This paper examines the stock price behaviour of an emerging stock market, the
\nStock Exchange of Thailand (SET), by applying a new equilibrium stock price
\ntheory formulated by Ross (1976). The theory postulates stock market risks and
\nreturns are determined by fundamentals under a linear relationship established on
\nthe basis of a homogeneous multi-factor model return generating process and the
\nassumptions of perfectly competitive and frictionless markets. <\/p>\n
Employing the data for the period before the Asian Financial Crisis 1997-1998,
\nbetween Jan 1987 and Dec 1996 under the light of the methodology proposed by
\nFama and McBeth (1973), the research investigates the relationship between the
\nstock returns in the Stock Exchange of Thailand and some economic
\nfundamentals, namely returns on the SET-Index, changes in exchange rates,
\nindustrial production growth rates, unexpected changes in inflation, changes in
\nthe current account balance, differences between domestic interest rates and
\ninternational interest rates, changes in domestic interest rate.<\/p>\n
The test’s results show that, within the scope of the methodology and data
\nemployed, the Arbitrage Pricing Theory (APT) does hold in the very emerging
\nstock market of Thailand, while the CAPM (Capital Asset Pricing Model) fails to
\ndo so. While changes in exchange rates consistently explain the stock returns,
\nthere is one chance the exchange rates and the industrial growth rates together
\nsystematically affect the stock returns. The negative risk premiums associated
\nwith these factors shows investors in the SET are risk averse and tend to hedge
\nagainst risks of changes in fundamentals.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1746,1747],"topic_publications":[],"class_list":["post-9021","publications","type-publications","status-publish","hentry","author_publications-tho-dinh-nguyen","author_publications-tho-dinh-nguyen-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/9021","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=9021"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=9021"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=9021"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=9021"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}