Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
Komain Jiranyakul
MPRA Paper from University Library of Munich, Germany
Abstract:
This study examines the sensitivity of the Thai stock market to nominal and real interest rate, and exchange rate risks during January 2005 and December 2013 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.
Keywords: Equity index returns; interest rate risk; exchange rate risk; quantile regression (search for similar items in EconPapers)
JEL-codes: C21 G12 G32 (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)
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https://mpra.ub.uni-muenchen.de/71602/1/MPRA_paper_71602.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/72175/1/MPRA_paper_72175.pdf revised version (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71602
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