The data used in this article consists of time series of the 50 blue-chip Taiwan daily stocks and the 50 blue-chip Thailand daily stocks used to compute FTSE TWSE Taiwan 50 index and SET 50 index, respectively; these are shown in table 1 and table 2, for the period from 21 April 2005 to 6 May 2010 (1,254 daily observations for Taiwan and 1,232 daily observations for Thailand; please note that the difference is due to the difference in holidays between the two countries, and both indices are market-capitalization weighted index.). We use the constituent stock lists announced in the second quarter of 2010 for both countries as our criteria. The FTSE TWSE Taiwan 50 Index data is obtained from TEJ (Taiwan Economic Journal) and the SET 50 Index data is obtained from SETSMART (SET Market Analysis and Reporting Tool) database - the web-based application from the Stock Exchange of Thailand that can seamlessly integrate comprehensive sources of Thai listed company data. We use the closing price as provided in the two databases to calculate the log-daily return as our major input in the TGARCH (1, 1) model. The two indices have one stock in common, i.e., Delta Electronics PCL (dual-listed stock). Because the different in industry classification between the countries, we have reclassified table 1 by using the same criteria as SET 50 index shown in table 2 for the cross- reference and the consistency in classification; this is shown in table 3. Then we will use this classification at industry level as our proxy in the result analysis.
In addition, owing to the fact that we gather numerous stock prices and returns data during a bit long periods, some stocks that listed to the exchange later than 21 April 2005, do not have such available data for us. We also make a brief comparison between the two index compositions by industry classified according to the table 3, which is shown in table 4. It is shown that the greatest weight is laid in technology
industry for Taiwan 50 index then followed by financials and industrials. We see a different picture for SET 50 index; resources and services have equal and greatest weight then financials is the next greater weight while technology and industrials have equal and lower weight. This is partly due to the nature of the industries that fit into each country and different stock-selection criteria between the two indices.
Table 5 presents the stocks that have insufficient observations. These data still can be used in the Mahalanobis-like distance metric, but it cannot be used in the Euclidean distance metric. However, we treated all the data that have sufficient observations the same and omitted the insufficient data observations to avoid the complication in comparison between the time periods. Please note that Pegatron Corp (Taiwan) have no observation since the announcement of Asustek Computer Inc.
(Taiwan) to demerge Pegatron Corp, dated 4 May 2010 and 18 June 2010.
Table 6 and table 7 present the summary statistics (mean, median, maximum, minimum, standard deviation, skewness, kurtosis, Ljung-Box test statistic for serial correlation and its p-value, and Jarque-Bera test statistic and its p-value) for daily stock returns of each index.
For Taiwan 50 index data shown in table 6, Asustek Computer, MediaTek, and HTC; all are in technology industry, exhibit negative skewness, which shows that the distribution of the returns have long left tails, the latter two also have non-zero median.
Most stocks have positive mean, except for Shin Kong Financial Holding and Nan Ya Printed Circuit Board. There are no significant more than 10% level up to order 20 in the returns for most stocks, except for Uni-president Enterprises, Far Eastern Textile, Lite-On Technology, Delta Electronics, Compal Electronics, Asustek Computer Inc, AU Optronics, HTC, Chang Hwa Commercial Bank, Mega Financial Holding, and Nan Ya Printed Circuit Board. Moreover, after we checked for the distribution of the daily stock return by calculating Jarque-Bera statistic, we found that Foxconn Technology, Epistar, and HTC have non-normal distribution and most stocks are slightly leptokurtic with the exception of Epistar.
For SET 50 index data shown in table 7, all stocks have zero median, but there are 16 stocks that have negative mean returns; these are TMB Bank, Siam City Cement, Tata Steel, Esso, PTT Aromatics and Refining, Ratchaburi Electricity Generating Holding, Thaioil, Airports of Thailand, Bangkok Expressway, Precious Shipping, Thai Airways International, Thoresen Thai Agencies, Advanced Info Service, DTAC, and True Corporation. There are 18 stocks that have positive skewness. In addition, all stocks are highly leptokurtic. There are 10 stocks that have serial correlation, which are Khon Kaen Sugar Industry, Minor International, TMB Bank, Siam City Cement, Land and Houses, Pruksa Real Estate, The Bangchak Petroleum, Thai Tap Water Supply, Big C Supercenter, and Bumrungrad Hospital.
Table 1: Stocks used to compute the FTSE TWSE Taiwan 50 index.
