The Effect of the 2010 Thai Political Crisis on the Stock Exchange of Thailand
Vanaratnachai, Krittaya (2010) The Effect of the 2010 Thai Political Crisis on the Stock Exchange of Thailand. [Dissertation (University of Nottingham only)] (Unpublished)
This study examines the relationship between political events that occurred in an emerging stock market, Thailand, and stock returns during the first half of 2010. The political movements observed are riots, violence clashes, protesting and destruction that took place between February and May 2010, 8 events have been examined. Event study methodology has been used to observe the abnormal and cumulative returns throughout the event window. A classical event study methodology was applied to test the relationship. The technique was adapted from Brown and Warner (1980, 1985) and Seiler (2004) by means of the market model. This methodology allows us to examine the impact of the recent Thai political crisis by deviation of index returns from their average. Further to this, a sectorial effect analysis was conducted on each sector listed on the Stock Exchange of Thailand (SET) to investigate the impact of the political crisis on those sectors.
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