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首页> 外文会议>Proceedings of the International Conference on E-Business and E-Government >An Influence of the High Oil Price Periods for Two Stock Market Returns: Empirical Study of the Thailand and the Philippine's Stock Markets
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An Influence of the High Oil Price Periods for Two Stock Market Returns: Empirical Study of the Thailand and the Philippine's Stock Markets

机译：高油价时期对两种股票市场收益的影响：对泰国和菲律宾股票市场的实证研究

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摘要

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 Philippineȁ9;s stock markets under the oil price returns of the high oil price periods. The empirical result also indicates that the Thailand and the Philippineȁ9;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 Thailandȁ9;s and the Philippineȁ9;s stock markets do not have asymmetrical effects. The return volatility of the Thailandȁ9;s and Philippineȁ9;s stock markets do not receive the influence of the high oil price periods. The variation risks of the Thailandȁ9;s and the Philippineȁ9;s stock market returns do not receive the impact of the oil price return volatility ratesȁ9; square item. But the two stock markets do have the higher variation risks under the high oil price periods.
机译：实证结果表明，在高油价时期的油价回报下，动态条件相关（DCC）和二元IGARCH（1，1）模型适用于评估泰国与菲律宾ȁ9股票市场的关系。实证结果还表明，泰国和菲律宾的股票市场是正相关的。相关系数的平均估计值等于0.334，这意味着两个股票市场具有同步影响。此外，实证结果还表明，泰国9国和菲律宾9国的股票市场没有不对称效应。泰国9国和菲律宾9国股市的收益波动率并未受到高油价时期的影响。泰国9和菲律宾9的股票市场收益的变动风险未受到油价收益波动率9的影响;方形项目。但是，在高油价时期，两个股票市场的变动风险确实较高。

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