Dynamic market reactions in Thailand : investment strategies in times of global crises | |
| Author | Prathana Jantanasakulwong |
| Call Number | AIT RSPR no.SM-25-04 |
| Subject(s) | Macroeconomics Stock exchanges--Thailand Stocks--Thailand |
| Note | A research study submitted in partial fulfillment of the requirements for the Degree of Master of Science in International Finance |
| Publisher | Asian Institute of Technology |
| Abstract | This research investigates the responsiveness of Thailand’s principal stock indices, SET, SET50, SET100, and MAI, to key macroeconomic factors across both stable and crisis periods. Employing monthly data spanning from 1995 to 2025, the study utilizes regression analysis with interaction terms to examine the effects of domestic interest rates, U.S. interest rates, movements in the S&P 500, and fluctuations in the Thai baht U.S. dollar exchange rate. Particular attention is given to three significant crisis episodes: the Asian Financial Crisis (1997–1998), the Global Financial Crisis (2007 2009), and the COVID-19 pandemic (2020–2021). Results show that the S&P 500 Index has a consistently strong and positive effect on all Thai stock indices, particularly SET50, during crisis periods, reflecting increased dependence on global financial markets. Thailand’s interest rate negatively affects all indices during stable periods, especially the MAI Index, which represents small and medium-sized enterprises (SMEs) and is highly sensitive to borrowing costs. In contrast, during crises, SET and SET50 show a positive relationship with domestic interest rates, indicating persistent investor uncertainty despite monetary easing. The U.S. interest rate positively affects Thai stocks in normal periods, suggesting capital inflows, but turns negative during crises due to capital flight to safer assets. The exchange rate also shows a shift in behavior: baht depreciation typically leads to lower stock returns in stable periods but supports the SET and SET50 indices during crises by boosting export competitiveness for large-cap firms. This study also highlights key behavioral differences between large- and small-cap indices. Large-cap indices like SET50 are more responsive to global trends, while the MAI Index is more affected by domestic interest rate changes. These insights are valuable for portfolio management, risk mitigation, and policymaking, especially in periods of financial instability. Overall, the findings contribute to a deeper understanding of how Thai stock markets interact with macroeconomic variables across different economic conditions. |
| Year | 2025 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Science in International Finance (M/Msc IF) |
| Chairperson(s) | French, Joseph Jerome |
| Examination Committee(s) | Endress, Tobias;Khan, Syed Shurid |
| Scholarship Donor(s) | AIT Scholarship |
| Degree | Research Studies Project Report (M. Sc.) - Asian Institute of Technology, 2025 |