Asymmetric Volatility of the Thai Stock Market. Evidence from High-Frequency Data

  • Supachok THAKOLSRI Public Enterprise Policy Office, Ministry of Finance, Thailand
  • Yuthana SETHAPRAMOTE School of Development Economics National Institute of Development Administration, Thailand
  • Komain JIRANYAKUL School of Development Economics National Institute of Development Administration, Thailand

Abstract

This study employs the daily data of the Stock Exchange of Thailand to test for the leverage and volatility feedback effects. The period of investigation is during January 4, 2005 to December 27, 2013, which includes the Subprime crisis period in the US that might affect the volatility of stock market return in emerging stock markets. The results from this study show that the US subprime crisis imposes a minimal positive impact on volatility. In addition, the estimations of the three parametric asymmetric volatility models give the results showing some evidence of the volatility feedback and leverage effects. The findings give implications for portfolio diversification and risk management.

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Published
2017-05-09
How to Cite
THAKOLSRI, Supachok; SETHAPRAMOTE, Yuthana; JIRANYAKUL, Komain. Asymmetric Volatility of the Thai Stock Market. Evidence from High-Frequency Data. Journal of Advanced Studies in Finance, [S.l.], v. 6, n. 2, may 2017. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/993>. Date accessed: 25 apr. 2019. doi: https://doi.org/10.14505//jasf.v6.2(12).02.
Section
Journal of Advanced Studies in Finance