Time-frequency connectedness between Thailand and international stock markets during crises

Purpose This study provides a thorough analysis of the dynamic connectedness between the Thai stock market and its major trading partners, including China, Japan and the USA, during periods of crisis. We provide assessments of asymmetric dynamic connectedness using a time-varying parameter vector autoregressive (TVP-VAR) frequency connectedness approach of Chatziantoniou et al. (2023), building on the work of Antonakakis et al. (2020) and Baruník and Křehlík (2018). The investigation period was from January 1, 2020, to December 31, 2024. It highlights differences in volatility connectivity across short-run (1–5 days) and long-term (5 to infinite days) durations. The results indicate a decrease in interconnectedness across financial assets over time. The greatest interconnectedness among markets was observed during the COVID-19 pandemic and was somewhat subdued during the cost-of-living crisis. Furthermore, the study finds that co-movements among the Thai stock market and its three major trading partners did not differ significantly during the two economic crises. Although China's role in Thailand has increased in both trade and investment over the past several years, it has not diminished. This study uses a generalized TVP-VAR model to examine transmission frequency and market connectivity within both short- and long-term frameworks. To the best of our knowledge, this is an inaugural research endeavor examining the interconnectedness between Thailand and international stock markets.