The relationships of financial assets in financial markets during recovery period and financial crisis : evidence from Thailand
by Atinuch Kusolpalalert
Title: | The relationships of financial assets in financial markets during recovery period and financial crisis : evidence from Thailand |
Author(s): | Atinuch Kusolpalalert |
Contributor(s): | Assumption University. Martin de Tours School of Management and Economics |
Issued date: | 2013 |
Publisher: | Assumption University |
Citation: | AU Journal of Management 11, 1 (January-June 2013), 36-45 |
Abstract: |
The aim of this paper is to examine the long run relationship between SET index, gold price, 1-
year, 2-year, and 10-year Government Bond Yield (GB), and 1-month and 3-month T-bill rate in Thai's
financial market for the period between March 2001-December 2010 using Johansen method and to
study their short-run adjustment through the Vector Error Correction Model (VECM) in order to find
the speed of adjustment towards long run equilibrium. Moreover, this paper also tests the impact on each
variable resulting from the changes in other variables by using Impulse Response Function and Variance
Decomposition Test. Results found that during economic recovery period, SET index has positive rela-
tionship with gold price, 2-year GB yield, and 3-month T-bill rate. Meanwhile, during economic crisis,
SET index has a positive relationship with gold price, 1-year, 10-year GB yields, and 3-month T-bill rate.
The Vector Error Correction model indicated that in the recovery period SET index rapidly adjust itself
back to equilibrium after deviating from long run path, while during crisis period 1-year GB yield is the
fastest in adjusting back to long run equilibrium. Moreover, the Impulse Response Function presented
that SET index is significantly affected by the shock of itself which is consistent with the Variance
Decomposition Test which indicates that the variation of SET index is mainly due to the change ofitself
during the recovery period; while during crisis, SET index has a positive response to the shock of itself.
Variance Decomposition Test reported that 98.95% of variation of SET index can be explained by its
own changes. |
Description: |
In English ; abstract in English and Thai. |
Subject(s): | Assumption University -- Periodicals
AU Journal of Management AU Journal of Management -- 2013 |
Keyword(s): | Cointegration
Financial crisis Gold Stock market Bond market |
Resource type: | Journal Article |
Type: | Text |
File type: | application/pdf |
Language: | eng |
Rights: | This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner. |
URI: | http://repository.au.edu/handle/6623004553/12600 |
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