A DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand’s Stock Markets

Abstract

This paper uses the Singapore and the Thailand's stock prices of material from January 4, 2000 to July 20, 2007, discussing the model construction and their associations of between Singapore and Thailand's stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Singapore and the Thailand's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Singapore and Thailand's stock market returns exists the positive relations- namely two stock market return's volatility are synchronized influence, the average estimation value of the DCC coefficient of two stock market returns equals to 0.3876. Also, Singapore and Thailand's stock markets do not have the asymmetrical effect in the research data period. These evidences may suggest stock market investors or international fund managers- before investing in Singapore must consider the Thailand stock price return's volatility risk and its connection. Therefore, in the stock market, investors and managers may not neglect the influence of the foreign country's stock market return volatility behavior; otherwise, his decision will not achieve the anticipated effect.