Factors Affecting the Changes in the Stock Price Index of the Stock Exchange of Thailand

Abstract

This research aims to investigate the factors influencing changes in the Stock Exchange of Thailand (SET Index), with a particular focus on the relationship between the number of factory closures in Thailand and significant domestic events reported in the news. These events include natural and environmental impacts, economic developments, and political security issues. Additionally, the study examines macroeconomic factors such as the Dow Jones Industrial Average (DJIA), the Thai Baht to US Dollar exchange rate, the policy interest rate, the crude oil price index, the consumer price index (CPI), the business confidence index, and the gold price index. The analysis utilizes secondary data comprising monthly time-series data, both quantitative and qualitative, collected from January 2019 to December 2026, covering a total period of 60 months. The data were analyzed using a multiple regression model (Ordinary Least Squares: OLS).

            The results of the study indicate that the variables examined can be categorized into two main groups: variables with statistical significance and variables without statistical significance. For the group of variables that exhibit statistical significance, the analysis reveals that two factors exert a negative impact on the Stock Exchange of Thailand Index (SET Index), namely economic news and political and security-related news. Both factors demonstrate an inverse relationship with the SET Index, suggesting that an increase in the intensity or severity of such news is associated with a downward movement of the index. In contrast, the group of macroeconomic variables that show statistically significant positive effects on the SET Index includes the Dow Jones Industrial Average, exchange rate, crude oil prices, and the Consumer Price Index . These findings highlight the influential role of both domestic and international economic indicators in shaping the dynamics of the Thai capital market. Meanwhile, the variables found to have no statistically significant relationship with the SET Index are the number of factory closures and environmental conditions. The analysis suggests that these two factors do not exert a discernible impact on the movements of the Thai stock market during the period of study.