This article uses daily stock prices during the period 1997–2013 to empirically investigate the existence of stock market cointegration between Thailand and its 11 major trading markets, including Hong Kong, Japan, the New York Stock Exchange (NYSE), the National Association of Securities Dealer Automated Quotation (NASDAQ), London, Australia, Philippines, Singapore, Korea, Indonesia and Malaysia. After accounting for structural breaks of the series and salient economic events (for example, the Asian Financial Crisis of 1997 and the US recession in middle of 2007), the Engle–Granger test suggests that the stock price indices of Thailand exhibit a weak long-run relationship with the other selected markets, which in turn provides investors profitable opportunities from portfolio diversification.
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