Munich Personal RePEc Archive

Does oil price uncertainty transmit to the Thai stock market?

Jiranyakul, Komain (2014): Does oil price uncertainty transmit to the Thai stock market?

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_56527.pdf

Download (95kB) | Preview

Abstract

This study investigates the impact of oil price volatility (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 this 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 addition, there exists a positive one-directional volatility transmission running from oil to stock market. These findings give important implications for risk management and policy measures.

Available Versions of this Item

  • Does oil price uncertainty transmit to the Thai stock market? (deposited 11 Jun 2014 19:57) [Currently Displayed]
UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.