Abstract
This study found the evidences of the dependence between the volatility of stock price index returns and the volatility of exchange rate returns measured against US Dollar and Japanese Yen, and the independence between the volatility of stock price index returns and the volatility of exchange rate returns measured against Euro, in both Thailand and Singapore, under the operation of QE programs. It also found that all bivariate copula of the volatility of stock price index returns—the volatility of Thai Baht/US Dollar exchange rate returns, and the volatility of stock price index returns—the volatility of Thai Baht/Japanese Yen of Thailand, had a degree of dependence greater than that of Singapore. This can be explained that the QE programs can affect capital flows to Thailand and Singapore, and also may have different effects on the volatility of each exchange rate returns and the volatility of stock price index returns, of the individual country. This information can be useful for policy makers and investors so that they can directly focus on avoiding adverse implications from the operation of QE programs, in terms of the risks incurred from the volatility of exchange rate returns and the volatility of stock price index returns.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsNotes
- 1.
The current exchange rate or the rate of a foreign-exchange contract for immediate delivery.
References
Fawley, B.W., Neely, C.J.: Four stories of quantitative easing. Fed. Reserv. Bank of St. Louis Rev. 95(1), 51–88 (2013)
Neely, C.J.: Unconventional Monetary Policy Had Large International Effects. Federal Reserve Bank of St. Louis Working Papers, 2010
Meaning, J., Zhu, F.: The impact of recent central bank asset purchase programmes. BIS Q. Rev. 73–83 (2011)
Fratzscher, M., Duca, M.L., Straub, R.:On the international spillovers of US quantitative easing. Working Paper Series No. 1557 June 2013, European Central Bank (2013)
Cho, D., Rhee, C.: Effects of quantitative easing on asia: capital flows and financial markets. ADB Economics Working Paper Series No. 350, June, 2013
Chen, Q., et al.: International spillovers of central bank balance sheet policies. BIS Papers No. 66. Bank for International Settlements (BIS). Basel
Bank of Thailand: Unconventional monetary policy from the beginning to the countdown. Prasiam 1, 3–9 (2014)
Kanas, A.: Volatility spillovers between stock returns and exchange rate changes: International evidence. J. Bus. Financ. Account. 27(3&4), 447–467 (2000)
Sriboonchitta, S., Nguyen, H.T., Wiboonpongse, A., Liu, J.: Modeling volatility and dependency of agricultural price and production indices of Thailand: static versus time-varying copulas. Int. J. Approx. Reason. 54(6), 793–808 (2013)
Puarattanaarunkorn, O., et al.: Dependence structure between TOURISM and TRANS sector indices of the stock exchange of Thailand. Thai J. Math. Spec. Issue: Copula Math. Econ. 199–210 (2014)
Kiatmanaroch, T., et al.: Will QE change the dependence between Baht/Dollar exchange rates and price returns of AOT and MINT? Thai J. Math. Spec. Issue: Copula Math. Econ. 129–144 (2014)
Autchariyapanitkul, K., et al.: Portfolio optimization of stock returns in high-dimensions: a copula-based approach. Thai J. Math. Spec. Issue: Copula Math. Econ. 11–23 (2014)
Sriboonchitta, S., et al.: A vine copula approach for analyzing financial risk and co-movement of the Indonesian, Philippine and Thailand stock markets. In: Huynh, V.N., Kreinovich, V., Sriboonchitta, S. (eds.) Modeling Dependence in Econometrics. AISC, vol. 251, pp. 245–257. Springer, Heidelberg (2014)
Boubaker, A., Salma, J.: Greek crisis, stock market volatility and exchange rates in the European monetary union: a var-garch-copula model. Global J. Manag. Bus. Res.: C Financ. 14(2), 50–60 (2014)
Lin, F.: Tail dependence between stock index returns and foreign exchange rate returns a copula approach. In: Vogel, R. (eds.) Proceedings of the New York State Economics Association, vol. 5, pp. 129–139. New York (2012)
Ning, C.: Dependence structure between the equity market and the foreign exchange market—a copula approach. J. Int. Money Financ. 29, 743–759 (2010)
Sklar, A.: Fonctions de rpartition n dimensions et leurs marges. Publications de l’Institut de Statistique de L’Universit de Paris 8, 229–231 (1995)
Genest, C., Ghoudi, K., Rivest, L.P.: A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82, 543–552 (1995)
Akaike, H.: Information theory and an extension of the maximum likelihood principle. In: Petrov, B.N., Csaki, F. (eds.) Proceedings of the Second International Symposium on Information Theory; 1973; Budapest, Akademiai Kiado 267–281 (1973)
Trivedi, P.K., Zimmer, D.M.: Copula modeling: an introduction for practitioners. Found. Trends Econ. 1(1), 1–111 (2005)
Nelson, R.B.: An Introduction to Copulas, 2nd edn. Springer, New York (2006)
Fisher, M.: Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation. Discussion Papers, University of Erlangen-Nuremberg, Germany (2003)
Schepsmeier, U., Brechmann, E.C.: Statistical inference of C- and D-vine copulas. http://cran.r-project.org/web/packages/CDVine/index.html (2012)
Acknowledgments
This work was supported by Faculty of Management Sciences, Khon Kaen University, Thailand.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Puarattanaarunkorn, O., Kiatmanaroch, T., Sriboonchitta, S. (2016). Dependence Between Volatility of Stock Price Index Returns and Volatility of Exchange Rate Returns Under QE Programs: Case Studies of Thailand and Singapore. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Causal Inference in Econometrics. Studies in Computational Intelligence, vol 622. Springer, Cham. https://doi.org/10.1007/978-3-319-27284-9_27
Download citation
DOI: https://doi.org/10.1007/978-3-319-27284-9_27
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-27283-2
Online ISBN: 978-3-319-27284-9
eBook Packages: EngineeringEngineering (R0)