Main Article Content
This research studies the effects of the oil price and foreign exchange rate volatilities on the stock
returns in Thailand. The weekly data started from January 2008 to May 2018, explored in 8 industries. The outcomes
were divided by 3 conclusions. Firstly, the result shows that the oil price changing is the only factor with a
significant positive impacts on every stock returns. The RESOURCE is the highest value effects, but the lowest
value shows in the TECH. The foreign exchange rate is a negative significant on every stock market returns. The
highest group are FINCIAL and RESOURCE, but the lowest is the TECH group of stock. Secondly, Generalised
Autoregressive Conditional Heteroscedasticity ( GARCH) model provided similar qualitative results with
coefficients typically larger for lag volatility than for past shock. Lastly, dynamic conditional correlation (DCC)
shows the result that a “CRUDE-STOCK” pairing is the only positive zone, implying that an increase (decrease) in oil
prices creates an increase (decrease) in stock market returns and vice versa. However, a “STOCK-FX” pairing shows a
negative correlation pairing. In conclusion, depreciation ( appreciation) in local currency impacts on stock marke treturns, creating a decrease (increase).
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Social Research Insitution, Chiangmai University
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