Since 2014
The Relationship between Exchange Rate and Return of the Stock Exchange of Thailand
WMS Journal of Management
View Archive Info| Field | Value | |
| Title |
The Relationship between Exchange Rate and Return of the Stock Exchange of Thailand
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| Creator |
Chancharat, Surachai
Sangsai, Hataitip Rujirarangsan, Kamonchai |
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| Subject |
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EGARCH models, Exchange Rates, Stock Exchange of Thailand, Volatility — |
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| Description |
The objective of this paper is to study a relationship between exchange rate (US Dollar/Thai Baht) and return of Stock Exchange of Thailand (SET) index by using the Exponential Generalized Autoregressive Conditional Heteroskedasticity model (EGARCH). The study analyzed on daily data basic between January, 2002 to April, 2014. As a result, exchange rate (US Dollar/Thai Baht) by adding the return of Stock Exchange of Thailand (SET) index as the dependent variable shown that the coefficient of asymmetry was 0.084627 with significance at p<0.01 and the persistence was 0.060996 with significance at p<0.01. In further study, moreover, this paper could be used the EGARCH model to compare on several GARCH model series, in order to, precisely estimated of the forecast of exchange rate and return of SET index.
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| Publisher |
WMS Journal of Management
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| Contributor |
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| Date |
2017-05-13
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Original Articles Commentary |
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| Format |
application/pdf
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| Identifier |
http://www.tci-thaijo.org/index.php/wms/article/view/86308
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| Source |
WMS Journal of Management; Vol 6, No 2 (2017); 1-6
2286-718X |
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| Relation |
http://www.tci-thaijo.org/index.php/wms/article/view/86308/68495
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| Rights |
Copyright (c) 2017 WMS Journal of Management
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