Asymmetric Effects of Energy Prices’ Shock on Thai Economy


ผศ.ดร.ทัศนีย์ สติมานนท์, นายมณเฑียร สติมานนท์


Global for Local, Local for Global: Global University Network for Sustainable Development Goals


There is a strong presumption that oil prices affect stock market returns However, the empirical evidences on the impact of the oil price shocks on stock has been asymmetric and mixed. Most empirical papers use the change in the price of oil that is driven by either demand or supply shocks to explain such phenomenon. However, the roles of government intervention in the domestic oil market has rarely been incorporated. This paper evaluates the effects of oil price shocks on Thai stock market using Mixed Data Sampling (MIDAS) regression models. The models of aggregate and sectoral stock markets are estimated to study the effects of oil price shocks on Thai stock markets. MIDAS model has been adopted since it can involve different frequency in both dependent and independent variables; that is, independent variables (daily) can have higher frequency than dependent variable (monthly). Thus, MIDAS model is suitable for the case of Thailand given that the intervention oil price has been implemented on a frequent but irregular basis. Estimated results show that the responses of Thai stock market return to oil price shocks differ greatly, depending not only bust or boom state of stock and whether the shock is driven by demand or supply but also the government intervention in the oil market with government intervention. the oil price shocks asymmetrically affect aggregate stock market returns.

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