The Factors Affecting Stock Market Volatility and Contagion.

      Аннотация: The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.

Ключевые слова: Contagion, South-east Asia, stock market, Thailand, Volatility