FACTORS INFLUENCING THE STOCK EXCHANGE OF THAILAND (SET)

Abstract

This research aims to analyze and study the relationship between macroeconomic and foreign factors that influence the movements of the Stock Exchange of Thailand (SET) Index. The study utilized 126 monthly time series data samples. The independent variables in this study comprised six factors: Gold Price (XAU), Thai Baht per US Dollar Exchange Rate (THB), Gross Domestic Product (GDP), Thai Policy Interest Rate (THRATE), 10-Year US Government Bond Yield (US10Y), and WTI Crude Oil Price (WTI). Multiple Linear Regression (MLR) analysis was employed for the investigation. The research found that four factors significantly affect the SET Index at the 0.05 statistical level: Gold Price (XAU), WTI Crude Oil Price (WTI), Exchange Rate (THB), and Thai Policy Interest Rate (THRATE). The multiple regression equation used to estimate the SET Index is as follows: = 2968.825 - 0.278XAU + 6.214WTI - 43.743THB + 36.044THRATE. The overall model demonstrates a strong explanatory power, as the variables account for 77.8% of the volatility in the SET Index (Adjusted R-Square = 0.778). The variables with the highest impact, in descending order, are gold price, crude oil price, exchange rate, and policy interest rate.

Keywords: SET Index, Multiple Regression Analysis, Oil Price, Gold Price, Exchange Rate, Policy Interest Rate