Empirical Finance

1 Introduction.- 2 The Thai Financial System: Characteristics of the Emerging Thai Stock.- 3 Descriptive Statistics and General Characteristics of the Stock Market.- 4 Market Efficiency Models and Tests.- 5 Stock Valuation Models.- 6 Models for Rational Speculative Bubbles.- 7 Models for Anomalies Studies.- 8 Volatility Models.- 9 Summary and Conclusions.- Appendix 1 Structure of Financial Institutions in Thailand.- Appendix 2 Market Efficiency and ARIMA Test Results.- Appendix 3 Regression Test Results.- List of Figures.- List of Tables.- List of Appendices.- About the Authors.

Review

"This new book by Sardar M. N. Islam and Sethapong Watanapalachaikul applies the modern tools of financial econometrics to the investigation of the structure and statistical relationships within an important developing financial market, the stock market in Thailand. This book is an invaluable source for those with an interest in the financial markets of developing economies, financial econometrics and modelling more generally and also provides a framework for the investigation of these same relationships in those other financial markets at different stages of development."

- Jonathan Batten, Professor of Finance, Seoul National University, Republic of Korea; Co-editor, Research in International Business and Finance; in the editorial board of the International Review of Financial Analysis; ,coauthor with Thomas Fetherston, "Asia-Pacific Fixed Income Markets: An Analysis of the Region's Money, Bond and Interest Derivatives Markets", John Wiley, Frontiers in Finance Series in 2002.