Do Thai stock prices deviate from fundamental values?

Jirasakuldech, Benjamas; Emekter, Riza; Rao, Ramesh P.

doi:10.1016/j.pacfin.2007.01.001

Cited by 19 publications

(11 citation statements)

References 38 publications

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“…In the first quarter of 1993, the market capitalization of the Stock Exchange of Thailand (SET) was approximately 1,494.5 billion baht and, by the end of 2007, it climbed to 6,636.1 billion baht 1 . With this progress, the SET is viewed as one of the largest emerging markets in the region (see also Jirasakuldech et al, 2008). However, the market capitalization recorded drastic drop during the 1997/1998 Asian financial crisis and slight decline at the beginning of the 21 st century.…”

Section: Introductionmentioning

confidence: 99%

Stock Market Development and Macroeconomic Performance in Thailand

Ibrahim

2011

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Section: Introductionmentioning

confidence: 99%

Stock Market Development and Macroeconomic Performance in Thailand

Ibrahim

2011

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“…Their results do not change when an additional earnings fundamental variable is included; however, it is inconsistent with Lee (1996) and Jirasakuldech et al, (2008) who find that prices, dividends and earnings are cointegrated. Moreover, Abeyratna and Power (2002) do not show any significant relationships between dividend change announcements and subsequent share price reactions.…”

Section: Introductionmentioning

confidence: 60%

The response of stock prices to dividend news on the Ghana stock market: An empirical assessment

Boako

2015

JEFS

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An important assumption of the signaling hypothesis is that dividend change announcements are positively correlated with share price reactions and future changes in earnings. However, Miller and Modigliani (1961) sustains that, dividend policy is irrelevant in arriving at a firm value, if the capital market is perfect. The purpose of this paper is to assess the potency of the dividend irrelevance theory on the Ghana stock market by using the Johansen-Juselius cointegration methodology on daily data of dividends, earnings and stock prices from January 2011 to December 2013. The results establish that equity prices in Ghana are not in sync with dividend announcements. However, the incorporation of earnings in the cointegration model provides varying result. The findings indicate that equity price change movements in Ghana are not responsive to dividend news.

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“…Like our study, Jirasakuldech et al (2008) have tested for the existence of rational bubbles using both cointegration and duration dependence tests. Their cointegration test provides evidence of no long-run relationship among stock prices, dividends and earnings, indicating the presence of a rational bubble in Thai stock prices from June 1975 to June 2006.…”

Section: Comparisons With Other Studiesmentioning

confidence: 99%

“…Unlike the existing parametric tests, McQueen and Thorley (1994), Cochran and Defina (1995), Chan et al (1998), Harman and Zuehlke (2004), Jirasakuldech et al (2008) and Jaradat (2009) have employed hazard models that circumvent the problems of stationarity tests. Their tests are nonparametric tests, which pronouncedly differ from stationarity tests.…”

Section: Bubbles and The Weibull Distribution 257mentioning

confidence: 99%

Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis?

2014

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Existing studies on bubbles have been mainly concerned with investigating the stationarity properties of stock prices and market fundamentals. We develop a new method of testing for bubbles that relates the bubble component of stock prices to the probability of bursting in the context of the Weibull distribution. There were several eruptions and subsequent collapses of seeming bubbles over the past three decades: 1987 (Black Monday), 2000 (information technology (IT) boom) and 2007 (housing market boom). Using US monthly data for the S&P 500 and NASDAQ series, we have found that the S&P 500 series contained an explosive bubble only during the boom of the housing market that occurred before the 2007 global economic crisis, and the NASDAQ market contained an explosive bubble during the surge of stock prices peaking in 1987 and 2007, although our stationarity tests fail to detect the bubbles. No bubble was found in both the S&P and NASDAQ series during the 2000 IT boom. Our evidence corroborates the criticism that the traditional unit root and cointegration tests may not be able to detect some important class of bubbles.

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Do Thai stock prices deviate from fundamental values?

Cited by 19 publications

References 38 publications

Stock Market Development and Macroeconomic Performance in Thailand

Stock Market Development and Macroeconomic Performance in Thailand

The response of stock prices to dividend news on the Ghana stock market: An empirical assessment

Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis?

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