Symbol English Name Industry Symbol English Name Industry
TCC Taiwan Cement Corp. Cement EPISTAR Epistar Corp Optoelectronic
ACC Asia Cement Corp. Cement MTK MediaTek Semiconductor
UNI-PRESIDENT Uni-president Enterprises Food HTC High Tech Computer Corp
Communications and Internet
FPC Formosa Plastics Corp. Plastics
CHANG
NPC Nan Ya Plastics Plastics HNFHC
Hua Nan Financial Holdings
Financial and Insurance FCFC Formosa Chemicals & Fibre Plastics
Fubon
Financial Fubon Financial Holdings
Financial and Insurance FENC Far Eastern Textile Textiles
CATHAY
HOLDINGS Cathay Financial holding
Financial and Insurance
TFC Taiwan Fertilizer Chemical CDIBH
China Development Financial Holdings
Financial and Insurance
CSC China Steel Iron and Steel
Yuanta
Group Yuanta Financial Holding
Financial and Insurance CST Cheng Shin Rubber Industry Rubber MEGA FHC Mega Financial Holding
Financial and UMC United Microelectronics Semiconductor
SINOPACH
Parts/Components CFHC Chinatrust Financial holding
Financial and Insurance ASE
Advanced Semiconductor
Engineering Semiconductor FFHC First Financial Holding
Financial and Insurance
HON HAI HonHai Precision Industry Other Electronic PCSC President Chain Store
Trading and Consumers' Goods Industry
Compal Compal Electronics
Computer and
Peripheral Equipment TWM Taiwan Mobile
Communications and Internet
SPIL
Siliconware Precision
Industries Semiconductor Wistron Wistron Corp
Computer and Peripheral Equipment TSMC
Taiwan Semiconductor
Manufacturing Semiconductor Inotera Inotera Memories Semiconductor Synnex
Synnex Technology International
Electronic Products
Distribution CMI InnoLux Optoelectronic
ACER Acer
Computer and
Peripheral Equipment Far EasTone
Far EastTone Telecommunications
Communications and Internet
FTC Foxconn Technology Other Electronic Pegatron Pegatron Corporation
Computer and Peripheral Equipment ASUSTEK Asustek Computer Inc
Computer and
Peripheral Equipment TCB Taiwan Cooperative Bank
Financial and Insurance QCI Quanta Computer
Computer and
Peripheral Equipment FPCC Formosa Petrochemical
Oil,Gas and Electricity
AUO AU Optronics Optoelectronic N.P.C
Nan Ya Printed Circuit Board
Electronic Parts/Components CHT Chunghwa Telecom
Communications and
Internet PCC Pou Chen Other
Table 2: Stocks used to compute the SET 50 index.
Symbol Name Industry Sector Symbol Name Industry Sector
CPF
Charoen Pokphand Foods PCL
Agro & Food
Industry Food and Beverage GLOW Glow Energy PCL Resources Energy & Utilities KSL
Khon Kaen Sugar Industry PCL
Agro & Food
Industry Food and Beverage IRPC IRPC PCL Resources Energy & Utilities
MINT
Minor International PCL
Agro & Food
Industry Food and Beverage PTT PTT PCL Resources Energy & Utilities
TUF
Thai Union Frozen Products PCL
Agro & Food
Industry Food and Beverage PTTAR
PTT Aromatics and
Refining PCL Resources Energy & Utilities
BAY
Bank of Ayudhya
PCL Financials Banking PTTEP
PTT Exploration and Production
PCL Resources Energy & Utilities
BBL Bangkok Bank PCL Financials Banking RATCH
Ratchaburi Electricity Generating Holding
PCL Resources Energy & Utilities
KBANK Kasikornbank PCL Financials Banking TOP Thaioil PCL Resources Energy & Utilities
KTB
Krung Thai Bank
PCL Financials Banking TTW
Thai Tap Water
Supply PCL Resources Energy & Utilities
SCB
The Siam Commercial Bank
PCL Financials Banking BIGC
Big C Supercenter
PCL Services Commerce
SCIB Siam City Bank PCL Financials Banking CPALL CP ALL PCL Services Commerce
TCAP
Thanachart Capital
PCL Financials Banking MAKRO Siam Makro PCL Services Commerce
TMB TMB Bank PCL Financials Banking BEC BEC World PCL Services Media & Publishing
PTTCH PTT Chemical PCL Industrials
Petrochemicals &
Chemicals MCOT MCOT PCL Services Media & Publishing
TPC
Thai Plastic and
Chemicals PCL Industrials
Petrochemicals &
Chemicals BGH
Bangkok Dusit Medical Services
PCL Services Health Care Services
SCC
The Siam Cement
PCL Industrials Construction Materials BH
Bumrungrad
Hospital PCL Services Health Care Services
SCCC
Siam City Cement
PCL Industrials Construction Materials AOT
Airports of Thailand
PCL Services
