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Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/58545
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dc.contributor.authorSaowaluk Duanginen_US
dc.contributor.authorWoraphon Yamakaen_US
dc.contributor.authorJirakom Sirisrisakulchaien_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.date.accessioned2018-09-05T04:26:08Z-
dc.date.available2018-09-05T04:26:08Z-
dc.date.issued2018-01-01en_US
dc.identifier.issn16113349en_US
dc.identifier.issn03029743en_US
dc.identifier.other2-s2.0-85043997859en_US
dc.identifier.other10.1007/978-3-319-75429-1_34en_US
dc.identifier.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043997859&origin=inwarden_US
dc.identifier.urihttp://cmuir.cmu.ac.th/jspui/handle/6653943832/58545-
dc.description.abstract© 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 for switching across two regimes. This model was applied to high-frequency data set from January 2011 through the end of December 2016. The results show that (1) MSGARCH-jump is better than MSGARCH-jump augmented with news intensity model, (2) 2-h data set is significant to explain the volatility in both models, (3) Thailand macroeconomic news such as foreign trade export, foreign trade import, CPI, GDP, and trade balance have the same effect on Thailand stock market, (4) Thailand stock market was less affected by macroeconomic news announcement.en_US
dc.subjectComputer Scienceen_US
dc.subjectMathematicsen_US
dc.titleMacroeconomic News Announcement and Thailand Stock Marketen_US
dc.typeBook Seriesen_US
article.title.sourcetitleLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)en_US
article.volume10758 LNAIen_US
article.stream.affiliationsChiang Mai Universityen_US
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