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

Listed author(s):
  • Jiranyakul, Komain

This study examines the sensitivity of the Thai stock market to nominal and real interest rate, and exchange rate risks during January 2005 and December 2013 using quantile regression. The analysis focuses on sectoral level and one main index in the stock market. The empirical results show that the stock market is more sensitive to exchange rate risk than interest rate risk. However, the impacts of these risks are different across equity index returns. The results from this study give implication for risk management of portfolio mangers and investors.

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File URL: https://mpra.ub.uni-muenchen.de/71602/1/MPRA_paper_71602.pdf
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File URL: https://mpra.ub.uni-muenchen.de/72175/1/MPRA_paper_72175.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 71602.

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Date of creation: May 2016
Handle: RePEc:pra:mprapa:71602
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