THE RELATIONSHIP BETWEEN TRADING VALUES OF INVESTOR TYPES AND SET INDEX ON THE STOCK EXCHANGE OF THAILAND

Abstract

The Relationship between Trading Values of Investor Types and SET Index on the Stock Exchange of Thailand. This is a daily time series of 1222 days, from January 2012 to December 2016, for a total of 5 years. For quantitative data analysis using the R Studio program, the descriptive statistics were include maximum, minimum, mean, median, standard deviation and the inferential statistics include correlation analysis, multiple regression analysis using the least squares method at the confidence level of 95% was statistically significant at 0.05. According to the model used in the study, the proportion of Net Local Institution Trading Value, the proportion of Net Proprietary Trading Value, the proportion of Net Foreign Investors Trading Value, the proportion of Net Local Investors Trading Value have a relationship to the percentage change of SET Index. In addition, the relationship is moving in terms of the percentage change of Exchange Rates of US Dollar, the percentage change of Government Bond Yield 10 Year and the percentage change of Brent Crude Oil Spot Price.