Temperature Anomaly, Investor Attention, and Stock Market Returns: Evidence from the Stock Exchange of Thailand and Ho Chi Minh Stock Exchange Massaporn Cheuathonghua
คำสำคัญ:
Temperature Anomaly, Investor Attention, VIX, OVX, Stock Market Returnบทคัดย่อ
This study aims to investigate the relation among six independent variables that include temperature anomaly, Google Search Volume Index, the CBOE Crude Oil Volatility Index (OVX), the CBOE Volatility Index (VIX), brent crude oil price and foreign exchange rate, and two dependent variables that consist of the total return indices of SET100 in the Stock Exchange of Thailand (SET100 TRI) and VN100 in Ho Chi Minh Stock Exchange (VN100 TRI). This quantitative research collects monthly time series data from April 2018 to April 2025 with the total of 85 observations and utilizes Multiple Linear Regression for the analysis.
The findings demonstrate that temperature anomaly is significantly positively associated with VN100 TRI. Google Search Volume Index only has a significant negative correlation with SET100 TRI. Furthermore, OVX, VIX, brent crude oil price and exchange rate between domestic currencies and U.S. dollar have inverse relations with both SET100 TRI and VN100 TRI. The empirical evidence suggests that those factors play crucial roles in determining stock market returns in Thailand and Vietnam. These insights contribute to investors who intend to diversify their portfolios in both capital markets to conduct investment strategies effectively.
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