Chulalongkorn University Theses and Dissertations (Chula ETD)
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
June Charoenseang
Faculty/College
Faculty of Economics (คณะเศรษฐศาสตร์)
Degree Name
Master of Arts
Degree Level
Master's Degree
Degree Discipline
International Economics and Finance
DOI
10.58837/CHULA.IS.2019.76
Abstract
A study into the effects of different macroeconomic variables on the comovement between the Stock Exchange of Thailand (SET) Index and the Standard & Poor's 500 (S&P 500). These effects are tested using OLS regression in an annual and quarterly frequency. Real Interest Rate Difference between the two countries is found to have a significant negative effect, likely due to investors turning to Thailand when it has higher real interest rate. Income Level is found to be a significant positive effect, as countries with higher income are more integrated with the US. As the economy naturally grows, it is likely that the comovement will rise. For investors, long term risk diversification and arbitrage opportunities will be fewer, but they will still be present in the short term.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Asavaroengchai, Nuntapat, "Testing the determinants of stock exchange index comovement in Thailand stock exchange" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6942.
https://digital.car.chula.ac.th/chulaetd/6942