The pre- and post-COVID-19 empirical analysis of stocks returns, inflation and output in Thailand

บทคัดย่อ

This research aims to examine the relationship between stock returns, inflation, and output in Thailand, investigate the inverse relationship between Thailand’s real output and inflation, and analyze the positive relationship between Thailand's stock returns and real output. The research investigates the Fisher Hypothesis puzzle and revisits Fama's Hypothesis, exploring the dynamics between these macroeconomic variables and stock returns in an emerging market context. Utilizing data sourced from CEIC spanning from January 2015 to December 2023, encompassing both pre- and post-COVID-19 periods, the study employs least squares regression and ARMA maximum likelihood estimation techniques for analysis. Inflation generally increases the prices of goods and services, resulting in higher production costs, which can lower output. However, stock prices often reflect firms’ performance or output growth. The findings reveal a significant negative relationship between output growth and inflation in Thailand. Additionally, the study finds no significant relationship between real stock returns and output growth; instead, real stock returns are primarily influenced by their past values. Consequently, shareholders do not necessarily benefit from economic growth alone and should diversify their investment strategies beyond countries with high growth rates. These insights provide valuable guidance for investors navigating economic uncertainties and optimizing investment decisions in emerging markets.