Transportation &
Logistics TSTH
Tata Steel (Thailand)
PCL Industrials Irons and Steels BECL
Bangkok
Expressway PCL Services
Transportation &
Construction Property Development PSL
Precious Shipping
PCL Services
Transportation &
Logistics
LH
Land and Houses PCL
Property &
Construction Property Development THAI
Thai Airways
International PCL Services
Transportation &
Logistics PS
Pruksa Real Estate PCL
Property &
Construction Property Development TTA
Thoresen Thai
Construction Property Development ADVANC
Advanced Info
Service PCL Technology
Information &
Petroleum PCL Resources Energy & Utilities TRUE
True Corporation
PCL Resources Energy & Utilities DELTA
Delta Electronics
Symbol Industry Sector Symbol Industry Sector TCC Industrials Construction Materials EPISTAR Technology Optoelectronic ACC Industrials Construction Materials MTK Technology Semiconductors
UNI-PRESIDENT
Agro & Food
Industry Food and Beverage HTC Technology
Information & Communication Technology
FPC Industrials Petrochemicals & Chemicals
CHANG HWA
BANK Financials Financial and Insurance NPC Industrials Petrochemicals & Chemicals HNFHC Financials Financial and Insurance
FCFC Industrials Petrochemicals & Chemicals
Fubon
Financial Financials Financial and Insurance
FENC Industrials Textiles
CATHAY
HOLDINGS Financials Financial and Insurance TFC Industrials Petrochemicals & Chemicals CDIBH Financials Financial and Insurance
CSC Industrials Steels
Yuanta
Group Financials Financial and Insurance
CST Industrials Rubber MEGA FHC Financials Financial and Insurance
LTC Technology
Computer and its complementary
products SKFH Financials Financial and Insurance
UMC Technology Semiconductors
SINOPACH
OLDINGS Financials Financial and Insurance DELTA Technology Electronic Components CFHC Financials Financial and Insurance ASE Technology Semiconductors FFHC Financials Financial and Insurance HON HAI Technology Other electronic products PCSC Services Commerce
Compal Technology
Computer and its complementary
products TWM Technology
Information & Communication Technology
SPIL Technology Semiconductors Wistron Technology
Computer and Peripheral Equipment
TSMC Technology Semiconductors Inotera Technology Semiconductors
Synnex Technology Electronic Products Distribution CMI Technology Optroelectronnics
ACER Technology
Computer and its complementary
products Far EasTone Technology
Information & Communication Technology
FTC Technology Other electronic products Pegatron Technology
Computer and Peripheral Equipment
ASUSTEK Technology
Computer and its complementary
products TCB Financials Financial and Insurance
QCI Technology
Computer and its complementary
products FPCC Resources Oil,Gas and Electricity
AUO Technology Optroelectronnics N.P.C Technology Electronic Components
CHT Technology
Information & Communication
Technology PCC Conglomerates Conglomerates
Table 3: Stocks used to compute the Taiwan 50 index, reclassified by using the same criteria as those of the SET 50 index.
Table 4: Index Comparison by Industry.
Industry Amounts%Weight Industry Amounts%Weight Agro & Food Industry 4 8% Agro & Food Industry 1 2%
Financials 8 16% Industrials 10 20%
Industrials 5 10% Financials 12 24%
Property & Construction 4 8% Trading and
Consumers' Goods 1 2%
Resources 12 24% Technology 25 50%
Services 12 24% Conglomerate 1 2%
Technology 5 10%
SET 50 Taiwan 50
Table 5: Insufficient data stocks.
Symbol Observation Number Symbol Observation Number
Inotera 1030 PTTCH 1073
CMI 878 PS 1077
Pegatron 0 ESSO 488
N.P.C 1016 PTTAR 571
TTW 477
DTAC 701
Taiwan Thailand
Table 8 and table 9 show the estimated results of TGARCH (1, 1) models for our stock index returns with GED innovations, including diagnostic tests for residual and squared residuals.
