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The Relationship Between Traffic Congestion and Stock Market Returns |
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| รหัสดีโอไอ | |
| Creator | Anya Khanthavit |
| Title | The Relationship Between Traffic Congestion and Stock Market Returns |
| Publisher | Assumption University |
| Publication Year | 2565 |
| Journal Title | ABAC Journal |
| Journal Vol. | 42 |
| Journal No. | 1 |
| Page no. | 1-15 |
| Keyword | directed acyclic graph, Granger causality, missing data, stress, vector autoregression |
| URL Website | www.abacjournal.au.edu |
| Website title | ABAC Journal |
| ISSN | 0858-0855 |
| Abstract | Traffic congestion and stock market returns are related, and these variables affect — and are affected by—economic conditions. Moreover, traffic congestion induces investor stress, thereby altering decision-making. Stock market returns are depressed on high traffic days owing to behavioral reasons. This study analyzes the relationship between Bangkok traffic and Thai stock market returns. A directed acyclic graph and Granger causality tests were used to identify the contemporaneous and time-sequence causalities between the variables. The sample data were collected from January 4, 2012 to April 2, 2020, making a total of 2,020 trading days. The average Longdo traffic index during morning rush hours and the closing-to-closing return on the Market for Alternative Investment (mai) index portfolio represent the traffic congestion and stock market return, respectively. The mai return was chosen as mai stocks are mostly traded by local investors, which is the only investor group affected by Bangkok traffic. The traffic index was missing for 179of the trading days, making the vector-autoregressive model estimation whichaccompanies the Granger causality tests, not possible. The missing-data problem was resolved by using imputation data constructed from the vector autoregressive model-imputation algorithm. It was found that the Bangkok traffic contemporaneously, and Granger causes, the mai return. The effect on the mai return was found to be negative and permanent. |
