Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?

Jiranyakul, Komain (2016): Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?

Abstract

This study examines the sensitivity of the Thai stock market to nominal and real interest rate, and exchange rate risks during January 2004 and December 2015 using quantile regression. The analysis focuses on sectoral level and one main index in the stock market. The empirical results show that the stock market is more sensitive to exchange rate risk than interest rate risk. However, the impacts of these risks are different across equity index returns. The results from this study give implication for risk management of portfolio mangers and investors.

• Item Type: MPRA Paper
• Language: English
• Keywords: Equity index returns, interest rate risk, exchange rate risk, quantile regression
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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