Abstract
This study aims to investigate the association between Thai stock market and the commodity markets using twenty-year historical monthly data from January 2000 to January 2020. Commodity prices used in the research consist of the prices of crude oil, natural gas, liquified natural gas, commodity agricultural raw materials, and gold. The traditional VAR is used in analyzing the relations between the commodity prices and stock index. The findings show how changes in each commodity prices had significant influence on the stock market. Both evidences of a long-run and a short-run impacts are examined to determine if the past values of changes in the prices of energy, agricultural raw materials, and gold are important in predicting the developments in the stock market or not. The results from the study provide the evidence that Thai stock market is responsive to energy-related, precious metal, and commodity-related indicators. Keywords: Energy price Commodity price, Gold price, Stock return, Granger Causality, Vector Autoregressive JEL Classifications: E44, G10, Q43 DOI: https://doi.org/10.32479/ijeep.10298
Highlights
With an increasing demand in terms of consumptions and investments in commodities such as crude oil, gold, and agricultural products, the knowledge about price behavior of commodity prices and the volatility transmission mechanism between commodity markets and the stock markets are important and can be applied in decision making process for different groups of participants including governments, traders, portfolio managers, consumers, and producers
Some literatures suggested that oil price risk impacts stock price returns in both developed and emerging markets including Chang et al (2010), Hamma et al (2014), Caporale et al (2015), Gupta (2016), Tian (2016), Ulussever (2017) while others suggested that the results were mixed or there was no significant influence of oil price risk on stock markets. (Alom, 2015; Bastianin et al, 2016; Degiannakis et al, 2018; Yıldırım et al, 2018; Alio et al, 2019; Lv et al, 2019; Singhal et al, 2019) Some evidence regarding the latter case is presented in the following paragraph
Empirical evidence in the prior studies mostly focused on the crude oil price for the commodity markets in countries other than Thailand
Summary
With an increasing demand in terms of consumptions and investments in commodities such as crude oil, gold, and agricultural products, the knowledge about price behavior of commodity prices and the volatility transmission mechanism between commodity markets and the stock markets are important and can be applied in decision making process for different groups of participants including governments, traders, portfolio managers, consumers, and producers. Some literatures suggested that oil price risk impacts stock price returns in both developed and emerging markets including Chang et al (2010), Hamma et al (2014), Caporale et al (2015), Gupta (2016), Tian (2016), Ulussever (2017) while others suggested that the results were mixed or there was no significant influence of oil price risk on stock markets. Singhal et al (2019) have studied the association between gold prices, oil prices, and equity market in Mexico and found that both gold prices and energy prices have significant impact on equity markets, gold prices have a more positive effect on equities than oil. In the Chinese markets, Lv et al (2019) employed GARCH-M model to
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