ASSESSING THE DYNAMIC RELATIONSHIP OF STOCK MARKET, INTERNATIONAL TRADE AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM WAVELET ANALYSIS

Soh, Ann Ni and Jong, Meng Chang and Puah, Chin Hong and Mohammad Affendy, Arip (2021) ASSESSING THE DYNAMIC RELATIONSHIP OF STOCK MARKET, INTERNATIONAL TRADE AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM WAVELET ANALYSIS. Advances in Business-Related Scientific Research Journal, 12 (1). pp. 1-11. ISSN 1855-931X

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Abstract

This paper aims to identify the nexus of stock market, trade and economic growth in Thailand. The study used approximately two decades of monthly data from 2000 to 2019. By applying the continuous wavelet transform (CWT) wavelet-based approach, the time-frequency and lead-lag relationships among the variables can be captured. Empirical findings reveal significant coherencies among the variables in the medium and long run with a positive association. Evidence reveals that the Thailand stock market plays a prominent and leading role in international trade. This study offers interesting findings about the lead-lag relationship between the stock market and economic growth, while the significant positive relationships among these two variables are validated. The theoretical implications have been justified, as these relationships are significant. The results obtained are vital for policymakers in framing effective macroeconomic policies regarding the Thailand stock market.

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