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Volatility linkages among the returns of oil, gold, and stock market: Evidence from Thailand |
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| รหัสดีโอไอ | |
| Creator | Surachai |
| Title | Volatility linkages among the returns of oil, gold, and stock market: Evidence from Thailand |
| Contributor | Parichat Sinlapates, Nattawadee Romklang |
| Publisher | Asia-Pacific Journal of Science and Technology |
| Publication Year | 2564 |
| Journal Title | Asia-Pacific Journal of Science and Technology |
| Journal Vol. | 26 |
| Journal No. | 4 |
| Page no. | 9-Jan |
| Keyword | Oil, Gold, Stock, Volatility spillover, BEKK-GARCH, Thailand |
| URL Website | https://www.tci-thaijo.org/index.php/APST |
| Website title | https://so01.tci-thaijo.org/index.php/APST/article/view/249731 |
| ISSN | 2539-6293 |
| Abstract | This paper examines the return and volatility linkages between oil, gold, and Thai stock markets by applying the multivariate Baba-Engle-Kraft-Kroner (BEKK)-GARCH model to daily data from January 1, 1996 to December 31, 2020. To better understand the impact of the global financial crisis, we divide the data into three sub-periods: the pre-crisis period (January 1, 1996 to December 31, 2006), the crisis period (January 1, 2007 to December 31, 2009), and the post-crisis period (January 1, 2010 to December 31, 2020). We find that the return spillovers vary across the whole and three sub-periods for oil, gold, and stock. Moreover, the volatility transmissions are found to be different during the whole and three sub-periods for oil, gold, and stock in Thailand. These findings provide useful information to investors, portfolio managers, and policymakers regarding portfolio diversification and risk management. |
