Political risk is the important determinant for stock price in emerging country
than in developed country, Diamonte et al, (1996). Thailand, one of the emerging
markets in South East Asia, has been faced with the problem of political demonstrations
for years. The political unrest has already hit tourism and related industries, shaken
public confidence in major government-support project such as mass transit expansion
as well as impact investor and consumer’s confidence. This research is devoted to
examine whether the demonstration really caused negative impact to stock market, and
which demonstrations impact to the stock market most. This study sample uses daily
data from Stock Exchange of Thailand ranged from 2008 to 2015 covered three major
political change groups by employing EGARCH model. From the empirical result, the
first demonstration under group of People's Alliance for Democracy(PAD) caused
negative return and increase volatilities to the market significantly a 1% level. The second
demonstration (UDD) had no effect to the return but increased volatilities at 5% significant
level. Last, the third demonstration (PDRC) had no effect to both market return and volatilities.
