The Impact of the Macroeconomic Factors and Their Unexpected Values on the Energy Sector Return Volatility: A Case study of Stock Exchange of Thailand during the Period of 2005 to 2015

Abstract

The purpose of this paper is to examine the effect of the macroeconomic factors and their unexpected values on the Energy sector return volatility in the Stock Exchange of Thailand during period 2005 to 2015. The method is separated in two cases. The first case is to study the impact of macroeconomic variables on the Energy sector return volatility which the macroeconomic factors consist of; agriculture producer price index, consumer price index, current account, employment, exchange rate, industrial production index, interest rate, money supply (M2), oil price, producer price index, rubber producer price index, and trade balance. The second case is to study the impact of unexpected macroeconomic values on the Energy sector return volatility which the unexpected macroeconomic are derived from the residual of the regression model and the volatility of Energy sector return is calculated by using Exponential General Autoregressive Conditional Heteroskedastic (E-GARCH) model. From the empirical results show the unexpected employment has the positive relationship with the Energy sector return volatility. The unexpected interest rate and the unexpected trade balance have the negative relationship with the Energy sector return volatility.