Publication Cover
Global Economic Review
Perspectives on East Asian Economies and Industries
Volume 40, 2011 - Issue 4
319
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Level and Volatility of Stock Prices and Aggregate Investment: The Case of Thailand

Pages 445-461 | Published online: 15 Nov 2011

References

  • Ang , J. B. 2010 . Determinants of private investment in Malaysia: What causes the post crisis slumps? . Contemporary Economic Policy , 28 ( 3 ) : 378 – 391 .
  • Barro , R. 1990 . The stock market and investment . Review of Financial Studies , 3 : 15 – 131 .
  • Bernanke , B. S. 1983 . Irreversibility, uncertainty and cyclical investment . Quarterly Journal of Economics , 98 : 85 – 106 .
  • Bo , H. and Lensin , R. 2005 . Is the investment-uncertainty relationship nonlinear? An empirical analysis for the Netherlands . Economica , 72 : 307 – 331 .
  • Bohm , H ., Funke , M . and Siegfried , N. A . 1999 Discovering the link between uncertainty and investment – microeconometric evidence from Germany , Quantitative Macroeconomics Working Paper Series No. 5/99, University of Hamburg .
  • Byrne , J. P. and Davis , E. P. 2005 . The impact of short- and long-run exchange rate uncertainty on investment: A panel study of industrial countries . Oxford Bulletin of Economics and Statistics , 67 ( 3 ) : 307 – 329 .
  • Chirinko , R. S. 1993 . Business fixed investment spending: Modeling strategies, empirical results, and policy implications . Journal of Economic Literature , 31 ( 4 ) : 1875 – 1911 .
  • Cochrane , J. 1991 . Production-based asset pricing and the link between stock returns and economic fluctuations . Journal of Finance , 46 : 209 – 237 .
  • Duong , M. A . and Siliverstovs , B . 2006 The stock market and investment, unpublished Manuscript , Available at http://www.finprop.de/Paper5_The_Stock_Market.pdf (accessed 2 June 2010) .
  • Enisan , A. A. and Olifisayo , A. O. 2009 . Stock market development and economic growth: Evidence from seven Sub-Sahara African countries . Journal of Economics and Business , 61 ( 2 ) : 162 – 171 .
  • Episcopos , A. 1995 . Evidence on the relationship between uncertainty and irreversible investment . Quarterly Review of Economics and Finance , 35 ( 1 ) : 41 – 52 .
  • Federer , J. P. 1993 . The impact of uncertainty on aggregate investment spending: An empirical analysis . Journal of Money, Credit and Banking , 25 ( 1 ) : 30 – 48 .
  • Granger , C.W.J. and Newbold , P. 1974 . Spurious regression in econometrics . Journal of Econometrics , 2 : 111 – 120 .
  • Hu , Z . 1995 Stock market volatility and corporate investment , IMF Working Paper, WP/95/102 .
  • Ingersoll , J. Jr and Ross , S. 1992 . Waiting to invest: Investment and uncertainty . Journal of Business , 65 ( 1 ) : 1 – 29 .
  • Johansen , J. 1988 . Statistical analysis of cointegrating vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
  • Johansen , J. and Juselius , K. 1990 . Maximum likelihood estimation and inferences on cointegration – with application to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Jongwanich , J. and Kohpaiboon , A. 2008 . Private investment: Trend and determinants in Thailand . World Development , 36 ( 10 ) : 1709 – 1724 .
  • Kinkyo , T. 2007 . Explaining Korea's lower investment levels after the crisis . World Development , 35 : 1120 – 1133 .
  • Koop , G. , Pesaran , M. H. and Potter , S. M. 1996 . Impulse response analysis in nonlinear multivariate models . Journal of Econometrics , 74 : 119 – 147 .
  • Koutmos , G. 1998 . Asymmetries in the conditional mean and the conditional variance: Evidence from nine stock markets . Journal of Economics and Business , 50 ( 3 ) : 277 – 290 .
  • Lamont , O. 2000 . Investment plans and stock returns . Journal of Finance , 6 : 2719 – 2743 .
  • Laopodis , N. T. 2009 . Real investment and stock prices in the USA . Managerial Finance , 35 ( 1 ) : 78 – 100 .
  • Laopodis , N. T. and Sawhney , B. L. 2007 . Dynamic interactions between private investment and the stock market: Evidence from cointegration and error-correction models . Applied Economics , 17 : 257 – 269 .
  • Leahy , J. V. and Whited , T. M. 1996 . The effect of uncertainty on investment: Some stylized facts . Journal of Money, Credit and Banking , 28 : 64 – 83 .
  • Levine , R. 1997 . Financial development and economic growth: Views and agenda . Journal of Economic Literature , 35 : 688 – 726 .
  • Maddala , G. S. and Kim , I. M. 1998 . Unit Roots, Cointegration, and Structural Change , Cambridge : Cambridge University Press .
  • Mazur , E. A. and Alexander , R. J. 2001 . Financial sector development and economic growth in New Zealand . Applied Economics Letters , 8 : 545 – 549 .
  • McKinnon , R. I. 1973 . Money and Capital in Economic Development , Washington, DC : Brookings Institute .
  • Morck , R. , Shleifer , A. and Vishny , R. 1990 . The stock market and investment: Is the market a sideshow? . Brookings Papers on Economic Activity , 5 : 157 – 202 .
  • Papapetrou , E. 2001 . Oil price shocks, stock market, economic activity and employment in Greece . Energy Economics , 23 : 511 – 532 .
  • Pesaran , M. H. and Shin , Y. 1998 . Generalized impulse response analysis in linear multivariate models . Economics Letters , 58 : 17 – 29 .
  • Phillips , P. C. B. 1986 . Understanding spurious regressions in econometrics . Journal of Econometrics , 33 : 311 – 340 .
  • Phillips , P. C. B. and Hansen , B. E. 1990 . Statistical inference in instrumental variables regression with I(1) process . Review of Economic Studies , 57 ( 1990 ) : 99 – 125 .
  • Pindyck , R. 1991 . Irreversibility, uncertainty and investment . Journal of Economic Literature , 29 : 1110 – 1148 .
  • Ramaswamy , R. and Slok , T. 1998 . The real effects of monetary policy in the European Union: What are the differences? . IMF Staff Papers , 45 ( 2 ) : 374 – 396 .
  • Reinsel , G. C. and Ahn , S. K. 1992 . Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test, and forecasting . Journal of Time Series Analysis , 13 : 353 – 375 .
  • Saikkonen , P. 1991 . Asymptotically efficient estimation of cointegrating regressions . Econometric Theory , 7 : 1 – 21 .
  • Saint-Paul , G. 1992 . Technological choice, financial markets and economic development . European Economic Review , 36 ( 4 ) : 763 – 781 .
  • Saman , C. 2010 . Macroeconomic uncertainty and investment – empirical analysis for Romania . Romanian Journal of Economic Forecasting , 13 ( 2 ) : 155 – 164 .
  • Shaw , E. 1973 . Deepening in Economic Development , New York : Oxford University Press .
  • Sims , C. A. 1980 . Macroeconomics and reality . Econometrica , 48 : 1 – 48 .
  • Stock , J. H. and Watson , M. 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 61 : 783 – 820 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.