Papers › Analysis of Thai Capital Market Linkages: Part II. Bivariate Copula vs. Granger...
Analysis of Thai Capital Market Linkages: Part II. Bivariate Copula vs. Granger Causality, a Centrality Analysis
Poomjai Nacaskuli, Puvarith Veerabulyarithii, Isariyaporn Sukcharoenchaikul
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.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections