Oil price shocks and sector returns in the stock exchange of Thailand
Issued Date
2019
Issued Date (B.E.)
2562
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Edition
Language
eng
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application/pdf
No. of Pages/File Size
119 leaves
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b207819
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ผลงานนี้เผยแพร่ภายใต้ สัญญาอนุญาตครีเอทีฟคอมมอนส์แบบ แสดงที่มา-ไม่ใช้เพื่อการค้า-ไม่ดัดแปลง 4.0 (CC BY-NC-ND 4.0)
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National Institute of Development Administration. Library and Information Center
Bibliographic Citation
Citation
Krit Theplib (2019). Oil price shocks and sector returns in the stock exchange of Thailand. Retrieved from: https://repository.nida.ac.th/handle/662723737/6411.
Title
Oil price shocks and sector returns in the stock exchange of Thailand
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Abstract
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 the Stock Exchange of Thailand (SET)
and on the SET index itself. We analyzed the trend of returns on each industry index
from July 2004 to September 2015 using daily data. Overall, we found significant
evidence that oil price shocks can alter volatilities of the eight industry indices in
terms of both direction and size.
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Description
Thesis (Ph.D. (Economics))--National Institute of Development Administration, 2019