Global Energy Market, Uncertainty, and Macroeconomic Determinants of The SET Energy and Utilities Index of the Stock Exchange of Thailand

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 THB/USD 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. From the analysis, the OVX, MSCI_ENERGY, and US10Y were found having a statistically significant positive effect on the SETENERG at the 1% significance level, but the THB/USD a statistically significant negative effect. The EU ETS and GEPU are two particular variables having no statistically significant effect on the identified stock markets index during the studied time period. These findings provide valuable insights for investors, policymakers, and other market participants in monitoring global energy market, policy uncertainty, and macroeconomic factors affecting the performance of energy sector stocks listed on the Stock Exchange of Thailand.