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Publication
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| Research Title |
The Effects of Macroeconomic Factors on Stock Returns: The case of The Stock Exchange of Thailand |
| Date of Distribution |
6 July 2018 |
| Conference |
| Title of the Conference |
SIBR 2018 Conference on Interdisciplinary Business and Economics Research |
| Organiser |
Society of Interdisciplinary Business Research |
| Conference Place |
Ark Hotel Shinsaibashi (アークホテル大阪心斎橋), Osaka, Japan |
| Province/State |
Osaka, Japan |
| Conference Date |
5 July 2018 |
| To |
6 July 2018 |
| Proceeding Paper |
| Volume |
7 (2018) |
| Issue |
3 (July) |
| Page |
s18-172 |
| Editors/edition/publisher |
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| Abstract |
This study aims to analyze the relationship between macroeconomic factors and
stock returns in the Thai stock market. For this study empirically investigates the
volatility pattern of the Stock Exchange of Thailand based on time series data which
consists of daily closing prices of SET Index for sixteen years period from 1 st January
2002 to 31 st December 2017, the data was divided into three periods, Pre-crisis period
from 1 st January 2002 to 16th September 2008, During Hamburger crisis from 17th
September 2008 to 31 st December 2009 and the last is Post-crisis from 1 st January 2010
to 31 st December 2017. The analysis has been done using both symmetric and
asymmetric models of Generalized Autoregressive Conditional Heteroscedastic
)GARCH(. As per Root Mean Squared Error (RMSE) Mean Absolute Percent Error
)MAPE( and Mean Absolute Error (MAE). The results show that the best GARCH
type models to explain relation between macroeconomic factors and stock returns are
different in the study period, that symmetric and asymmetric GARCH models have
different performances in different time frames. In general, for the Pre-crisis, GARCH
(1,1) and TGARCH (1,1) are most suitable. During crisis, TGARCH (1,1) and
GARCH (1,1)-M are most suitable. And the last Post-crisis TGARCH (1,1) and
EGARCH (1,1) are most suitable. It’s depends on the set of factors to be studied. The
results also showed that the macroeconomic factors correlated with the stock returns of
the Stock Exchange of Thailand, which significantly differed. |
| Author |
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| Peer Review Status |
มีผู้ประเมินอิสระ |
| Level of Conference |
นานาชาติ |
| Type of Proceeding |
Full paper |
| Type of Presentation |
Oral |
| Part of thesis |
true |
| Presentation awarding |
false |
| Attach file |
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| Citation |
0
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Journal Publication
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