ECONOMIC VARIABLES AS PREDICTORS OF STOCK MARKET PERFORMANCE: EVIDENCE FROM THE MARKET FOR ALTERNATIVE INVESTMENT (MAI): ตัวแปรทางเศรษฐกิจในฐานะตัวชี้วัดของศักยภาพตลาดหลักทรัพย์: กรณีศึกษาตลาดหลักทรัพย์เอ็มเอไอ (MAI)

Worapong Joungrattanakamjorn, Phassawan Suntraruk


The primary aim of this research is to investigate the predictive ability of economic variables upon stock market performance in the case of the Market for Alternative Investment (MAI) in Thailand during 2002-2013. Using multiple regression analysis with monthly data, the results from this study reveal that the lagged return on the MAI index can be used to predict the MAI index return, in which MAI’s return depends on its past performance in the similar direction. Moreover, it is found that interest rates have a negative impact upon MAI index returns, implying that rising interest rates can be predicted to lessen the performance of the MAI. The results from this study benefit both individual and institutional investors for managing their portfolio effectively when estimating trend movements of the market index. They also provide additional international evidence regarding investment in listed small and medium sized enterprises.


Economic variable, Stock market performance, MAI index, Thailand

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