Table 8 shows that the estimated coefficients are statistically significant for all stocks except the ARCH (α) estimates for Siliconware Precision Industries, TSMC, Quanta Computer, AU Optronics, MediaTek, and Nan Ya Printed Circuit Board, which are not significant at 5% level, and many stocks show that the leverage effects (γ) are not statistically significant at the same level for Taiwan 50 index; only 12 stocks are significant. The ν results from the table 8 also confirm us that the distribution of the innovation series is fat-tailed for all stocks and the estimated persistence in the conditional variance (α+β+γ/2) is very close to one, which means the less weight that's left over for the long-run variance, or put another way, the greater the persistence to recent variance exists for those of Taiwan.
Stock Mean Median Max. Min.
Std.
Dev. Skewness Kurtosis Q(20) p-Value
Jarque-Bera p-Value
TCC 0.083 0 6.977 -6.988 2.572 0.133 3.952 59.135 0 50.996 0
ACC 0.106 0 7.000 -6.987 2.486 0.200 4.387 54.554 0 108.877 0
UNI-PRESIDENT 0.127 0 6.996 -6.977 2.463 0.154 4.093 23.093 0.284 67.305 0
FPC 0.075 0 7.000 -6.395 1.687 0.283 5.565 43.255 0.002 360.159 0
NPC 0.082 0 6.970 -6.977 1.744 0.239 5.748 78.785 0 406.224 0
FCFC 0.072 0 6.983 -6.869 1.659 0.419 6.603 56.424 0 714.356 0
FENC 0.112 0 6.998 -6.987 2.790 0.141 3.412 28.280 0.103 13.001 0.001503
TFC 0.129 0 7.000 -6.994 2.938 0.075 3.339 65.654 0 7.177 0.027645
CSC 0.063 0 7.000 -6.974 1.803 0.230 5.016 34.707 0.022 223.256 0
CST 0.135 0 6.998 -6.994 2.763 0.196 3.657 33.072 0.033 30.590 0
LTC 0.049 0 6.992 -7.000 2.311 0.042 4.417 21.326 0.378 105.265 0
UMC 0.016 0 7.000 -7.000 2.326 0.267 4.264 42.378 0.002 98.208 0
DELTA 0.113 0 7.000 -6.977 2.327 0.065 4.130 23.591 0.261 67.504 0
ASE 0.089 0 6.996 -7.000 2.700 0.128 3.394 38.040 0.009 11.513 0.003162
HON HAI 0.102 0 6.993 -6.997 2.444 0.019 3.947 47.601 0 46.848 0
Compal 0.086 0 6.919 -6.984 2.328 0.110 4.078 25.154 0.196 63.208 0
SPIL 0.095 0 7.000 -6.980 2.664 0.136 3.544 38.104 0.009 19.327 0.000064
TSMC 0.061 0 6.989 -7.000 2.013 0.170 4.677 33.717 0.028 152.786 0
Synnex 0.115 0 6.999 -6.990 2.753 0.168 3.847 42.952 0.002 43.329 0
ACER 0.095 0 6.994 -6.984 2.419 0.037 3.935 32.384 0.039 45.889 0
FTC 0.130 0 7.000 -7.669 3.101 0.061 3.097 50.200 0 1.269 0.530191
ASUSTEK 0.025 0 6.988 -6.988 2.182 -0.015 4.511 23.865 0.248 119.191 0
QCI 0.059 0 6.985 -6.984 2.138 0.191 4.289 36.825 0.012 94.368 0
AUO 0.031 0 7.000 -7.000 2.501 0.017 3.729 22.031 0.339 27.845 0.000001
CHT 0.041 0 7.000 -6.687 1.251 0.564 8.826 71.481 0 1838.400 0
EPISTAR 0.133 0 6.998 -6.998 3.331 0.047 2.821 68.323 0 2.115 0.34728
MTK 0.135 0.172 6.995 -6.991 2.733 -0.010 3.361 42.840 0.002 6.810 0.033199 HTC 0.197 0.251 7.000 -6.992 3.117 -0.050 3.063 21.238 0.383 0.735 0.692331 CHANG
HWA
BANK 0.014 0 6.989 -6.977 2.154 0.124 4.614 15.452 0.75 139.140 0
HNFHC 0.024 0 6.995 -6.988 2.084 0.097 5.514 33.023 0.034 332.054 0
Fubon
Financial 0.062 0 7.000 -6.988 2.315 0.114 4.590 41.995 0.003 134.732 0 CATHAY
HOLDINGS 0.035 0 7.000 -6.995 2.364 0.083 4.609 56.459 0 136.677 0
CDIBH 0.007 0 6.982 -6.997 2.134 0.028 4.936 32.652 0.037 195.775 0
Yuanta
Group 0.066 0 7.000 -6.997 2.887 0.112 3.337 40.492 0.004 8.515 0.01416 MEGA FHC 0.038 0 7.000 -6.997 2.146 0.135 5.124 26.837 0.14 239.262 0
SKFH -0.011 0 6.986 -6.977 2.754 0.114 3.676 43.693 0.002 26.569 0.000002
SINOPAC
HOLDINGS 0.000 0 7.000 -6.994 2.432 0.108 4.305 41.962 0.003 91.405 0
CFHC 0.013 0 7.000 -6.998 2.555 0.081 4.232 45.514 0.001 80.631 0
FFHC 0.023 0 7.000 -6.983 2.182 0.181 5.243 35.269 0.019 269.558 0
PCSC 0.081 0 7.000 -6.988 2.020 0.531 5.441 38.837 0.007 370.189 0
TWM 0.076 0 6.852 -6.989 1.563 0.210 5.492 33.552 0.029 333.488 0
Wistron 0.161 0 7.000 -6.994 2.749 0.106 3.451 50.485 0 12.958 0.001535 Inotera 0.019 0 7.000 -12.500 3.150 0.106 3.466 36.925 0.012 11.273 0.003565
CMI 0.087 0 33.659 -7.000 3.727 0.831 9.648 29.187 0.084 1717.733 0
Far EasTone 0.022 0 6.960 -6.953 1.420 0.229 6.433 43.819 0.002 626.278 0
Pegatron NA NA NA NA NA NA NA NA NA NA NA
TCB 0.040 0 6.964 -6.977 1.996 0.155 5.456 31.547 0.048 320.077 0
FPCC 0.064 0 6.954 -6.908 1.628 0.174 6.458 35.840 0.016 630.795 0
N.P.C -0.030 0 7.000 -7.000 2.672 0.135 3.598 28.212 0.104 18.212 0.000111
PCC 0.072 0 6.988 -6.998 2.200 0.269 4.408 29.899 0.072 118.648 0
Table 6: Summary statistics for the Taiwan 50 index stock returns.
