The Relationship between Exchange Rate and Return of the Stock Exchange of Thailand

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Published: May 13, 2017
Keywords:
EGARCH models Exchange Rates Stock Exchange of Thailand Volatility

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Surachai Chancharat
Hataitip Sangsai
Kamonchai Rujirarangsan

Abstract

The objective of this paper is to study a relationship between exchange rate (US Dollar/Thai Baht) and return of Stock Exchange of Thailand (SET) index by using the Exponential Generalized Autoregressive Conditional Heteroskedasticity model (EGARCH). The study analyzed on daily data basic between January, 2002 to April, 2014. As a result, exchange rate (US Dollar/Thai Baht) by adding the return of Stock Exchange of Thailand (SET) index as the dependent variable shown that the coefficient of asymmetry was 0.084627 with significance at p<0.01 and the persistence was 0.060996 with significance at p<0.01. In further study, moreover, this paper could be used the EGARCH model to compare on several GARCH model series, in order to, precisely estimated of the forecast of exchange rate and return of SET index.

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How to Cite
Chancharat, S., Sangsai, H., & Rujirarangsan, K. (2017). The Relationship between Exchange Rate and Return of the Stock Exchange of Thailand. WMS Journal of Management, 6(2), 1–6. Retrieved from https://so06.tci-thaijo.org/index.php/wms/article/view/86308
Issue
Vol. 6 No. 2 (2017): May - August 2017
Section
Research Articles-Academic Articles
Author Biographies

Surachai Chancharat

Faculty of Management Sciences, Khon Kaen University

Hataitip Sangsai

Faculty of Management Sciences, Khon Kaen University

Kamonchai Rujirarangsan

Faculty of Management Sciences, Khon Kaen University

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