Does oil price uncertainty transmit to the Thai stock market?

Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

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. It is also found that oil price movement and its uncertainty adversely affect two main sub-index returns. These important findings give some implications for risk management and policy measures.

Keywords: Real stock price; real oil price; volatility transmission; emerging markets (search for similar items in EconPapers)
JEL-codes: C22 G15 Q40 (search for similar items in EconPapers)
Date: 2014-06
New Economics Papers: this item is included in nep-ene, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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