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Level and volatility of stock prices and aggregate investment: the case of Thailand

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dc.contributor.authorMansor H. Ibrahim
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:51Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:51Z
dc.date.disclosure2016-06-10
dc.date.issued2011
dc.description.abstractThe present paper analyzes the aggregate investment behaviour for Thailand and its relations to real stock prices and stock market volatility. In the analysis, we focus on their long run relations as well as their dynamic causal interactions by means of time series techniques of cointegration and vector autoregression (VAR). Our basic framework consists of real aggregate investment, real output, lending rate, real stock prices and stock market volatility. We obtain evidence for their long run relation and that, in the long run, real aggregate investment is positively related to real stock prices and negatively related to the stock market volatility.The generalized impulse-response functions (IRF) generated from the VAR also paint similar picture in that the real aggregate investment reacts positively to shocks in real stock prices and negatively to innovations in stock market volatility. These results tend to be robust when we extend the framework to include alternatively real credits, real effective exchange rate and real government spending.
dc.identifier.citationIbrahim, M. H. (2011). Level and volatility of stock prices and aggregate investment: the case of Thailand. Global Economic Review: Perspectives on East Asian Economies and Industries, 40 (4), pp. 445-461
dc.identifier.doihttps://doi.org/10.1080/1226508X.2011.626155
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1451
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.rights2011. Routledge
dc.sourceCRP
dc.subjectReal aggregate investment
dc.subjectStock market variables
dc.subjectCointegation
dc.subjectGeneralized impulse-response functions
dc.subjectThailand
dc.titleLevel and volatility of stock prices and aggregate investment: the case of Thailand
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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