Information theory and an extension of the maximum likelihood principle” in 2nd International Symposium on Information Theory by B. N. Petrov and F. Csaki, eds., AkademiaiKiado: Budapest.
Akaike, H. (1969) “Fitting autoregressive models for prediction” Annals of the Institute of Statistical Mathematics 21, 243 – 247.
Akaike, H. (1979) “A Bayesian extension of the minimum AIC procedure of Autoregressive model fitting” Biometrika 66, 237 – 242.
A.Maghyereh, Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach, International Journal of Applied Econometrics and Quantitative Studies, Vol. 1, Issue 2, 2004.
Azali, M., A. Z. Baharumshah, and M.S. Habibullah (2001) “Cointegration test for demand for money in Malaysia: Does exchange rate matter?” in Readings on Malaysia Economy: Issues in Applied Macroeconomics by M. Azali, ed. Imagepac Print: Kuala Lumpur
Baharumshah, A. Z., A.M.M. Masih and M. Azali (2002) “The stock market and the ringgit exchange rate: A note” Japan and the World Economy 14, 471 – 486.
Bohi, D.R., 1989. Energy price shocks and macroeconomic performance. Resources forthe Future, Washington D.C.
Bernanke, B.S., Gertler, M., Watson, M., 1997. Systematic monetary policy and theeffects of oil price shocks. Brookings Papers on Economic Activity 1997 (1), 91–142.
Brook, C., 2008, Introductory Econometrics for Finance. Cambridge University Press.
Cong, R.G, Wei, Y.M, Jiao, J.L and Y. Fan, 2008, Relationships between oil price shocksand stock market: An empirical analysis from China. Energy Policy, 36, pp. 3544– 3553.
Charles M. Jones and GautamKaul, ‘Oil and the Stock Markets’, The Journal Of Finance, VOL- LI, Issue- 2, June 1996.
Driesprong, G., Jacobsen, B., Maat, B., 2003. Striking oil: another puzzle. Research paper ERS-2003-082-F&A. Erasmus Research Institute of Management (ERIM).
Dirk Baur and Thomas McDermott, ‘Is gold a safe haven? International evidence’, Journal of Banking & Finance, Vol 34, Issue 8, 2010.
Gazi Salah Uddin, M. ZakirSaadullah Khan, IlhanOzturk, (2013), “Export-Led Growth Revisited In Bangladesh: Evidence From Structural Break”, Actual Problems of Economics, 6(144), 460-469.
HussinM., Muhammad F., RazakA., ThaG., Marwan N. (2013). The Link between Gold Price, Oil Price and Islamic Stock Market: Experience from Malaysia. Journal of Studies in Social Sciences, Vol. 4 (2), 161-182.
Hussin, M. Y. M., Muhammad, F., Razak, A. A., Tha, G. P., &Marwan, N. (2013). The link between gold price, oil price and Islamic stock market: Experience from Malaysia. Journal of Studies in Social Sciences, 4(2).
Hui-Ming Zhu, Rong Li, Sufang Li, ‘Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns’, International Review of Economics and Finance Vol 29, Issue C, 2014.
Hannan, E. J. and B.G. Quinn (1978) “The determination of the lag length of an autoregression” Journal of Royal Statistical Society 41, 190 – 195.
Islam, M. S. (2013). Digital Divide & Its Impact on Economic Growth in SAARC Countries. IJAR BAE, 2(2), pp.14-26.
Islam, M. S. (2015). Impact of ICT on women empowerment in South Asia. Journal of Economic & Financial Studies, 3(03), pp.80-90.
Jaraskunlanat, N. (2016). A study of factors affecting the Gold Price in Thailand during 2005-2015.
Jiranyakul, K. (2015). Does oil price uncertainty transmit to the Thai stock market?
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254.
Johansen, S., &Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with applications to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 1551-1580.
Kalyanaraman, L., & Al Tuwajri, B. (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia. International Journal of Financial Research, 5(1), p81.
Liew, Venus Khim−Sen, (2004) "Which Lag Length Selection Criteria Should We Employ?." EconomicsBulletin, Vol. 3, No. 33 pp. 1−9
Morley, B. (2006). Causality between economic growth and immigration: An ARDL bounds testing approach. Economics Letters, 90(1), 72-76.
Manchsree K. (2011, September 6). New ways to invest in the gold safe haven. The new nation. Retrieved from http://www.nationmultimedia.com/
Masih, R., Peters, S., & De Mello, L. (2011). Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Economics, 33(5), 975-986.
Muhammad Shahbaz and Mohammad Iqbal Tahir and Imran(2013) “Ali Is Gold Investment A Hedge againstnation in Pakistan? A Cointegtaionand Causality Analysis in the Presence ofStructural Breaks
Mohammad Reza Monjazeb, Maryam Sadat Shakerian ‘The effects of Gold price and oil price on stock returns of the Banks in Iran’, Arabian Journal of Business and Management Review (OMAN Chapter), Vol. 3, No.9; April. 2014
MohdYahyaMohd Hussin, Fidlizan Muhammad, Azila Abdul Razak, Gan Pei Tha, Nurfakhzan Marwan, ‘The Link between Gold Price, Oil Price and Islamic Stock Market: Experience from Malaysia’ Journal of Studies in Social Sciences, ISSN 2201-4624, Volume 4, Number 2, 2013.
Matiur Rahman, Muhammad Mustafa, ‘Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testing’ Finance and Market, Volume 3, Issue 1, 2018
Ng, T. H. (2002) “Stock Market Linkages in South East Asia” ASEAN Economic Journal 16, 353 – 377.
Perry Sadorsky, ‘Oil price shocks and stock market activity’ Energy Economics, Vol. 21, Issue 5, 1999.
Ray, S. (2013). Causal nexus between gold price movement and stock market: Evidence from Indian stock market. Sciknow Publications Ltd. Econometrics,© Attribution, 3, 12-19.
Schwarz, G. (1978) “Estimating the dimension of a model” Annals of Statistics 6, 461 – 464
Stevens, P., 2005. Oil markets. Oxford Review of Economic Policy 21, 19–42.
Sarantis, N. (2001) “Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence” International Journal of Forecasting 17, 439 – 482
Sarantis, N. (1999) “Modelling non-linearities in real effective exchange rates” Journal of International Money and Finance 18, 27 – 45.
Sarno, L. and M.P. Taylor (1998) “Real exchange rates under the recent float: unequivocal evidence of mean reversion” Economics Letters 60, 131 – 137.
Sunil K. Mohanty, Mohan Nandha, Abdullah Q. Turkistani, Muhammed Y. Alaitani. 2011. Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries. Global Finance Journal, Vol- 22, Issue- 1, 2011.
Thai-Ha, L. E., & CHANG, Y. (2011). The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies (No. 1103). Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
Tang. T. C. (2003) “Singapore’s aggregrate import demand function: Southeast Asian economies compared” Labuan Buletin of International Business and Finance 1, 13 –28
Xu, Z. (2003) “Purchasing power parity, price indices, and exchange rate forecasts” Journal of International Money and Finance 22, 105 – 130.
Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy,35(3), 168-177.
Downloads
Published
Issue
Section
License
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
