Since 2014
Does oil price uncertainty transmit to the Thai stock market?
Journal of Economic & Financial Studies
View Archive Info| Field | Value | |
| Title |
Does oil price uncertainty transmit to the Thai stock market?
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| Creator |
Jiranyakul, Komain
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| Subject |
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Bivariate GARCH; Emerging markets; Real stock price; Real oil price; Volatility transmission. C22; G15; Q40. |
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| Description |
This study investigates the impact of oil price uncertainty on the Stock Exchange of Thailand. Monthly data from May 1987 to December 2013 are applied to the two-stage procedure. In the first step, a bivariate generalized autoregressive conditional heteroskedastic (GARCH) model is estimated to obtain the volatility series of stock market index and oil price. In the second step, the pairwise Granger causality tests are performed to determine the direction of volatility transmission between oil to stock markets. It is found that movement in real oil price does not adversely affect real stock market return, but stock price volatility does affect real stock return. In the sense of causality, there exists a positive one-directional volatility transmission running from oil to stock market. Oil price change and its uncertainty also adversely affect two main sub-index returns. These important findings give some implications for risk management and policy measures.
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| Publisher |
LAR Center Press
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| Contributor |
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| Date |
2014-12-22
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/148
10.18533/jefs.v2i04.148 |
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| Source |
Journal of Economic & Financial Studies; Vol 2, No 06 (2014): December; 16-25
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/148/249
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| Rights |
Copyright (c) 2015 Komain Jiranyakul
http://creativecommons.org/licenses/by-nc/4.0 |
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