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Asymmetric volatility of the Thai stock market: evidence from high-frequency data

Supachok Thakolsri, Yuthana Sethapramote and Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: This study employs the daily data of the Stock Exchange of Thailand to test for the leverage and volatility feedback effects. The period of investigation is during January 4, 2005 to December 27, 2013, which includes the Subprime crisis period in the US that might affect the volatility of stock market return in emerging stock markets. The results from this study show that the US subprime crisis imposes a minimal positive impact on volatility. In addition, the estimations of the three parametric asymmetric volatility models give the results showing some evidence of the volatility feedback and leverage effects. The findings give implications for portfolio diversification and risk management.

Keywords: Asymmetric volatility; feedback effect; leverage effect; emerging stock market (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2015-10
New Economics Papers: this item is included in nep-fmk, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:67181

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