The Dynamic Relationship of Stock Indexes on Interbank Money Market Rates: Evidence from Thailand

Authors

  • Zongjun Wang Huazhong University of Science and Techonology
  • Rujira Gongkhonkwa Huazhong University of Science and Technolocy

Abstract

Many researches shed light on investigation the several variables that might be able to influence economic system, this research play an important to identify the relationship of stock indexes on interbank money market rates, we make used of a secondary data by based upon the top ten largest stock exchanges in the world and BIBOR from 2006 to 2011 and applied the simple linear regression model as our model. Over the whole sample period, the result that we have found from the variance decomposition analysis and impulse response analysis there are three important stock indexes which lead up to the BIBOR changes that consists of DJIA, FTSE100, and ASX. Another interesting feature found in this study is that from the Granger causality analysis, the DJIA, NASDAQ, NIKKEI225, FTSE100, TSX, SSE, BOVESPA, ASX, and DAX were found to directly causality on the BIBOR, except the HSI over the sample period.

Keywords: Interbank money market; Bangkok Interbank Offered Rate; Stock indexes

JEL Classifications: G01; G21; G32

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Author Biographies

Zongjun Wang, Huazhong University of Science and Techonology

Wang Zongjun is a University Professor at Huazhong University of Science and Technology, Wuhan, Hubei, China. He is the Vice Dean of School of Management at Huazhong University of Science and Technology, and the Director of the Institute of Enterprise Evaluation. Professor Wang has earned his Bachelor Degree in Computer Science in 1985 from Beijing Institute of Technology (BIT), Beijing, China. He has earned the degree of Doctor of Philosophy in System Engineering in 1993 from Huazhong University of Science and Technology, Wuhan, China. He has joined the Arizona State University as a senior visiting scholar during 2004 to 2005 under the assistantship of Fulbright Foundation, USA and the Montreal University, Canada in 2001 as a senior fellow.

Rujira Gongkhonkwa, Huazhong University of Science and Technolocy

Gongkhonkwa Rujira is enrolled as Doctoral Degree Candidate, in the program of Business Administration (Finance), in School of Management, Huazhong University of Science and Technology, Wuhan, Hubei, China. She has earned the degree of Bachelor of Business Administration (Money and Banking) degree in 2006 from Ramkhamheang University. She earned her Master of Business Administration (Finance and Banking) in 2009 from Ramkhamheang University. She has worked in Government Savings Bank from 2010 to 2011 in department of treasury operation and CIMB Thai from 2007 to 2010 in department of treasury operations, investor services and collateral management. Owing to good academic and work experience records, she awarded Chinese Government Scholarship to pursue her doctoral studies in Huazhong University of Science and Technology.

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Published

2013-09-19

How to Cite

Wang, Z., & Gongkhonkwa, R. (2013). The Dynamic Relationship of Stock Indexes on Interbank Money Market Rates: Evidence from Thailand. International Journal of Economics and Financial Issues, 3(4), 827–843. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/507

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