The Spillover Effects of Global Economic Policy Uncertainty (GEPU) on Emerging Equity Markets: Evidence from Thailand

Authors

  • อัสมา โมรา นักศึกษาระดับมหาบัณฑิต คณะพัฒนาการเศรษฐกิจ สถาบันบัณฑิตพัฒนบริหารศาสตร์ 118 ถนนเสรีไทย แขวงคลองจั่น เขตบางกะปิ กรุงเทพมหานคร 10240
  • ยุทธนา เศรษฐปราโมทย์ School of Development Economics, National Institute of Development Administration

Keywords:

Economic Policy Uncertainty, Spillover, Stock Exchange of Thailand

Abstract

This paper examines the spillover effects of Global Economic Policy Uncertainty (GEPU) index and other global risk factors, i.e. CBOE Volatility Index (VIX index), oil prices and gold prices, on the Stock Exchange of Thailand (SET). The empirical results show that both GEPU and VIX indices has significant impacts on the returns of stock market in Thailand before 2010. After 2010, GEPU have marginal effects on only the market returns. The effects of GEPU on the stock return are not statistically significant afternoon 2010. However, the VIX index still significantly affect the return and volatility of Thai stock market. These results provide supporting evidence that the VIX index is the most important indicators for the transmission of risks in international stock markets. However, the GEPU could also provide additional sources of spillover effects when GEPU move in the same direction with the VIX index. Finally, the spillover effects of VIX and GEPU are also found in the sectoral indices. The spillover effect of the resource sector is highest among the industrial indices in SET.

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Published

2019-08-31

Issue

Vol. 23 No. 2 (2019): May - August

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Articles

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