An Impact of Global Energy Index and Global Material Index Volatilities in Southeast Asia Two Stock Markets: Empirical Study of Thailand and Malaysia Markets

Abstract

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of Thailand's and Malaysia's stock markets. The empirical result also indicates that the Thailand's and the Malaysia's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4107, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand's and the Malaysia's stock markets have an asymmetrical effect. The return volatility of the Thailand and the Malaysia stock markets receives the influence of the positive and negative values of the global energy index and the global material index volatility. For example, under the good news of global energy index and the global material index markets, the empirical result also shows that the Thailand and the Malaysia stock markets can reduce the fixed variation risk.

Causality between Selected Energy Companies’ Price Indexes and Barel Oil Prices

“…As a result of the study by Horng and Tsai (2016), it was found that the volatility of the Thai and Malaysian stock markets took the effect of the positive and negative values of the volatility of the global energy index and the global material index. As a result of his study, Dutta (2017) found that the new energy stock market is highly sensitive to the impact of the crude oil price volatility index.…”