Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index

DOI

10.2991/icefs-17.2017.50How to use a DOI?

Keywords

Time-Varying coefficient, Markov Switching, Kalman filter, Bayesian estimation,

Abstract

This paper proposes time-varying effect of gold and crude oil price to stock price index with Markov switching state space model which provided the time-varying coefficients to analyze the time-varying behaviors of the stock index. A Bayesian approach is employed to predict the parameters of the model whereas Kalman filter is applied to predict the time-varying coefficients in each regime. The stock price index, gold price and oil price dataset from 1st April 1996 to 31st March 2016 with the total 5, 219 observations were used. The result shows that the proposed model is able to significantly capture the real economic situation and it can capture the movement of the coefficients in each period.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Sukrit Thongkairat
AU  - Roengchai Tansuchat
PY  - 2017/01
DA  - 2017/01
TI  - Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index
BT  - Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 398
EP  - 402
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.50
DO  - 10.2991/icefs-17.2017.50
ID  - Thongkairat2017/01
ER  -