Browsing by Author "Tatchawan Kanitpong"
Asset pricing on Thailand & Malaysia stock exchange: on the use of macroeconomic and behavioral factors French, Jordan Alexander; Tatchawan Kanitpong (National Institute of Development Administration, 2017)
This thesis tests five macroeconomic variables that have been both theorized to affect stock returns and been proven to do so in past empirical research. Those variables are risk premium, industrial production, term structure, expected inflation, and unexpected inflation. The variables are retested for their statistical significance using four years of monthly contemporary data using Thailand and Malaysia as two of the five ASEAN markets (Singapore, Thailand, Philippines, Malaysia, and Indonesia). Contrary to previous studies, this study finds ...