Movement Analysis of Stock Exchange of Thailand Index

Abstract

The purpose of this research is to research the factors affecting the Stock Exchange of Thailand index and analytics of movement of the Stock Exchange of Thailand index. We analyzed secondary data, monthly time series data of Stock Exchange of Thailand index and 25 independent variables with multiple regression. As result, among 25 independent variables are correlated to each other’s. So, we applied Factor analysis to summarize the variables as 5 Factors. The following 3 factors affect the result, The 5th are Retail Index and Hang Seng Index. The 4th factor consists of foreign public debt, value of imports and the number of international tourists. The last factor, the 3rd factor consists of finished goods inventory Index, finished goods, inventory ratio index, M2 money supply, unemployment rate and dividend yield.

          The following factors included Hang Seng index, foreign public debt, value of imports, number of foreign tourists, finished goods inventory index, finished goods inventory ratio index, M2 money supply and dividend yield are related to the stock index. According to the result, theses factor is significantly positive relationship to stock index as 0.05. However, retail Index and unemployment rate are significantly negative relationship to the Stock Exchange of Thailand Index as 0.05.

          According to analysis of the movement of the Stock Exchange of Thailand from January 2016 to January 2022, the movement of Stock Exchange of Thailand index are related to many factors included domestic and international. Most of factors are the factors that affect the economy. The following are example of domestic factors, tourism, exports, spread of the COVID-19 virus, lockdown plan, and others. For the international factors included, crude oil price, trade war between the US and China, rising of interest rate of US federal reserve.