Forecasting the Criteria for Inclusion in the SET100 Securities Group After Adjusting the Stock Market Index Calculation Base
DOI:
https://doi.org/10.55164/ecbajournal.v18i2.277141Keywords:
Stock Prices, Dummy Variables, Stock Market Indexes, The Stock Exchange of ThailandAbstract
This study aims to analyze the factors influencing the inclusion of companies awaiting entry into the SET100 Index and to forecast the selection criteria following the recalibration of the Stock Exchange of Thailand (SET) index methodology. The analysis is based on data from 25 securities of companies pending SET100 inclusion during the period 2019–2022. Panel data analysis was employed using variables such as registered capital, stock price, financial ratios, and macroeconomic and industry-related factors. Two dummy variables were used to represent economic conditions and total assets. The results indicate that five variables are significantly associated with the likelihood of a company being considered for inclusion in the SET100 Index: stock price, return on equity (ROE), return on assets (ROA), gross domestic product (GDP), and total assets. The analysis, conducted using the Fixed Effects Regression Model (FEM), reveals that registered capital, ROE, ROA, and total assets exhibit a statistically significant positive relationship with stock prices at the 0.01 level. These findings may be beneficial for the Stock Exchange of Thailand and other stakeholders involved in the selection process, providing empirical evidence to support the refinement or further development of the SET100 inclusion criteria.
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