The Cointegration test for macroeconomic variables and the stock market index: evidence from the stock exchange of Thailand

• Main Author: Jun Jiang
• Other Authors: Mahidol University. Mahidol University. International College. Business Administration Division.
• Format: Article
• Language: English
• Published: 2015
• Subjects: Cointegration; Stock market index; Macroeconomic variables
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/10513
• Institution: Mahidol University

The study tests the association between selected macroeconomic variables and the stock market index for given periods from the Stock Exchange of Thailand. In the empirical analysis, the monthly data from January 2002 to December 2007 are used for performing the unit root test, Augmented Dickey-Fulle...