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.