The impacts of macroeconomic and financial indicators on stock market index: Evidence from 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.