The Determinants of SET Index before and after the 2014 Coup d'état in Thailand

Abstract

The objective of this research is to examine the determinants of SET index before and after the 2014 Coup d'état in Thailand, including net purchase value of foreign investors, gross trading value of SET, S&P500 Index, gold price, and 10-year U.S. government bond yield. Moreover, this study employs multiple linear regression analysis by ordinary least square method to analyze daily data of SET index during 400 working days, 200 days before the 2014 Coup d'état in Thailand and 200 days after the event. The findings show that before the 2014 Coup d'état in Thailand, SET index is significantly determined by net purchase value of foreign investors, gross trading value of SET and 10-year U.S. government bond yield. However, after the 2014 Coup d'état in Thailand, only net purchase value of foreign investors is found to have the significant influence on SET index.