การวิเคราะห์ปัจจัยที่ส่งผลต่อดัชนีราคาตลาดหลักทรัพย์แห่งประเทศไทยในช่วงสถานการณ์โควิด-19

Abstract

Among the COVID-19 epidemic, affecting people all over the world, SET Index was drastically volatile due to the issuance of measures to control the epidemic of each country that affect the well-being of people in the country, such as trade, import-export of goods, product prices and lower employment, etc. The researcher would like to study the significance of the independent variables, namely, Dow Jones Index, The price of bullion in Thailand, Dubai crude oil price, The exchange rate of Thai baht against the US dollar, 10-year US bond yields, 1-year Thai bond yields, and the issuance of the Emergency Decree in SET Index or the dependent variable. And, the researcher would like to study the changes of independent variables during the COVID-19 epidemic. In this regard, Multiple Linear Regression Analysisand Wald Test were used to test significance test independent dynamics during the COVID-19 respectively. The results of the research found that Dow Jones Index and Dubai crude oil prices resulted in the model endogeneity problem, so it was necessary to dismiss these two independent variables. Furthermore, The results illustrated that the price of bullion in Thailand, The exchange rate of Thai baht against the US dollar, 10-Year US Bond Yield, and 1-Year Thai Bond Yield significantly affected the SET Index at 95% confidence level. However, The Emergency Decree in Thailand does not affect the SET Index. For the test of the change in independent variables during the COVID-19 situation, it found that only the 10-year US Treasury yield has changed during the COVID-19 epidemic at 95% confidence level, while the price of bullion in Thailand, the exchange rate of Thai baht against the US dollar, 1-Year Thai bond yields have not changed significantly at the 95% confidence level during the COVID-19 epidemic.