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    Impact of the Exchange Rate Movement to Individual Stock Return Volatility: A Case Study of the Property Sector in Thailand 

    Booranij Kijjanukij; Witsaroot Pariyaprasert; Panjamaporn Sethjinda (2016-06)

    As professional investors attempt to understand volatility of the stocks in portfolio risk management, exchange rate is considered as one of the most important economic indicators that can significantly impact on the portfolio risk exposure by several reasons. Therefore, this study investigates the effect of major exchange rate volatilities including THB/USD, THB/EUR, and THB/JPY on single stock return fluctuations with a case study of top 10 most value traded stocks in property sector listed in the Stock Exchange of Thailand. These ...