Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.768306
Title: Essays on stock market behaviour
Author: Tran, Mai Ngoc
ISNI:       0000 0004 7653 4367
Awarding Body: University of Birmingham
Current Institution: University of Birmingham
Date of Award: 2018
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.768306  DOI: Not available
Keywords: HG Finance
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