Global Energy Market Factors, Global Economic Policy Uncertainty, and Macroeconomic Factors Affecting Thailand’s SET Energy and Utilities Index
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บทคัดย่อ
This study aims to examine the combined impacts of external factors at the
international level on the SET Energy and Utilities Index (SETENERG) of the Stock
Exchange of Thailand. Three independent variables include (1) global energy market,
measured by the Crude Oil Volatility Index (OVX), the European Union Emissions
Trading System (EU ETS) and the MSCI World Energy Index (MSCI_ENERGY); (2) Global
Economic Policy Uncertainty Index (GEPU); and (3) macroeconomic factors, measured
by the 10-year U.S. Treasury bond yield (US10Y) and the Thai baht to US dollar
exchange rate (THB/USD). Time-series data were collected on a monthly basis for 114
months from April 2016 to October 2025 and analyzed with the Multiple Regression.
The results indicate that OVX, MSCI_ENERGY, and US10Y have positive and statistically
significant associations with SETENERG. In contrast, THB/USD has a negative and
statistically significant association with SETENERG. EU ETS and GEPU do not exhibit
statistically significant associations with SETENERG during the study period. These
findings provide valuable insights for investors, policymakers, and other market
participants into the relationships between global energy market factors, global
economic policy uncertainty, and macroeconomic factors and the SET Energy and
Utilities Index of Thailand.
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