Volatility Index and Heterogeneous Responses of Industry Group Indexes in the Stock Exchange of Thailand
Post by MSF Chula at Monday, 27 August 2018 02:37 PM

This study aims to find the difference of change in eight industry group indexes return in the Stock Exchange of Thailand from a change in investors’ sentiment represented by Volatility index by using weekly data from January 2008 to December 2017.
The results of impulse-response function from vector autoregression shows heterogeneously statistical significant impact of percentage change in return of volatility index to industry indexes in the Stock Exchange of Thailand in opposite direction. Resource sector index, industry sector index and financial sector index are the most sensitive industries compare to the other five industries. The persistence of shock from investors’ sentiment also longer for these three industries which is about two weeks compare to one week for the other five industries. This result is in complies with hypothesis that the more participation by foreign investors in particular industry creates a linkage through global stock markets thus more sensitive to global investors’ sentiment. The robustness test both during period with financial crisis and during period without financial crisis show the same results with shorter persistent length impact from percentage change in volatility index but the order of impact still consistent with full-length study.
This study will fill the gap of prior studies, which is study backward-looking sentiment by a construction of sentiment proxy index effect on the return of Stock Exchange of Thailand index, by investigating the forward-looking sentiment represented by volatility index. This study will benefit for investors who are planning to invest in Thailand’s stock market.

Last updated at Monday, 27 August 2018 02:37 PM