Now showing items 1-5 of 5

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    Oil price shocks and sector returns in the stock exchange of Thailand 

    Krit Theplib; Komain Jiranyakul (National Institute of Development Administration, 2019)

    This thesis is aimed to contribute to the literature through investigating linkages between the volatility of oil prices and Thailand stock market returns in various industries. Economic theories have established that oil price shocks could create chain reaction effects on the real economic activities. Theoretically, oil price shocks is one of the factors that impact the performance of the Thai stock market. In this thesis, the GARCH approach was employed to determine the impacts of the oil price shocks on each industrial sector listed on ...
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    Stock market bubbles, investment risk and the role of monetary policy in Thailand 

    Surakiat Kahaboonsirihansa; Komain Jiranyakul (National Institute of Development Administration. School of Development Economics., 2013)

    The dividend discounted models with rational expectation under a perfect expectation model; CAPM, ICAPM and APT are used for the study. The results show that there are no bubbles in Thailand under Engle and Granger co-integration test and
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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 ...
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    The foreign portfolio investment flows, stock prices and exchange rate before and after the global financial crisis : a comparative study between Korea and Thailand 

    Nathapong Rujiravanich; Komain Jiranyakul (National Institute of Development Administration, 2015)

    The purpose of the present study is to investigate the behavior of foreign flows and their impacts on the stock market, especially on stock prices and exchange rate. This research investigates the results of two Asian countries, Thailand and Korea, separating the analysis into three periods: pre-global financial crisis, global financial crisis and post-global financial crisis. The daily data are used with a structural VAR model with three endogenous variables: stock returns, currency returns and foreign normalized net purchases ...
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    Time-varying systematic risk in the stock exchange of Thailand : Evidence from multivariate garch and kalman filter estimates 

    Muttalath Kridsadarat; Komain Jiranyakul (National Institute of Development Administration, 2015)

    The purpose of this study was to use multivariate GARCH and the Kalman filter to estimate the time-varying systematic risk or beta. Much research has found that estimating systematic risk with a market model using the traditional regression approach violated classical assumptions regarding both the stationary assumption and independent identically distributed of the innovations. This study focuses on using various models of multivariate GARCH and the Kalman filter to improve this beta estimation. As the GARCH model is a popular model used ...