Analysis of Thai Capital Market Linkages: Part II. Bivariate Copula vs. Granger Causality, a Centrality Analysis

Code

• github.com/KongkanKalakan/ThaiCapitalMktLink-GrangerCausality
  none★ 1

Abstract

Analytically thorough understanding of financial-market dynamics is fundamental to the promotion of capital-market innovation, efficiency, and resilience; innovative, efficient, and resilient capital market, in turn, is fundamental to the sustainable economic development of the nation and the robust financial stability of its economy. As a follow-on of our earlier paper [21][20], which saw Bivariate Copula (semi-parametric statistics) techniques used to analyse probabilistic co-movement amongst 14 variables representing domestic (Thai) and international (US/Emerging Market/Asia) foreign-exchange, fixed-income, and equity market movements, as well as foreign portfolio-investment flows into Thai equity shares and bonds, this paper applies Variable-Lag Granger Causality [22][23], analysis to the same set of variables and comparatively discuss the results especially from the perspective of Centrality Analysis [24][25] performed on Adjacency Matrices induced by respective approaches.

Reproductions