The Effect of Macroeconomic Determinants and COVID-19 Pandemic on Stock Exchange of Thailand Index


  • Pitipat Nittayakamolphun Faculty of Management Science, Buriram Rajabhat University
  • Thanchanok Bejrananda Faculty of Economics, Maejo University
  • Panjamapon Pholkerd Faculty of Management Science, Buriram Rajabhat University


Stock exchange of Thailand index, Macroeconomic determinants, COVID-19, ARDL


The capital market has always been influenced by macroeconomic fundamentals. Stock price index,
as well as return on investment, are usually associated with changes in macroeconomics. Besides, the current event of pandemics by the Coronavirus 2019 (COVID-19) has caused a great deal of concern among investors. Therefore, this study focuses on the effects of macroeconomic determinants and the COVID-19 pandemic towards the Stock Exchange of Thailand index by autoregressive distributed lag (ARDL). The quarterly data of the SET, SET50, SET100, MAI, and the important macroeconomic fundamentals are used in this study over 2005Q1-2021Q2 period. The result indicates a positive effect of the COVID-19 pandemic only on the MAI. While the exchange rate, as well as interest rate, showed negative influence, whereas foreign portfolio investment and consumer price index show positive statistically significant influence on the Stock Exchange of Thailand index with cointegration and speed of adjustment. Thus, the regulator should consider setting a low-interest rate and monitoring exchange rate fluctuations and international capital mobility to maintain the stability of the capital market, which will further contribute to the economic development of a country.


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How to Cite

Nittayakamolphun, P., Bejrananda, T. ., & Pholkerd, P. . (2023). The Effect of Macroeconomic Determinants and COVID-19 Pandemic on Stock Exchange of Thailand Index. Journal of Accountancy and Management, 15(2), 28–45. Retrieved from



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