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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/23127

Title: An empirical investigation of bubble and contagion effects in the Thai stock market
Authors: Kluaymai-Ngarm, Jumpon
Keywords: Asset pricing
Stock market bubble
Bubble test
Regime-switching model
Bubble contagion
Thai stock market
Issue Date: 2016
Publisher: © Jumpon Kluaymai-Ngarm
Abstract: This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.
Description: A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy of Loughborough University.
Sponsor: Loughborough University scholarship.
URI: https://dspace.lboro.ac.uk/2134/23127
Appears in Collections:PhD Theses (Economics)

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