Essays on stock market behaviour

Tran, Mai Ngoc (2018). Essays on stock market behaviour. University of Birmingham. Ph.D.

[img] Tran2018PhD.pdf
Text - Accepted Version
Restricted to Repository staff only until 1 December 2023.
Available under License All rights reserved.

Download (1MB)

Abstract

This thesis consists of three empirical essays on certain aspects of the behaviour of the stock market. The first study measures the impact of political reform on stock market volatility in Southeast Asian countries using a GARCH-family of model. We find that these major political changes have positive impact on the stability of the stock market. The second study employs an Autoregressive Distributed Lag model and Toda–Yamamoto (1995) Granger causality test to assess the interaction between Thailand’s stock market and macroeconomic variables. We find long-run and short-run interactions exists between the stock market index and macro variables. The third study provides another look at the volatility of the stock exchange through variance decomposition. With a short-length dataset from Thailand, we find that discount rate news and cash flow news are equally important.

Type of Work: Thesis (Doctorates > Ph.D.)
Award Type: Doctorates > Ph.D.
Supervisor(s):
Supervisor(s)EmailORCID
Dickinson, DavidUNSPECIFIEDUNSPECIFIED
Pouliot, WilliamUNSPECIFIEDUNSPECIFIED
Licence: All rights reserved
College/Faculty: Colleges (2008 onwards) > College of Social Sciences
School or Department: Birmingham Business School, Department of Economics
Funders: None/not applicable
Subjects: H Social Sciences > HG Finance
URI: http://etheses.bham.ac.uk/id/eprint/8776

Actions

Request a Correction Request a Correction
View Item View Item

Downloads

Downloads per month over past year