Title: An application of survival analysis to the impact of the COVID-19 epidemic on Thailand's stock market volatility

Authors: Suchunya Khainsiri; Surachai Chancharat

Addresses: Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand

Abstract: This study investigated the probability and time to event of the Thailand stock market's volatility when the rate of change in COVID-19 confirmed cases daily increased from January 1, 2020, to September 30, 2021, using applied survival analysis. We find that the highest probability is 98.4366%, with a volatility period of 1 day. The lowest probability is 9.4252%, with a volatility period of 76 days. There is an average of 48 consecutive days of high volatility. The rate of change in COVID-19 confirmed cases increase is statistically significant with the high volatility and correlated in the same direction. The rate of change that increases as much as it has the most at risk of causing high volatility. It represents a response to the exaggerated information on stock prices. Therefore, speculators have a chance to profit in an inefficient market environment. Which, if the market is inefficient. When the Fed's policy rate changes, it moves capital around the world to balance the returns and risks of financial instruments. As a result, the market value of financial instruments decreases.

Keywords: stock market; survival analysis; volatility; COVID-19; speculators.

DOI: 10.1504/IJMEF.2023.131916

International Journal of Monetary Economics and Finance, 2023 Vol.16 No.3/4, pp.197 - 205

Received: 28 Jun 2022
Accepted: 11 Oct 2022
Published online: 04 Jul 2023 *

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