The Impact of the COVID-19 on stock exchange of Thailand by industries

Abstract

This study aims to capture risk and volatility in the stock market of Thailand in sectoral level during COVID-19 pandemic, which has a bad effect in financial market around the world. Author uses new COVID-19 cases as the evidence base and Google Trend using the word "coronavirus" which reflects fear of people during the pandemic period. This study will focus on the following step: First, Autor investigate on dynamic risk in stock market by using traditional Capital Assets Pricing Model (CAPM) also applied The Generalized Additive Model (GAM) into CAPM (Time-varying CAPM) to estimate the coefficient in CAPM, which allows the coefficient to fluctuate depending on time and compare the performance of these two models. The result show time-varying CAPM has performed better compared with traditional CAPM also COVID-19 pandemic has an increasing market risk premium, but the coefficient of COVID-19 and Google Trend has not affected the SET index. This study found an increased risk during the 1st outbreak of COVID-19.Secondly, author employed GARCH (Generalized Autoregressive Conditional Heteroskedastic) model to find the volatility in stock market during the COVID-19 pandemic. The result found COVID-19 as evidence base has increased volatility and in some sector Google Trend also effect volatility too.