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

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  • Jiranyakul, Komain

Abstract

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.

Suggested Citation

  • Jiranyakul, Komain, 2016. "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper 71602, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:71602
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    More about this item

    Keywords

    Equity index returns; interest rate risk; exchange rate risk; quantile regression;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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