The relationships of financial assets in financial markets during recovery period and financial crisis

Evidence from Thailand

  • Atinucj Kusolpalalert
Keywords: Cointegration, Financial Crisis, Gold, Stock market, Bond market


The aim of this paper is to examine the long run relationship between SET index, gold price, 1-year, 2-year, and 10-year Government Bond Yield(GB), and 1-month and 3-month T-bill rate in Thai's financial market for the period between March 2001-December 2010 using Johnson method and to study their short-run adjustment through the Vector Error Correction Model (VECM) in order to find the speed of adjustment towards long-run equilibrium.