Chulalongkorn University Theses and Dissertations (Chula ETD)
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Nipit Wongpunya
Faculty/College
Faculty of Economics (คณะเศรษฐศาสตร์)
Degree Name
Master of Arts
Degree Level
Master's Degree
Degree Discipline
Business and Managerial Economics
DOI
10.58837/CHULA.IS.2021.38
Abstract
This empirical research examines the relationship between exchange rate, exchange rate volatility, and also investigates the stock market return factors on the foreign direct investment flows in Thailand. This research uses the quarterly data from 1Q2005 to 4Q2020 period. It finds that there is the evidence of significantly positive relationship of exchange rate on foreign direct investment while exchange rate volatility has the significantly negative relationship on foreign direct investment. There is also the relationship but not significant of high performance of stock market return on attracting foreign direct investment flows. Moreover, this paper documents that the former foreign direct investment itself and real exchange rate influence the investor’s FDI decision in current period as well. The vector autoregression model (VAR) is used for forecasting. The finding indicates that 1-quarter lagged of FDI itself is positively significant affecting the current FDI flows.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Vanapruk, Sansanee, "Effect of exchange rate, exchange rate volatility, and stock market return on foreign direct investment" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7654.
https://digital.car.chula.ac.th/chulaetd/7654