Stock Mean Median Max. Min. Std. Dev. Skewness Kurtosis Q(20) p-Value
Jarque-Bera p-Value
CPF 0.113 0 11.531 -13.492 1.961 0.086 7.962 34.174 0.025 1265.374 0
KSL 0.077 0 16.012 -12.629 2.488 0.446 9.400 22.458 0.316 2143.256 0
MINT 7.650 0 1601.208 -1262.937 248.776 0.446 9.400 22.458 0.316 2143.256 0
TUF 0.029 0 12.222 -10.110 1.704 0.273 8.826 30.761 0.058 1757.879 0
BAY 0.042 0 15.541 -21.203 2.711 -0.391 13.507 94.804 0 5698.841 0
BBL 0.012 0 7.647 -17.746 2.182 -1.014 12.373 34.163 0.025 4720.897 0
KBANK 0.042 0 11.488 -20.383 2.289 -0.611 10.252 32.704 0.036 2776.034 0
KTB 0.028 0 14.493 -24.313 2.415 -0.749 14.668 38.23 0.008 7103.200 0
SCB 0.043 0 13.936 -23.245 2.466 -0.610 13.172 57.425 0 5387.445 0
SCIB 0.022 0 25.783 -21.452 2.700 0.598 21.470 38.102 0.009 17584.820 0
TCAP 0.036 0 24.177 -23.428 2.607 -0.078 18.823 43.625 0.002 12853.110 0
TMB -0.088 0 16.956 -19.464 2.862 -0.047 10.577 27.765 0.115 2947.912 0
PTTCH 0.021 0 16.202 -15.312 3.041 -0.085 6.817 39.388 0.006 652.646 0
TPC 0.002 0 9.467 -11.966 1.688 -0.289 12.249 55.345 0 4408.566 0
SCC 0.008 0 11.839 -13.353 1.918 0.074 8.840 53.589 0 1751.977 0
SCCC -0.022 0 10.863 -16.579 2.144 -0.581 9.457 16.111 0.71 2209.664 0
TSTH -0.001 0 20.479 -19.216 3.107 0.356 9.732 50.456 0 2352.265 0
CPN 0.080 0 22.012 -20.391 2.942 -0.044 11.135 37.981 0.009 3397.818 0
LH -0.031 0 13.353 -16.149 3.091 -0.054 5.693 27.323 0.126 372.797 0
PS 0.123 0 18.232 -23.111 3.290 -0.143 9.622 23.02 0.288 1971.352 0
QH 0.045 0 17.997 -23.419 3.194 -0.385 10.859 36.56 0.013 3200.744 0
BANPU 0.113 0 16.562 -18.610 2.731 -0.518 9.768 44.261 0.001 2406.195 0
BCP 0.008 0 10.841 -18.082 1.980 -0.274 12.520 22.686 0.304 4667.717 0
EGCO 0.004 0 9.953 -12.551 1.573 -0.074 9.803 36.509 0.013 2376.860 0
ESSO -0.094 0 15.104 -15.498 2.934 0.418 9.067 38.193 0.008 762.600 0
GLOW 0.039 0 13.249 -11.212 2.209 0.056 7.477 39.134 0.006 1029.343 0
IRPC -0.008 0 15.674 -30.187 2.868 -0.784 16.986 54.433 0 10159.790 0
PTT 0.024 0 14.953 -18.590 2.427 -0.284 9.388 35.785 0.016 2111.484 0
PTTAR -0.082 0 16.705 -17.520 3.619 -0.017 6.229 58.967 0 247.241 0
PTTEP 0.066 0 13.936 -18.786 2.626 -0.188 9.383 41.163 0.004 2097.019 0
RATCH -0.006 0 21.963 -14.364 1.869 0.825 27.209 80.488 0 30223.860 0
TOP -0.023 0 13.103 -18.058 2.652 -0.031 8.340 44.23 0.001 1464.165 0
TTW 0.000 0 7.930 -7.784 1.859 0.199 5.341 22.05 0.338 112.082 0
BIGC 0.069 0 9.309 -10.616 1.803 0.417 8.280 24.228 0.233 1466.842 0
CPALL 0.131 0 19.949 -16.068 2.439 0.679 12.452 41.825 0.003 4677.311 0
MAKRO 0.049 0 25.996 -20.671 2.301 0.758 24.402 44.585 0.001 23630.630 0
BEC 0.042 0 19.449 -19.913 2.439 -0.091 12.416 61.262 0 4553.403 0
MCOT 0.004 0 15.906 -19.213 2.515 -0.275 11.355 34.93 0.02 3599.277 0
BGH 0.035 0 8.701 -11.576 2.002 -0.268 7.141 36.434 0.014 895.154 0
BH 0.047 0 10.219 -9.421 2.012 0.016 6.280 26.704 0.144 552.268 0
AOT -0.014 0 14.970 -16.315 2.480 -0.295 11.396 76.44 0 3636.375 0
BECL -0.026 0 7.411 -10.646 1.486 -0.527 7.990 33.804 0.027 1335.239 0
PSL -0.029 0 18.340 -16.375 2.973 0.122 7.953 34.319 0.024 1261.130 0
THAI -0.042 0 16.407 -14.585 2.719 0.139 7.515 32.477 0.038 1050.234 0
TTA -0.037 0 15.841 -26.706 3.399 -0.605 9.439 33.08 0.033 2203.481 0
ADVANC -0.018 0 14.660 -23.361 2.307 -0.718 14.625 41.891 0.003 7043.456 0
DTAC -0.026 0 18.572 -16.228 2.827 0.493 11.033 57.017 0 1913.069 0
TRUE -0.093 0 16.846 -35.208 3.696 -0.762 13.314 46.453 0.001 5579.445 0
DELTA 0.004 0 10.368 -12.783 2.120 -0.431 7.567 42.172 0.003 1108.909 0
HANA 0.011 0 8.743 -13.482 2.136 -0.468 7.760 29.648 0.076 1208.030 0
Table 7: Summary statistics for SET 50 index stock returns.
