Browsing by Author "Supachok Thakolsri"
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The empirical study of the stock returns and the volatility of the stock exchange of Thailand Supachok Thakolsri; Komain Jiranyakul (National Institute of Development Administration, 2015)
This study investigates the relationship between equity market risks and returns in various aspects. First, the implied volatility transmissions between international stock markets--the United States, European countries, Japan, and Thailand--are examined. The results from the VAR analysis with its application, including the causality tests, show that there exists a bi-directional causality between the returns of the SET50 index and its implied volatility such that both the leverage effect (return-driven) hypothesis and the volatility feedback ...