Long-Run Relationship between Economic Factors and Stock Index

The case of the Agricultural Business Sector

Abstract

The purpose of this research is to study the Long-Run Relationship between Economic Factors and Thailand's Agricultural Business Index from January 2011 to December 2020. The Autoregressive Distributed Lag (ARDL) method is used to analyze the existence of a long-run equilibrium relationship. Finding from ARDL model that I(0) of the SET Index, Consumer Price Index, and WTI Crude and I(1) of the Agricultural Price Index, exchange rates (reference rate:USD) and Thailand's Policy Rate

The results provide evidence that SET Index and WTI Crude have a significant positive relationship with the Agricultural Business Index on the other hand the Consumer Price Index, Agricultural Price Index, and Thailand's Policy Rate have a significant negative relationship with the Agricultural Business Index in long-run.