Stock α β γ ν α+β +γ/2 ω Q(20) p-value Q2(20) p-value TCC 0.092228* 0.892713* 0.015069 1.376651* 0.992476 0.079405** 30.68 0.06 25.085 0.198 ACC 0.052723* 0.929244* 0.0455 1.161178* 1.004717 0.022952 27.356 0.126 17.126 0.645 UNI-PRESIDENT 0.061272* 0.878752* 0.076678** 1.314094* 0.978363 0.159694* 21.053 0.394 15.761 0.731 FPC 0.049365* 0.932096* 0.036403 1.236616* 0.999663 0.014516 30.43 0.063 20.177 0.447 NPC 0.059422* 0.89992* 0.076736** 1.210723* 0.99771 0.03753** 43.901 0.002 23.303 0.274 FCFC 0.037842* 0.94218* 0.031101 1.094296* 0.995573 0.021292 44.743 0.001 23.369 0.271 FENC 0.095313* 0.865146* 0.017509 1.518463* 0.969214 0.266204** 24.128 0.237 32.644 0.037 TFC 0.065921* 0.922279* -0.003042 1.495178* 0.986679 0.11953 27.641 0.118 28.749 0.093 CSC 0.08382* 0.887778* 0.026432 1.535962* 0.984814 0.055496** 22.12 0.334 23.995 0.243 CST 0.083402* 0.878236* 0.070698 1.253409* 0.996987 0.118924** 25.248 0.192 19.233 0.507 LTC 0.05578** 0.907945* 0.043754 1.155651* 0.985602 0.107232** 14.354 0.812 20.749 0.412 UMC 0.041394** 0.930859* 0.045068 1.317127* 0.994787 0.049377 23.638 0.259 16.643 0.676 DELTA 0.051307* 0.886197* 0.066033 1.263541* 0.970521 0.185797** 16.798 0.666 23.328 0.273 ASE 0.025921** 0.947864* 0.048273** 1.583289* 0.997922 0.038834 28.135 0.106 18.345 0.565 HON HAI 0.034986* 0.929888* 0.041929 1.513712* 0.985839 0.088685* 32.893 0.035 10.118 0.966 Compal 0.079046* 0.922409* -0.014044 1.448765* 0.994433 0.040149** 17.216 0.639 21.291 0.38 SPIL 0.02394 0.901894* 0.087034* 1.58941* 0.969351 0.233119** 24.65 0.215 12.664 0.891 TSMC 0.026681 0.903844* 0.098248* 1.534816* 0.979649 0.090093** 26.678 0.145 21.389 0.375 Synnex 0.07374* 0.897073* 0.052679 1.252919* 0.997153 0.080003** 28.34 0.102 16.995 0.653 ACER 0.093092* 0.862486* -0.016094 1.306076* 0.947531 0.315267** 28.667 0.095 13.863 0.837 FTC 0.044564** 0.896159* 0.070684** 1.626* 0.976065 0.271514** 51.513 0 19.713 0.476 ASUSTEK 0.045624** 0.881442* 0.0798** 1.372852* 0.966966 0.172286* 18.335 0.565 8.5091 0.988 QCI 0.033597 0.905803* 0.040764 1.185899* 0.959782 0.197748 29.997 0.07 25.323 0.189 AUO 0.025379 0.937944* 0.055761* 1.70528* 0.991204 0.060396** 14.99 0.777 16.138 0.708 CHT 0.17375* 0.801902* 0.050813 0.953582* 1.001059 0.037748* 26.744 0.143 6.1579 0.999 EPISTAR 0.050364* 0.897413* 0.045803 1.865372* 0.970679 0.329614** 55.746 0 24.142 0.236 MTK 0.029368 0.924726* 0.04584 1.603299* 0.977014 0.170891** 29.381 0.081 13.505 0.855 HTC 0.054557* 0.907931* 0.027418 1.64174* 0.976197 0.238904** 18.137 0.578 10.249 0.963 CHANGHWABK 0.061878* 0.929122* 0.000246 1.327433* 0.991123 0.045222 10.335 0.962 13.202 0.869 HNFHC 0.053424* 0.936113* 0.013708 1.210646 0.996391 0.024847 22.711 0.303 19.853 0.467 Fubon Financial 0.064027* 0.922623* 0.007935 1.365018* 0.990618 0.05408 26.089 0.163 13.894 0.836 CATHAY 0.091207* 0.903502* 0.002581 1.454153* 0.996 0.038853 26.408 0.153 26.383 0.154 CDIBH 0.045538** 0.922162* 0.033716 1.231461* 0.984558 0.073363** 22.769 0.3 11.531 0.931 Yuanta Group 0.056413* 0.91968* 0.02957 1.495863* 0.990878 0.089379** 23.406 0.269 16.425 0.69 MEGA FHC 0.084542* 0.877589* 0.065024 1.295499* 0.994643 0.054965* 15.868 0.725 15.241 0.762 SKFH 0.074457* 0.907523* 0.014783 1.450759* 0.989372 0.094692** 22.129 0.334 16.013 0.716 SINOPAC 0.064463* 0.924106* 0.019671 1.485823* 0.998405 0.027376 25.733 0.175 12.356 0.903 CFHC 0.087267* 0.874578* 0.056629 1.374478* 0.99016 0.096109** 27.513 0.121 27.022 0.135 FFHC 0.06358* 0.935107* -0.000749 1.268253* 0.998313 0.016248 16.825 0.664 31.587 0.048 PCSC 0.196169* 0.703725* 0.19837 1.020045* 0.999079 0.225226* 25.105 0.197 15.622 0.74 TWM 0.040626** 0.910123* 0.071611 1.09738* 0.986555 0.052722** 19.715 0.476 15.065 0.773 Wistron 0.03642** 0.914126* 0.071917** 1.521886* 0.986505 0.127414** 33.451 0.03 15.734 0.733 Inotera 0.025608** 0.948303* 0.047854** 1.50634* 0.997838 0.033851** 25.995 0.166 40.917 0.004 CMI 0.037868 0.869361* 0.121849** 1.531148* 0.968154 0.502173** 25.922 0.168 1.2721 1 Far EasTone 0.458337* 0.36974* -0.299011 0.81816* 0.678572 0.81545* 35.902 0.016 32.954 0.034
Pegatron NA NA NA NA NA NA NA NA NA NA
TCB 0.133376* 0.866899* -0.031962 1.187536* 0.984294 0.077287* 12.99 0.878 13.386 0.86 FPCC 0.065163* 0.932527* -0.004889 0.993098* 0.995246 0.01904 21.032 0.395 24.847 0.207 N.P.C 0.034891 0.912371* 0.057988 1.43208* 0.976256 0.195838 20.675 0.416 17.675 0.609 PCC 0.069376* 0.848414* 0.120637** 1.261822* 0.978109 0.174486* 26.196 0.159 19.413 0.495
* (**) Significant at the 1% (5%) level; Q(20) is the Ljung-Box statistic for serial correlation in the residuals up to order 20; Q2(20) is the Ljung-Box statistic for serial correlation in the squared residuals up to order 20.
