The Impact of the S&P 500 Scored & Screened Index, Global Commodity Prices, the CBOE Volatility Index, and Macroeconomic Factors on the Stock Exchange of Thailand (SET) Index and the FTSE Bursa Malaysia EMAS Index

Abstract

This study examines the impact of the S&P 500 Scored & Screened Index (SP_ESG), global commodity prices (gold and Brent crude oil prices), the CBOE Volatility Index (VIX), and macroeconomic factors (exchange rate and Consumer Price Index: CPI) on the Stock Exchange of Thailand Index (SET Index) and the FTSE Bursa Malaysia EMAS Index (FBMEMAS Index). Time-series data were collected on a monthly basis for 105 months from January 2017 to September 2025 from the Investing.com and TradingView financial databases and analyzed using multiple linear regression. For the SET Index model, Huber-White robust standard errors were employed to account for potential heteroskedasticity. From the analysis, the VIX is the only one having no statistically significant effect on the identified stock markets during the studied time period. Unlike the VIX, the SP_ESG and Brent crude oil prices have significant positive effects on both. Across the two stock market indices, in comparison, the SET Index was found significantly negatively affected by the exchange rate and CPI, but the FBMEMAS was significantly positively affected by gold prices. That is to say, the former is more sensitive to domestic financial conditions, but the latter to changes in gold prices. Overall, the findings indicate that although both capital markets are significantly influenced by global economic conditions and major international stock market indices, their underlying market dynamics differ. The comparative analysis provides insights into similarities and differences in factors influencing stock markets across countries and reveals opportunities for future research to further explore country-specific market characteristics and their roles in local stock market performance.