The Determinants of the Property Fund and Real Estate Investment Trust Index with Long-Run Relationship List in Thailand

Abstract

The objective of this research is to be finding the determinants of the Property fund and Real estate investment trust Index with Long-Run relationship list in Thailand by Long-Run relationship test which call “Autoregressive Distributed Lag”. Variables which research study are PF&REIT Index, SET50 Index, Consumer Price Index, Business Sentiment Index, Loan interest rate and Gold spot price from January 2010 to December 2019. The results of unit root test of all variables that need to be studied are qualified as I(0) and I(1) The analysis can be used to find long-term equilibrium relationships with the model. Autoregressive Distributed Lag (ARDL)

The result indicate that Consumer Price Index, Business Sentiment and Loan interest rate are not significantly affect to PF&REIT Index in the long run. In the other hand, SET50 Index and Gold spot price are significantly affect to PF&REIT Index in the significantly 0.05 and have positively related to PF&REIT Index.