Table 8: Estimated TGARCH(1, 1) models assuming GED innovation for Taiwan50 stock returns.
Stock α β γ ν α+β +γ/2 ω Q(20) p-value Q2(20) p-value CPF 0.133793* 0.831736* 0.011916** 0.983814* 0.971487 0.168749* 32.365 0.04 10.385 0.961 KSL 0.691821* 0.405491* 0.041017** 0.629666* 1.117821 1.568351* 21.627 0.361 24.4 0.225 MINT 0.282555* 0.034491 -0.282466 0.605229* 0.175813 61527.45* 26.968 0.136 61.394 0 TUF 0.132452* 0.751162* 0.010419 0.880247* 0.888824 0.350343* 22.325 0.323 4.1041 1 BAY 0.191577* 0.697678* 0.136219 1.13285* 0.957365 0.466718* 30.472 0.063 5.2274 1 BBL 0.079724** 0.863293* 0.064977 1.227314* 0.975506 0.145424** 21.768 0.353 3.8566 1 KBANK 0.045598 0.859046* 0.101374** 1.209976* 0.955331 0.262924** 27.514 0.121 3.2988 1 KTB 0.233557* 0.515142* 0.090118 1.209514* 0.793758 1.237609* 37.154 0.011 5.391 1 SCB 0.033643 0.860153* 0.107291** 1.120135* 0.947442 0.338178* 41.712 0.003 3.1979 1 SCIB 0.244106* 0.567269* 0.165715 0.900147* 0.894233 0.881258* 24.013 0.242 11.543 0.931 TCAP 0.233845* 0.510472* 0.110672 0.922227* 0.799653 1.415752* 31.899 0.044 5.7577 0.999 TMB 0.292846* 0.540231* 0.03716 0.940323* 0.851657 1.412961* 29.255 0.083 24.77 0.21 PTTCH 0.16437* 0.827539* 0.051061 1.073813* 1.01744 0.115153* 24.658 0.215 21.818 0.35 TPC 1.173193* 0.993609* 0.441179* 0.075432* 2.387392 1.2539* 91.667 0 209.77 0 SCC 0.154992* 0.769487* 0.021998 1.02692* 0.935478 0.281176* 20.71 0.414 7.9593 0.992 SCCC 0.281599* 0.626011* -0.03507 1.105672* 0.890075 0.57967* 17.944 0.591 6.9369 0.997 TSTH 0.173723* 0.820704* 0.058871 0.801491* 1.023863 0.152257** 28.748 0.093 16.305 0.698 CPN 0.125076* 0.825908* 0.023404 1.195834* 0.962686 0.343302* 21.59 0.363 4.8286 1 LH 0.045835** 0.888565* 0.079029* 1.387934* 0.973915 0.26665** 18.262 0.57 14.193 0.821 PS 0.136581* 0.809291* 0.020922 1.128824* 0.956333 0.448552* 20.578 0.422 2.495 1 QH 0.064596** 0.848432* 0.091033** 1.201383* 0.958545 0.406886* 15.354 0.756 3.6889 1 BANPU 0.083355* 0.87303* 0.054943 1.036661* 0.983857 0.187428* 36.833 0.012 11.94 0.918 BCP 0.481915* 0.617884* -0.312488 0.643654* 0.943555 0.678371* 21.032 0.395 10.719 0.953 EGCO 0.087779* 0.784617* 0.101875 0.860951* 0.923334 0.224689* 19.892 0.465 4.6474 1 ESSO 0.342351 0.375748** 0.229059 0.76939* 0.832629 2.551017* 34.558 0.023 5.6679 0.999 GLOW 0.173788** 0.706503* 0.194789 0.705989* 0.977686 0.571452* 26.388 0.153 24.461 0.223 IRPC 0.108314* 0.770297* 0.154118** 0.946787* 0.95567 0.540607* 23.354 0.272 7.6549 0.994 PTT 0.107899** 0.670742* 0.182589** 1.162459* 0.869936 0.833801* 26.34 0.155 3.7797 1 PTTAR 0.235548 0.41476** 0.053877 1.126563* 0.677247 4.469246** 53.027 0 32.893 0.035 PTTEP 0.104288* 0.799338* 0.095806 1.253084* 0.951529 0.388702* 21.691 0.358 3.6984 1 RATCH 0.874352 0.963522* -0.092887 0.184257* 1.791431 0.474048 54.601 0 20.495 0.427 TOP 0.099015* 0.793533* 0.092909 1.0846* 0.939003 0.462989* 23.978 0.243 8.0977 0.991 TTW 0.20838 0.760872* -0.02132 0.882921* 0.958592 0.260426 12.341 0.904 7.2529 0.996 BIGC 0.584427* 0.981111* 0.020936** 0.108172* 1.576006 1.269382* 24.269 0.231 132.09 0 CPALL 0.230264* 0.51631* 0.276227** 0.859751* 0.884688 1.137138* 20.027 0.456 10.546 0.957 MAKRO 0.273989* 0.50683* 0.033068 0.781955* 0.797353 1.200108* 26.524 0.149 14.942 0.78 BEC 0.159516** 0.506251* 0.309537** 1.019067* 0.820536 1.270366* 13.593 0.851 11.989 0.916 MCOT 0.384462* 0.512192* 0.0557 0.807338* 0.924504 1.129292* 20.535 0.425 7.4819 0.995 BGH 0.205379* 0.649637* 0.084328 0.821062* 0.89718 0.604198* 22.967 