The relationship between stock price indices and the foreign exchange market of Thailand and ASEAN countries

Abstract

The objective of this study is to examine the relationship of Thailand and ASEAN countries, specifically focusing on two markets: the stock market and the foreign exchange market. The ASEAN countries included in the study are Indonesia, the Philippines, Singapore, Malaysia, and Vietnam. The study uses daily data from January 2002 to December 2022, covering a period of 20 years. The study utilizes the DCC-GARCH model for analysis, with the EVIEWS software as the analytical tool.

The study reveals two relationships in the stock market: 1) Thailand has the most significant impact on the Philippines, and 2) Malaysia has the most significant impact on Thailand. There are also two relationships in the foreign exchange market: 1) Thailand has the most significant impact on the Philippines, and 2) Singapore has the most significant impact on Thailand. Additionally, the study shows a positive relationship between the volatility of the studied countries by considering Dynamic Conditional Correlation (DCC). Specifically, in the stock market, Thailand has the highest correlation with Indonesia's volatility, while in the foreign exchange market, Thailand has the highest correlation with Singapore's volatility. As mentioned earlier, it can be observed that there is a significant interconnection between Thailand and ASEAN countries. So, the results of their relationships will be beneficial to analyze the trend of investment between Thailand and ASEAN countries for a free market in the future.