Essays on stock market behaviour

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

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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.
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


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