0.29 13.489 0.855 BH 0.124063** 0.631846* 0.132192 0.928533* 0.822005 0.82612* 25.319 0.189 38.302 0.008 AOT 0.266896* 0.591992* 0.084878 0.983597* 0.901327 0.824211* 35.971 0.016 6.5804 0.998 BECL 0.106683* 0.837193* 0.008856 1.018647* 0.948304 0.124615* 28.682 0.094 15.203 0.765 PSL 0.136581* 0.809291* 0.020922 1.128824* 0.956333 0.448552* 25.619 0.179 25.621 0.179 THAI 0.115477* 0.844334* 0.042182 0.997175* 0.980902 0.218661* 35.445 0.018 15.232 0.763 TTA 0.061045* 0.909752* 0.026976 1.246737* 0.984285 0.194224** 29.359 0.081 12.241 0.908 ADVANC 0.08842 0.55298* 0.148116 1.089661* 0.715458 1.445037* 23.315 0.274 2.6875 1 DTAC 0.121934** 0.774027* 0.052532 1.35893* 0.922227 0.53871** 12.466 0.899 8.8911 0.984 TRUE 0.162414* 0.755671* 0.023283 1.20847* 0.929727 1.015136* 35.59 0.017 9.3945 0.978 DELTA 0.125076* 0.825908* 0.023404 1.195834* 0.962686 0.343302* 21.59 0.363 4.8286 1 HANA 0.190321** 0.468635* -0.04455 0.885127* 0.636681 1.823706* 23.685 0.256 32.135 0.042
* (**) Significant at the 1% (5%) level; Q(20) is the Ljung-Box statistic for serial correlation in the residuals up to order 20; Q2(20) is the Ljung-Box statistic for serial correlation in the squared residuals up to order 20.
Table 9: Estimated TGARCH(1, 1) models assuming GED innovation for SET50 stock returns.
Table 9 shows that the estimated coefficients are statistically significant for all stocks except the GARCH estimate for Minor International and the ARCH estimates for Kasikorn Bank , The Siam Commercial Bank, Esso, PTT Aromatics and Refining, Ratchaburi Electricity Generating Holding, Thai Tap Water Supply, and Advanced Info Service, which are not significant at 5% level; also there are 12 stocks that are statistically insignificant at the same level for the leverage effects. From the ν results of the table 9, it confirms us that the innovation distribution is fat-tailed for all stocks and most of the estimated persistence in the conditional variance (α+β+γ/2) is also very close to one similar to the Taiwan’s case.
The Ljung-Box test statistic or Q statistic developed by Box and Pierce can be used to verify the autocorrelation in our model whose null hypothesis is ‘there is no serial correlation in the model residuals (or squared residuals)’. Therefore, we use Q2(20) to check the validity of the volatility equation and Q(20) to check the adequacy of the mean equation. To be consistent, we check all the model or parameter validity at 5% significant level. Accordingly, from the table 8, we can see that there is no serial correlation in the squared residuals up to order 20 for all stocks except Far Eastern Textile, First Financial Holding, Inotera Memories, and Far EastTone Telecommunications; also, we cannot reject the null hypothesis of the mean equation for Nan Ya Plastics, Formosa Chemicals & Fibre, HonHai Precision Industry, Foxconn Technology, Epistar, Wistron, and Far EastTone Telecommunications. The same logic goes for the table 9, thus, there is no serial correlation in the squared residuals up to order 20 for all stocks except for Minor International, Thai Plastic and Chemicals, PTT Aromatics and Refining, Big C, Bumrungrad Hospital, and Hana Microelectronics; also, for the mean equation, the serial correlation exists for CPF, Krung Thai Bank, The Siam Commercial Bank, Thanachart Capital, Thai Plastic and Chemicals, Banpu, Esso, PTT Aromatics and Refining, Ratchaburi Electricity Generating Holding, Airports of Thailand, Thai Airways International, and True Corp.