Determinants of foreign portfolio investment on Thai stocks | |
| Author | Siriruck Chaikittiwanich |
| Call Number | AIT RSPR no. SM-01-48 |
| Subject(s) | Investments, Foreign--Thailand Stocks--Thailand |
| Note | A research study submitted in partial fulfillment of the requirement for the degree of Master of Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-01-48 |
| Abstract | This research study investigates the determinants of foreign portfolio investment on Thai stocks from January 1996 to December 1999. Three main groups of variables: Economic linked-factors, Stock market linked-factors and Unexpected linked-factors are included in the econometric model to examine their relationships with the movement of foreign portfolio investment on Thai stocks (FPI). Our empirical results indicate that the movements of two factors under the group of Economic linked-factors (Thai baht/US dollar exchange rate, and the leading economic index), three factors under the Stock market linked-factors (the liquidity ratio of the Stock Exchange of Thailand, SET Index, and the volatility of the Stock Exchange of Thailand), and one factor under the Unexpected linked-factors (the policy shocks) are the statistically significant factors in explaining the movement of the Foreign Portfolio Investment on Thai stocks. The exchange rate of Thai baht against US dollar has negative correlation with FPI on Thai stocks; while, leading economic index (LEI), Thai stock market's liquidity ratio, SET Index, Thai stock market's volatility and Policy shock move positively with FPI on Thai stocks. Moreover, this research study helps confirm that the foreign investors are the rational investors who base their investment decisions on the prudential fundamental analysis rather than on any rumors. |
| Year | 2001 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-01-48 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Ramachandran, N.; |
| Examination Committee(s) | Piman Limpaphayom ;Swierczek, Fredric W. ; |
| Scholarship Donor(s) | Government of Austria; |
| Degree | Research Studies Project Report (M.B.A.) - Asian Institute of Technology, 2001 |