dcc and analysis of the exchange rate and the stock market returns’ volatility an evidence study of thailand countrydcc和分析汇率和股市回报率的波动性的证据研究泰国的国家.pdfVIP

iBusiness, 2010, 2, 218-222 doi:10.4236/ib.2010.23027 Published Online September 2010 (http://www.SciRP.org/journal/ib) DCC and Analysis of the Exchange Rate and the Stock Market Returns’ Volatility: An Evidence Study of Thailand Country Wann-Jyi Horng, Ching-Huei Chen Department of Hospital and Health Care Administration, Chia Nan University of Pharmacy Science, Tainan, China. Email: hwj7902@.tw, wilsonchen0831@.tw Received June 4th, 2010; revised July 9th, 2010; accepted August 10th, 2010. ABSTRACT This paper studies the relatedness and the model construction of exchange rate volatility and the Thailand’s stock mar- ket returns. Empirical results show that we can construct a bivariate IGARCH (1, 1) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Thailand’s stock market returns. The av- erage estimation value of the DCC coefficient for these two markets equals to –0.1650, this result indicates that the exchange rate volatility negatively affects the Thailand’s stock market. Empirical result also shows that there do not exist the asymmetrical effect on the Thailand’s exchange rate and Thailand’s stock markets. And the Japan’s stock re- turn volatility truly affects the variation risks of the Thailand stock market. Based on the viewpoint of DCC, the bivari- ate IGARCH (1, 1) model with a DCC has the better explanation ability compared to the traditional bivariate GARCH (1, 1) model. Keywords : Four Quadrant (4Q) Converter, Interlacing, Traction Systems, Power Quality Analysis 1. Introduction countries in the global economical financial system. In the year 2006, for example, the turnover of the Japan’s We know that Thailand belongs to the Buddhism country.