Relationship between Economic Factors and the Stock Price Index Movement in the Stock Exchange of Thailand
Keywords:
Oil price, Exchange rate, Consumer product index, Stock exchange of ThailandAbstract
This study used the VAR model to study the relationship between economic factors and the stock price index movement in the Stock Exchange of Thailand (SET). Oil price, exchange rate, consumer product index, and stock price indices of 8 industry groups in the Stock Exchange of Thailand (SET) were employed and studied as variables. Time series monthly data was collected from January 2018 to December 2022 to study and compare the duration, direction, and variance composition of economic factors affecting the changes in stock price indices of 8 industrial groups. The results of the study indicated that changes in stock price indices depend mainly on past changes in stock price indices, followed by oil prices, exchange rates, and the consumer product index, respectively. Therefore, investors should consider oil prices, exchange rates, and consumer product indexes in investment decisions to prevent risks arising from potential fluctuations. In addition, the Securities and Exchange Commission (SEC), as Thailand’s capital market supervisory board, should implement a policy for companies listed on the stock exchange to protect against risks from fluctuations in macroeconomic factors in order to promote the efficiency of investment and to contribute the sustainable development of the Thai capital market.
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