Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบของการประกาศตัวเลขเศรษฐกิจสหรัฐต่อตลาดตราสารหนี้ไทย
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
Anirut Pisedtasalasai
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2019.39
Abstract
This study investigates the impact of US macroeconomic announcements both in terms of announcement day and surprise on Thai bond markets. More specifically, this paper analyses the different impacts of 16 US macroeconomic announcements on Thai bond markets. Using daily total returns on short- and long-term government bonds including investment-grade bond, I find that the overall US macroeconomic announcement days lower subsequent volatility in Thai bond markets while US macroeconomic announcement surprises raise volatility. Furthermore, after separating between types of US macroeconomic announcements, US inflation announcement days seem raise Thai bond market volatility while most of the negative US macroeconomic announcement surprises which imply weak US economic growth lower Thai bond volatility particularly long-term government bond.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Thanaboot, Jaturapat, "The Impacts of US Macroeconomic Announcements on Thai Bond Markets" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6905.
https://digital.car.chula.ac.th/chulaetd/6905