Cross Country Capital Inflow Evidence of SETI and SETPDI in the Stock Exchange of Thailand During 2004-2012

Abstract

This study investigates whether the Thai & US ratio of
interest rate, foreign portfolio investment (FPI), and Stock
Exchange of Thailand (SET) indext-1 collectively contribute to
both SET index (SETI) and SET property development index
(SETPDI) from January 2004 to December 2012. This study uses
Multiple Linear Regressions (MLR) through SAS enterprise 4.1
software. The impact of the Thai & US ratio of interest rate,
foreign portfolio investment (FPI), and SET indext-1 to the Thai
stock market and SETPDI were identified before, during, and
after Hamburger crisis. The study found the significant impact of
the Thai & US ratio of interest rate, foreign portfolio investment
(FPI), and SET indext-1 on stock market indices and it confirmed
the correlations suggested by previous studies. Moreover, the
findings also provided practical speculative implications for stock
investors. SET indext-1 had a higher predictive power than other
variables in the SET and SETPDI. The findings of this study
provided theoretical implications as well as stock speculation for
future researches. Therefore, stock investors need to keep an eye
on and pay more attention to the change of SET indext-1 the most.