Long–Run Equilibrium Relationship Between Macroeconomic Factors and Total Return (SET TRI)
Keywords:Long-run equilibrium, Macroeconomic factor, Total return
This research aims to study the long-run relationship between macroeconomic factors and the total return of the stock exchange of Thailand (SET Total return). Macroeconomic factors consist of Thailand’s policy rate, federal funds rate, real effective exchange rate, money supply rate, inflation rate, crude oil price, and gold price. This quantitative study gathers data on a monthly basis from January 2002 to June 2021. The ARDL-bound testing is employed in this study to examine the long-run relationship. The empirical findings reveal that the federal funds rate, real effective exchange rate, and crude oil price are all positively related to SET total return in the long run. On the other hand, Thailand's policy rate is negatively related to SET total return in the long run. Furthermore,
the validity of forecasts determined by using Root Mean Squared Error and Theil Inequality Coefficient shows that security analysts or investors can use the empirical result that forecasts total return (SET TRI) for long-term investment planning, such as ETF or index fund.
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