Factors Affecting The SET Index

Abstract

The purpose of this study is to analyse the macroeconomic factors influencing the Stock Exchange of Thailand (SET) Index. This quantitative research utilised quarterly secondary data from the first quarter of 2004 to the fourth quarter of 2024 (a total of 84 quarters). The independent variables included the THB/USD exchange rate, global crude oil price, policy interest rate, Consumer Price Index (CPI), global gold price, SET dividend yield, and the 10-year U.S. Treasury bond yield. Multiple linear regression analysis was employed to test the hypotheses. The results indicated that the policy interest rate and the Consumer Price Index had a statistically significant positive relationship with the SET Index at the 0.05 level. In contrast, the global crude oil price, global gold price, SET dividend yield, and the 10-year U.S. Treasury bond yield had a statistically significant negative relationship with the SET Index, while the THB/USD exchange rate showed no significant effect. The findings of this study provide useful implications for individual and institutional investors as well as fund managers. The results can support investment decision-making in the Thai capital market by clarifying how macroeconomic factors influence stock market movements. Investors can apply these insights to forecast market trends, allocate portfolios effectively, and manage investment risks under changing economic conditions. Additionally, the findings may assist financial analysts and investment advisors in developing more effective economic analyses and investment strategies.