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Wireless Personal Communications
Published in: Wireless Personal Communications 4/2020

18-03-2020

A Bayesian Approach for Dynamic Variation of Specific Sectors in Stock Exchange: A Case Study of Stock Exchange Thailand (SET) Indexes

Authors: Paponpat Taveeapiradeecharoen, Nattapol Aunsri

Published in: Wireless Personal Communications | Issue 4/2020

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Abstract

This paper aims to investigate the identification of sectors of stock exchange that were positively or negatively driven by fundamental monetary tools. A Bayesian approach for dynamic model averaging (DMA) algorithm is analyzed and implemented to deliver the results for identifying what actually drives specific sector of stock exchange, where the posterior inclusion probability is crucial quantity for this investigation. Stock Exchange Thailand (SET) indexes was used as a case study for this work. The predictors used in this paper are: borrowing rate: BR, policy rate: PR, treasury bill rate: TBR, government bond yield: GBYLT, minimum overdraft rate: MOR, minimum loan rate: MLR, minimum retail rate: MRR, discount rate: DISR, savings rate: SAVER, deposit rate: DEPR and lending rate: LENDR. These factors are considered as the most important monetary policy tools from Bank of Thailand. The empirical results demonstrated that each SET index sector responses to those economic variables differently. Some of them are not actually related for specific point of time; some other times, however, they affect SET indexes. Filtered time-varying parameters allow us to indicate the relationship between stock price return and interest rates. According to statistical evidence, we found that the relationship is as of the time-varying characteristic and is unable to absolute identify whether it is positively or negatively related to stock price return for each sector. The impact of a sector on SET indexes depends on a period of time and can also be considered by using seasoning parameters.
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Appendix
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Metadata
Title
A Bayesian Approach for Dynamic Variation of Specific Sectors in Stock Exchange: A Case Study of Stock Exchange Thailand (SET) Indexes
Authors
Paponpat Taveeapiradeecharoen
Nattapol Aunsri
Publication date
18-03-2020
Publisher
Springer US
Published in
Wireless Personal Communications / Issue 4/2020
Print ISSN: 0929-6212
Electronic ISSN: 1572-834X
DOI
https://doi.org/10.1007/s11277-020-07217-1

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