การวิเคราะห์ความสัมพันธ์ของดัชนีราคาตลาดหลักทรัพย์ในกลุ่มประเทศอาเซียน, สาธารณรัฐประชาชนจีนและเขตบริหารพิเศษฮ่องกงแห่งสาธารณรัฐประชาชนจีน

Abstract

This study aims to analyze and predict the index fluctuation of Thailand and ASEAN countries (Indonesia, Philippine, Singapore, and Malaysia), China and Hong Kong due to time managed by Thai political party. This study aims to find the relation of each variable in each state by applying the Markov-Switching Vector Autoregressive Model (MS-VAR) and the MS-VAR intercept regime dependent Model: MSI-VAR for analyzing the data. The data include Thailand (SET Index), Indonesia (JKSE Index), Philippine (PHCOMP Index), Singapore (STI Index), Malaysia (KLSE Index), China (SHI Index), and Hong Kong (HSKI Index) which are daily time-series data on February 17, 2001 – March 31, 2015 (3,681 observations ). The test applying Augmented Dickey-Fuller Test (ADF-test) of Unit root test to analyze 7 variables reveals that the observation of all data are stationary with the level of statistical significance of 0.01 % (99.0%). There are several kinds of results from the test, including intercept and trend test, intercept test and none test (none intercept and none trend). These results can later be used to find the relation of each variable on the model. Results from the MS-VAR intercept regime dependent Model (MSI-VAR) are divided into two groups. The first group is the comparison of the data for ASEAN Index; the researcher found that the consequences include two states: high (regime 1, the period that the index rises) and low (regime 2, the period that the index falls). Consequently, for high (regime 1), the index tends to rise and may go on for 12.56 days while for low (regime 2), the index tends to fall and may go on for 3.12 days. The second group is the comparison of ASEAN, China, and Hong Kong Index; the results also revealed two states: high (regime 1) where the index tends to rise and may go on for 10.73 days, and low (regime 2) where the index tends to fall and may go on for 3.12 days. From the analysis and predication of yield index fluctuation among ASEAN, China, and Hong Kong Index, the model can analyze the trend of rising index effectively but cannot analyze falling index precisely. Therefore, the investors should analyze and predict the yield index fluctuation among ASEAN, China, and Hong Kong Index with governing period of each Thai party. Plus, the investors should also analyze the cycle of index. These will help the investors to evaluate the situations that happen in each period for the decision in future investment effectively. .