Study of the volatility of external factors affecting the SET index

  • ปิติวรรธน์ ธนาเลิศกุลธรณ์
  • สมพร ปั่นโภชา
Keywords: Volatility Shock, Impulse Response Analysis, Variance Decomposition

Abstract

This research studied the relationship between the Stock Exchange of Thailand Index and some selected foreign Indices using Vector Autoregressive Model(VAR) in order to analyze movements of SET Index when there were volatility shocks to External factor includes Gold Spot Index, S&P500 Index ,Shanghai Stock Exchange Index, MSCI World Index and West Texas Intermediate Index. Analyzing daily data from April 30, 2017 to April 30, 2020.

The results form Impulse Response analysis approach showed that only 1 S.D. shock to Gold Spot Index, S&P500 Index, Shanghai Stock Exchange Index itself triggered an immediate decrease in the price of SET Index until the effect died out, while MSCI World Index and West Texas Intermediate Index itself triggered an immediate decrease in the price of SET Index until the effect died out. The outcome also coincided with Variance Decomposition approach. The fluctuation in the price of SET index close to Impulse Response's analysis.

Published
2020-08-19

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