This book makes two key contributions to empirical finance. First
it provides a comprehensive analysis of the Thai stock market.
Second it presents an excellent exposition ofhow modem econometric
techniques can be utilised to understand a market. The increasing
globalisation of the world's financial markets has made our un
derstanding of the risk-return relationship in a broader range of
markets critical. This is particularly so in emerging markets where
market depth and liquidity are major issues. One such emerging
market is Thailand. The Thai capital market isof particular
interest given that it was the market in which the Asian financial
crises commenced. As such an understanding ofthe Thai capital
market via study of the pre and post-crisis periods enables one to
shed light on one of the major financial markets events of recent
times. This book provides a quantitative analysis of the Thai
capital market using some very useful and recent econometric
techniques. The book provides an over view of the Thai stock market
in chapter 2. Descriptive statistics and time series models (moving
average, exponential smoothing, ARIMA) are presented in chap ter 3
followed by market efficiency tests based on autocorrelations in
chapter 4. A richer set of models is then considered in chapters 5
through 8. Chapter 5 finds a cointegrating relationship between
macroeconomic factors and stock returns."
General
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