This study examines the impact of the change of international oil price to sector indices in Stock Exchange of Thailand during year 2007 to 2012. The previous studies have supported that sector returns could be affected by future oil price returns and conditional volatility of future oil price return. Moreover, this study also extended the scope of finding by further adding the effect of normalizing exchange rate term (USDTHB) to local currency into mean augmented Fama-French model. The results show significant impact by both oil price return and oil price conditional volatility in particular sectors return in Stock Exchange of Thailand. Both results from “with” and “without” currency normalization show slightly different result in terms of coefficient significant level. The impact magnitude from conditional volatility on oil price is also higher than those from oil price return.
World oil price, volatility and industry stock returns: Evidence from Thailand
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM
Last updated at Tuesday, 8 August 2017 10:35 AM