Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?

Jiranyakul, Komain

doi:10.2139/ssrn.2792495

Cited by 1 publication

(1 citation statement)

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“…In the conventional index, materials and industrial sectors have higher share. These sectors are recognized in the financial literature as highly sensitive to financial contagion with the U. S. stock markets (Lim, 2011;Lin, 2012;Jiranyakul, 2016). In this regard, Vasquez and Pacheco (2021) found the Mexican material sector has shown higher correlation with the S&P500.…”

Section: Discussionmentioning

confidence: 99%

ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses

Sosa

Ortíz

Cabello

2022

REMEF

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We analyze the differential influence of Mexican oil price, exchange rate and S&P 500 Index on the Mexican Stock Exchange: S&P/BMV IPC ESG Tilted Index (sustainable stock market index), and on the S&P/BMV IPC (General stock market index) in two different regimes. First, we estimate the conditional volatility of the series using a univariate GARCH model under the t-Student distribution. Second, a Markov Switching Vector Autoregressive model is developed. The evidence identifies sustainable asset performance, risk, and interaction with other regular assets. The sustainable index is more vulnerable to the foreign exchange market and to the U.S. stock market, especially in periods of turbulence. Only the S&P 500 shows a statistically significant impact on the overall Mexican index, for both states high and low volatility. Oil prices do not have a significant impact on the Mexican indices analyzed. Evidence allows us to recommend a currency hedging in ESG investments. Originality relies on empirical approaches and the study of ESG index in an emerging market. Limitations are related with the scarce information and limited access to ESG factors data. We conclude that investment strategies should be different during calm and turmoil periods.

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Section: Discussionmentioning

confidence: 99%