示威是否會毀壞國家的經濟? 泰國股市之實證研究

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Title:	示威是否會毀壞國家的經濟? 泰國股市之實證研究 Have the Demonstrations Ruined the Country Economy: An Evidence fromThailand Stock Market Exchange (SET)
Authors:	李雯 Tauvarodama, Benchawan
Contributors:	財務金融學系
Keywords:	Stock Exchange of Thailand (SET) EGARCH demonstrations political risk stock volatilities
Date:	2015
Issue Date:	2015-07-08 15:21:32 (UTC+8)
Abstract:	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.
Appears in Collections:	[Department of Banking & Finance ] Thesis

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