An Influence of the High Oil Price Periods for Two Stock Market Returns: Empirical Study of the Thailand and the Philippine's Stock Markets

Abstract

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate IGARCH (1, 1) model is appropriate in evaluating the relationship of the Thailand and the Philippine's stock markets under the oil price returns of the high oil price periods. The empirical result also indicates that the Thailand and the Philippine's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.334, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand's and the Philippine's stock markets do not have asymmetrical effects. The return volatility of the Thailand's and Philippine's stock markets do not receive the influence of the high oil price periods. The variation risks of the Thailand's and the Philippine's stock market returns do not receive the impact of the oil price return volatility rates' square item. But the two stock markets do have the higher variation risks under the high oil price periods.