Abstract
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Thailand’s and the Malaysian’s stock markets with two factors of gold price and oil price markets. The empirical result also indicates that the Thailand’s and the Malaysian’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4732, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand’s and the Malaysian’s stock markets have an asymmetrical effect. The return volatility of the Thailand and the Malaysian stock markets receives the influence of the positive and negative values of the gold price and the oil price volatility rates.
WANN-JYI HORNG, MING-CHI HUANG. (2014) Threshold Model of Gold and Oil Price Volatility in Southeast Asia Two Stock Markets: Empirical Study of Thailand and Malaysian Countries, International Review of Management and Business Research, Volume 3, Issue 3.
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