Macroeconomic News Announcement and Thailand Stock Market

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.