Empirical Finance

1. Front Matter

   Pages I-XIV

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2. Introduction

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 1-11

3. The Thai Financial System: Characteristics of the Emerging Thai Stock Market

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 13-24

4. Descriptive Statistics and General Characteristics of the Stock Market

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 25-51

5. Market Efficiency Models and Tests

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 53-63

6. Stock Valuation Models

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 65-89

7. Models for Rational Speculative Bubbles

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 91-106

8. Models for Anomalies Studies

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 107-122

9. Volatility Models

   • Sardar M. N. Islam, Sethapong Watanapalachaikul

   Pages 123-146

10. Summary and Conclusions

    • Sardar M. N. Islam, Sethapong Watanapalachaikul

    Pages 147-153

11. Back Matter

    Pages 155-201

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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.

• Emerging Financial Markets
• Empirical Finance
• Finance
• Financial Policy
• Thailand
• Volatility
• calculus
• modeling

Review

"This new book by Sardar M. N. Islam and Sethapong Watanapalachaikul applies the modern tools of financial econometrics to the investigation of the structure and statistical relationships within an important developing financial market, the stock market in Thailand. This book is an invaluable source for those with an interest in the financial markets of developing economies, financial econometrics and modelling more generally and also provides a framework for the investigation of these same relationships in those other financial markets at different stages of development."

- Jonathan Batten, Professor of Finance, Seoul National University, Republic of Korea; Co-editor, Research in International Business and Finance; in the editorial board of the International Review of Financial Analysis; ,coauthor with Thomas Fetherston, "Asia-Pacific Fixed Income Markets: An Analysis of the Region's Money, Bond and Interest Derivatives Markets", John Wiley, Frontiers in Finance Series in 2002.

• Centre for Strategic Economic Studies, Victoria University, Melbourne City MC, Australia

  Sardar M. N. Islam, Sethapong Watanapalachaikul

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