{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/analysis-of-thai-capital-market-linkages-part-1","title":"Analysis of Thai Capital Market Linkages: Part II. Bivariate Copula vs. Granger Causality, a Centrality Analysis","arxiv_id":null,"date":"2022-12-12","proceeding":"mimeo 2022 12","authors":["Poomjai Nacaskuli","Puvarith Veerabulyarithii","Isariyaporn Sukcharoenchaikul"],"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.","url_abs":"https://www.researchgate.net/publication/364997544_Analysis_of_Thai_Capital_Market_Linkages_Part_II_Bivariate_Copula_vs_Granger_Causality_a_Centrality_Analysis","url_pdf":"https://www.researchgate.net/profile/Poomjai-Nacaskul-2/publication/364997544_Analysis_of_Thai_Capital_Market_Linkages_Part_II_Bivariate_Copula_vs_Granger_Causality_a_Centrality_Analysis/links/63969c06484e65005b02ee73/Analysis-of-Thai-Capital-Market-Linkages-Part-II-Bivariate-Copula-vs-Granger-Causality-a-Centrality-Analysis.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"analysis-of-thai-capital-market-linkages-part-1","repo_url":"https://github.com/KongkanKalakan/ThaiCapitalMktLink-GrangerCausality","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}