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Political Signaling and Market Volatility - Sectoral Evidence from Thailands Stock Market (2023 - 2024) |
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| รหัสดีโอไอ | |
| Creator | Sarut Sitthichaiyakul |
| Title | Political Signaling and Market Volatility - Sectoral Evidence from Thailands Stock Market (2023 - 2024) |
| Contributor | Witsaroot Pariyaprasert |
| Publisher | GSBATM-Assumption University Press |
| Publication Year | 2569 |
| Journal Title | International Research E-Journal on Business and Economics |
| Journal Vol. | 9 |
| Journal No. | 2 |
| Page no. | 46-58 |
| Keyword | Political Signaling, Political Announcement Events, Political Risk, Stock Market Volatility, Sectoral Stock Returns, Thailand, GARCH Models |
| URL Website | https://assumptionjournal.au.edu/index.php/aumitjournal |
| Website title | International Research E-Journal on Business and Economics (Creative Technology Management) |
| ISSN | 2773-9406 |
| Abstract | This study examines the effects of political announcement events associated with Thaksin Shinawatra and Paetongtarn Shinawatra on sectoral stock returns and volatility in Thailand during the period 2023?2024. Drawing on Signaling Theory and Political Risk Theory, the study investigates whether political announcements influence investor behavior and market dynamics in an emerging economy. Daily data from four major sector indices of the Stock Exchange of Thailand?Finance, Banking, Insurance, and Energy?were collected for the period from August 22, 2023, to September 30, 2024. Political announcement events were identified from reports published by the Bangkok Post and incorporated into ARMA and GARCH-type models through event dummy variables. The findings indicate that political announcement events did not significantly affect sectoral stock returns across the four sectors examined. However, significant effects were observed on sectoral volatility. Announcements associated with Thaksin Shinawatra significantly influenced volatility in the Finance, Banking, Insurance, and Energy sectors, whereas announcements associated with Paetongtarn Shinawatra significantly affected volatility only in the Banking sector. These results suggest that political announcement events primarily influence investor perceptions of uncertainty and risk rather than sectoral asset valuations. The study contributes to the literature on political risk and financial markets by providing sector-specific evidence from Thailand during a politically significant transition period. The findings highlight the importance of political signaling in shaping market volatility and offer practical implications for investors, policymakers, and financial analysts operating in politically sensitive environments. |
