A time series analysis and modelling of the Thai Stock Market

Undoubtedly, the stock market plays a major role in the Thai financial system. The performance of the stock market determines the wealth and performance of the Thai economy. This paper provides a financial econometric analysis of the valuation of Thai stocks. Many contemporary techniques, approaches and models such as the unit root test, augmented Dickey Fuller, augmented Engle-Granger, co integration, and multi-factor model are developed in order to identify the long-run relationship between macroeconomic factors and the stock price. The result shows the empirical characteristics of the Stock Exchange of Thailand (SET) that market index prices are determined by the interest rate, foreign exchange rate, bond rate, market capitalization, P/E ratios and consumer price index in both short and long run