The Effect of Foreign Stock Indices on Thailand Stock Price Index Forecasts Based on ARIMAX
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Abstract
The stock price index plays an important role in the decision of an investor as a necessary profitable index. There are many factors related to stock price indexes, including foreign stock indices. The bulk of investors seek investments with low risks and high returns and analyze the fundamental factors that influence the volatility of the stock price index. This research objective was to analyze the effects of exogenous factors using foreign stock indices on the Thai stock price index using ARIMAX. The data applied in this research covered the period from 2014 to 2023 and utilized the stock price indices of global stock exchanges with significant trade values spanning the dataset, which were the S&P 500, the BOVESPA, the FTSE 100, the Hang Seng, the Nikkei 225, and the IDX Main Board. The methodology was about to apply the ARIMA model to predict the exogenous effects upon the SET price index, while the Autoregressive Integrated Moving Average with Exogenous Factors (ARIMAX) prediction model uses historical univariate time series data to analyze and predict future trends and values.
The research summarized that from a relationship point of view, there were positive relations between foreign stock indices and SET index prices listed from maximum to minimum as follows: FTSE 100 Index, IDX Main Board Index, Hang Seng Index, Bovespa Index, Nikkei 225 Index, and S&P500 Index. It can be concluded from the effects of foreign stock indices on the Thai stock price index that the Nikkei 225 Index influences SET index projections the most, followed by the FTSE 100, BOVESPA, Hang Seng, S&P500, and IDX Main Board indexes. This research suggests that investors should consider not only the foreign stock indices but also the other instruments related to investment risks in both domestic fundamentals and technical analysis.
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Articles published in the Journal of Business Administration and Innovation Rajamangala University of Technology Phra Nakhon contains information and content. The article's single author is accountable for it. In all instances, the journal's editors are not accountable for any losses incurred.
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