Will QE Change the dependence between Baht/Dollar Exchange Rates and Price Returns of AOT and MINT?

T. Kiatmanaroch, O. Puarattanaarunkorn, S. Sriboonchitta

Abstract

This paper used the C-vine copula model to analyze the dependencebetween the returns of the Baht/Dollar exchange rates, and two stock prices inthe travel and tourism sectors of the stock market of Thailand, under the secondround and the third round of quantitative easing programs (QE2 and QE3). Theresults show that the degree of dependence which is measured by Kendall's taucorrelation between the Baht/Dollar exchange rates, and the stock prices of AOTand MINT under the QE2 program is stronger than under the QE3 program.