An Application of Arbitrage Pricing Theory to Determine the Influence of Macroeconomic Factors on the Top Eight Thai Stocks
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Abstract
This research contributes to the ongoing exploration of the influence of macroeconomic indicators on stock returns based on the Arbitrage Pricing Theory, utilizing data from Thailand. The study focuses on the top 8 trade value stocks announced on the SET website on 16/5/23 and implements the panel regression technique on monthly data from 2/6/2018 to 1/11/2022.The empirical analysis reveals that inflation, exchange rate, and output growth, as measured by production index, exhibit a negative impact on the excess return of stocks. In contrast, net export demonstrates a positive influence on the excess return of stocks, while interest rate does not significantly determine the excess return of stocks. Consequently, investors and financial managers can use this information to inform their investment decisions, and the government can use it to promote economic stability.
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