ปัจจัยที่มีผลต่ออัตราผลตอบแทนของดัชนีราคาตลาดหลักทรัพย์อาเซียนโดยวิธีการถดถอยแบบพาแนลควอนไทล์

Abstract

The objectives of this study were to examine factors affecting the return of ASEAN stock exchange indexes using panel quantile regression. The data used in this research is annual data covering the period 2000 to 2012 for 1)Singapore, 2)Philippines, 3)Malaysia, 4)Thailand, 5)Vietnam and 6)Indonesia. This study used interest rates, growth rate of exchange rates, and inflation rates to analyze the data by testing the panel unit root and estimating the model with the panel quartile approach. After studying the overall economy among these three main economic factors, the result shows the solutions; 1.) Rates of return of the stock index indicators of these six countries and the overall economy have been expanded drastically, 2.) Exchange rates have appreciated greatly except the exchange rate of Vietnam, which has depreciated, and 3.) Inflation rates have increased. In estimating the relationship of economic factors influencing these six countries using Panel Quartile in order to compare with the differences in any level of growth rate of exchange rates, the result shows the solutions. In the lower level of growth rate of exchange rates, interest rates and inflation rates have not affected the rates of return on the stock index indicator, but growth ratesof exchange rates have affected the rates of return on the stock index indicator. In the middle level of growth rate of exchange rates, inflation rates have not affected the rates of return on the stock index indicator, but growth rate of exchange rates have affected the rates of return on stock index indicator. In the higher level of growth rate of exchange rates, growth rate of interest rates and inflation rates affected the rates of returns.