The Relationship Between Energy and Equity Mutual Funds of Thailand

Abstract

Abstract

               This study investigates short-run and long-run linkages between the energy index price and mutual fund prices type equity of Thailand. The evidence is based on Johansen’ Cointegration test and Granger-Causality test for the period 2005 to 2010 using a multivariate vector-autoregression approach. The evidence shows that the energy index price is not cointegrated with equity mutual fund prices, indicating long-run benefits existing for investors to diversify their risk. The direction of causality seems to differ across seven major asset management companies, offering short-run benefits for investors to earn abnormal returns.

Keywords: energy prices, equity mutual funds, Thailand

JEL codes: C12, G11, G23