This paper examines both short-run and long-run dynamics of return, volatility, liquidity and liquidity risk of returns on the Stock Exchange of Thailand (SET) index and USD/THB over the period of 1 January 1996 to 31 December 2011 to evaluate the effect of the Thai 2006 coup d etats and its interim military and civilian governments on financial markets. Heterogeneous reactions in the currency and stock markets in both short-run and long-run analyses are detected. The immediate reaction to the coup is more evident in the stock market with a reduction in stock return, a short-lived spike in return volatility and volume with an immediate reversal, and a drop in liquidity risk. However, the long-run impact is stronger in the currency market, where we find an increase in bid-ask spread but a drop in liquidity risk. Finally, the Coup reduces liquidity risk in the stock market in the long-run.
|Pages (from-to)||5 - 26|
|Number of pages||22|
|Journal||Journal of Financial Management Markets and Institutions|
|Publication status||Published - 2014|