Macroeconomic News Announcement and Thailand Stock Market

• المؤلفون الرئيسيون: Saowaluk Duangin, Woraphon Yamaka, Jirakom Sirisrisakulchai, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043997859&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/58545
• المؤسسة: Chiang Mai University

© 2018, Springer International Publishing AG, part of Springer Nature. This paper investigates the effect of Thailand surprising macroeconomic news announcement on Thailand stock market. We adopt the MSGARCH-jump with augmented news intensity model, which is an extension to the original MSGARCH-jump...