วิเคราะห์การไหลล้นความผันผวนและการจัดพอร์ตการลงทุนที่เหมาะสมในกลุ่มตลาดน้ำมัน หุ้นและทองคำในสถานการณ์โควิด 19

Abstract

The purpose of this study was (1) to Compare Volatility Spillovers before and during the Coronavirus (COVID-1 9) pandemic (2) to co-volatility for crude oil, gold and stock market returns before and during the Coronavirus (COVID-1 9) pandemic and (3) to portfolio management of the proportion of three assets before and during the Coronavirus (COVID-1 9) epidemic. Therefore, it is essential to understand the level of co-volatility and spillover among these markets. To achieve this purpose, this research divides the data into two sub-periods, namely pre-and during the COVID-1 9 pandemic. Thus, one year before the COVID-19 pandemic (January 23, 2019- December 31, 2019) and one year during the pandemic (January 1, 2020- December 31, 2020) are considered. This study utilizes the Diagonal BEKK-GARCH Model to quantify the dynamic correlation and co-volatility among the stock, oil, and gold markets from the methodology point of view. I would like to note that ten developed and developing stock markets consisting United States, China, Japan, Hong Kong, Netherlands, United Kingdom, Saudi Arabia, India, Russia, and Thailand, are also considered in this study. According to the results, we find a dynamic co-volatility and spillover effect among stock, oil, and gold markets, both pre-during pandemic. According to the results, I find a dynamic co-volatility and spillover effect stock index, oil index, and gold index, both pre-during pandemic. According to the results, we find a dynamic co- volatility and spillover effect among stock, oil, and gold markets, both pre-during pandemic. We also find that the spillover effects and co-volatility between RTS (Russian Trading System) and SET (The Stock Exchange of Thailand) and the Brent oil in pre-and during COVID-19 pandemic are quite different. However, we find that HKEx (Hong Kong Securities), gold and oil market exhibit similar spillover effects before and during the COVID-19 pandemic. It was found that the situation during the COVID-19 epidemic resulted in the co-volatility between oil - stock, oil - gold, and stock - gold markets return, higher the co-volatility before the COVID-19 epidemic. Finally, this suggests the existence of diversification opportunities between stock and oil for investors and portfolio managers during the COVID-19 pandemic. Our study can help the investors and portfolio managers assess the risk based on the co-volatility spillover and decide on optimum allocation of assets and portfolio diversification