Long – Run Relationship between Bank Index and Economic Factors

  • นิติกร ทวีโคตร
  • ภูมิฐาน รังคกูลนุวัฒน์
Keywords: ARDL, long- run equilibrium relationship, Bank group index

Abstract

The purpose of this paper is to investigate between the Bank group index in The Stock Exchange of Thailand with economic factors over the period January 2005 - December 2018. The paper employs the Autoregressive Distribution Lag (ARDL) approach to analyze the existence of a long- run equilibrium relationship. Finding from ARDL model that I(0) of NEER, GDP, FIX, MLR and MOR ,and I(1) of BANK, SET, DJIA, CPI, EXC, MRR, FED and NPL.
The results provide evidence that SET, CPI and FED significantly positive relationship with Bank index on the other hand GDP and NPL are significantly negatively related with bank index in long-run.

Published
2020-01-30

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