Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบของการประกาศตัวเลขผลิตภัณฑ์มวลรวมของไทยต่อตลาดหุ้นในกลุ่มประเทศอาเซียน
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Vimut Vanitcharearnthum
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.97
Abstract
This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and Philippines.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Chansermpong, Sirilada, "Spillover effects of Thailand GDP announcement surprise to AEC stock markets" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7713.
https://digital.car.chula.ac.th/chulaetd/7713