Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand
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บทคัดย่อ
This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and stock markets by taking into account the impact of the 2008 global financial crisis. Daily data from crude oil market and the Thai stock market during February 6, 2004 and September 14, 2015 are used in the analyses. The whole sample is divided into the pre- and post- crisis periods. The results show that there are no spillover effects between oil price and stock returns in the pre-crisis period. In the post-crisis period, there are unilateral spillover effects from oil price to some equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock market return. The findings in this paper are crucial for financial market participations to understand shock and volatility transmissions from oil to stock markets such that portfolio management should take into account the presence of oil price risk.
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สงวนลิขสิทธิ์ © 2553 คณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ
คณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ จัดพิมพ์วารสารเศรษฐศาสตร์และนโยบายสาธารณะ เพื่อเผยแพร่บทความวิชาการทางเศรษฐศาสตร์ นโยบายสารธารณะ และสาขาอื่นๆที่เกี่ยวข้อง ทัศนะและข้อคิดเห็นใดๆ ที่ปรากฏในวารสารเป็นความคิดเห็นส่วนตัวของผู้เขียน โดยบทความที่ได้รับการตอบรับจะถือเป็นลิขสิทธิ์ของคณะเศรษฐศาสตร์ มหาวิทยาลัยศรีนครินทรวิโรฒ
บรรณาธิการ ผู้ช่วยศาสตราจารย์ ดร.ณัฐญา ประไพพานิช
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