Title: The impacts of macroeconomic and financial indicators on stock market index: evidence from Thailand

Authors: Supakorn Chaengkham; Suthin Wianwiwat

Addresses: Faculty of Economics, Khon Kaen University, Khon Kaen, 40002, Thailand ' Faculty of Economics, Khon Kaen University, Khon Kaen, 40002, Thailand

Abstract: Market capitalisation and foreign investor transactions of the Thai Stock market have expanded significantly over the past 10 years. This research paper employed the autoregressive distributed lag (ARDL) approach to examine the impacts of key macroeconomic and financial indicators on the stock market of Thailand. We applied two models in this study. The first model is based on macroeconomic indicators such as broad money supply, consumer price index (CPI), manufacturing production index (MPI), exchange rate, and exports. The second model is based on financial and commodity indicators such as volatility index, price-to-earnings ratio, gold price index, and oil price index (OIL). Consistent with theory, the results indicate that the Thai stock market index has a long-run relationship with the selected indicators such as exchange rate, broad money supply, CPI, price-to-earnings ratio, volatility index, and OIL. Therefore, the long-run coefficients estimated in this study could be utilised for managing long-term investments.

Keywords: ARDL; autoregressive distributed lag; cointegration; error correction; financial indicators; macroeconomic indicators; Thai stock market; stock index.

DOI: 10.1504/IJTGM.2021.114058

International Journal of Trade and Global Markets, 2021 Vol.14 No.2, pp.197 - 205

Received: 03 Jun 2019
Accepted: 11 Nov 2019
Published online: 08 Apr 2021 *

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