2012 ©
Journal Publication
Research Title The Effects of Macroeconomic Factors on Stock Returns: The case of The Stock Exchange of Thailand 
Date of Distribution 6 July 2018 
     Title of the Conference SIBR 2018 Conference on Interdisciplinary Business and Economics Research 
     Organiser Society of Interdisciplinary Business Research 
     Conference Place Ark Hotel Shinsaibashi (アークホテル大阪心斎橋), Osaka, Japan 
     Province/State Osaka, Japan 
     Conference Date 5 July 2018 
     To 6 July 2018 
Proceeding Paper
     Volume 7 (2018) 
     Issue 3 (July) 
     Page s18-172 
     Abstract This study aims to analyze the relationship between macroeconomic factors and stock returns in the Thai stock market. For this study empirically investigates the volatility pattern of the Stock Exchange of Thailand based on time series data which consists of daily closing prices of SET Index for sixteen years period from 1 st January 2002 to 31 st December 2017, the data was divided into three periods, Pre-crisis period from 1 st January 2002 to 16th September 2008, During Hamburger crisis from 17th September 2008 to 31 st December 2009 and the last is Post-crisis from 1 st January 2010 to 31 st December 2017. The analysis has been done using both symmetric and asymmetric models of Generalized Autoregressive Conditional Heteroscedastic )GARCH(. As per Root Mean Squared Error (RMSE) Mean Absolute Percent Error )MAPE( and Mean Absolute Error (MAE). The results show that the best GARCH type models to explain relation between macroeconomic factors and stock returns are different in the study period, that symmetric and asymmetric GARCH models have different performances in different time frames. In general, for the Pre-crisis, GARCH (1,1) and TGARCH (1,1) are most suitable. During crisis, TGARCH (1,1) and GARCH (1,1)-M are most suitable. And the last Post-crisis TGARCH (1,1) and EGARCH (1,1) are most suitable. It’s depends on the set of factors to be studied. The results also showed that the macroeconomic factors correlated with the stock returns of the Stock Exchange of Thailand, which significantly differed. 
585210039-1 Miss NATTAWADEE ROMKLANG [Main Author]
Economics Master's Degree

Peer Review Status มีผู้ประเมินอิสระ 
Level of Conference นานาชาติ 
Type of Proceeding Full paper 
Type of Presentation Oral 
Part of thesis true 
Presentation awarding false 
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