การตอบสนองของราคาหุ้นต่อการเปลี่ยนแปลงอัตราดอกเบี้ยนโยบาย ในประเทศไทย / ณัฐกานต์ เลากุลรัตน์ = The reaction of stock price indexes to the change in policy interest rate in Thailand / Natthakan Laokulrath
Bank of Thailand uses interest rate adjustment policy as an instrument for setting monetary policy to be consistent with domestic economic conditions to ensure price stability and sustainable economic growth. The announcement of the policy rate influences on an adjustment to the short-term money market rate and financial system through several transmission channels including the asset price channel in which the change in policy rate can affects the stock price following demand for stock. This study analyzes the reaction of SET Index and Industry Group Index to the change in policy interest rate in Thailand in order to assist Bank of Thailand to make an appropriate decision regarding interest rate policy and also to guide investor for forecasting and planning their investment direction in certain situation. This research has found that SET Index and Industry Group Index respond to actual change of policy interest rate which is not statistically significant, in contrast to the reaction of SET Index to unexpected change in policy interest rate give significant result. Likewise the response of Industry Group Index, unexpected change effect is significantly to financial and technology industry because they are high capital intensity, high interest-intensive and cyclical. Moreover, both SET index and The Industry Group Index have a negative relationship to unexpected change in policy interest rate as stated in the asset price channel of monetary policy transmission.
