Monetary Policy of the United States that Affect on
Equity Prices in the Stock Exchange of Thailand
Somsak Leelang, Gallayanee P., Gingporn T ., (Management Science)
Abstract
The objective of this dissertation
is to test the effectiveness of the central
market. Stock Exchange of Thailand a
response to the news about monetary
policy through. The interest rate on
loans between banks of the United
States or not? This research Presents
research methodology the two main
reasons to avoid the problems that have
occurred with the test. The performance
of the stock market in emerging
economies, including the issue of data
leakage. Before the news was announced
officially. And issues arising from the
joint hypothesis testing. Instability of
the equilibrium price. It also has set a
time of testing. Taking into account the
dimensions of the dynamics of
macroeconomic factors of the country
with the results. The study pointed out
that The Stock Exchange of Thailand is a
powerful marketing medium. The price
of the securities will be modified to
respond to messages. With respect to
policy implementation. Financing of the
United States quickly and without delay
a proper system is. Changes in the
interest rate on loans between banks in
anticipation of that market. No impact
The Journal of World Investment & Trade Vol. 18 , Issue 1
January 2017
price changes. Securities on The Stock
Exchange of Thailand at the time.
Changed beyond all expectations one
percent, the price of the securities.
Change in translation decreased to 1.78
percent findings also pointed to two
important policy implications. First, the
governance of the disclosure of the
accurate, punctual. Enough time and the
decisions of investors. It was a factor of
great importance to improve the
efficiency of the Stock Exchange of
Thailand second policies. Financing of
the United States can significantly affect
the prices of securities in the market.
Stock Exchange of Thailand thus,
monetary policy in any way. Bank of
Thailand it should take into account the
impact of external factors on the town.
Keyword : Monetary Policy of US, SET
Introduction
Money market and capital market
efficiency. The importance of economic
development. Especially because it
encourages the mobilization and
allocation of funds accumulated from
both within and outside the country.
87
Effectively And that reason is that it
allows emerging economies (Emerging.
market countries), many countries have
initiated to reform the money and
capital markets in their countries.
Seriously so that market forces can work
better (Raja, Sudhahar, & Selvam,
2009). However the study showed that
cognitive information. Related to money
market and Capital market, especially
the stock market in these emerging
economies. There is very little Compared
with studies taking place in the markets
of the developed countries that reflects
the price of securities. Current
information can be issue of the
effectiveness of the stock market. This is
another point that is critical, both in
theory and in practice. But research the
issue is still a lack of knowledge, in-
depth view of both concrete and
abstract. Serious in that effectiveness of
marketing (market efficiency) was
adopted to describe. Market conditions
that can integrate relevant information
into the prices of financial securities
was. A complete and accurate by
modifying the price of the securities in
each point of time. A reflection of the
emergence of new information that
affects the value of the underlying.
securities; development dimension of
the economic structure of the country
has classified the efficiency of the
market into three levels: a. Low
efficiency (Weak form efficiency), which
reflects the ability of investors to use.
Information from the price in the past to
determine the price today. In an
The Journal of World Investment & Trade Vol. 18 , Issue 1
efficient market, the low level. Investors
will not be used for in the past to predict
the future price and design investment
strategies. It Can generate returns
higher than normal levels constant.
While effective intermediate (Semi-
strong-form efficiency) reflect the state
of the job market, stock prices reflect
information available to the public
quickly. The accuracy and completeness
for high efficiency (Strong-form
efficiency) that reflects the price of
securities. Current information can be
reflected in the level of public
information and inside information.
This study has been
strengthening. Extend and complement
the body of knowledge in academics. To
research other current through the
presentation of the testing procedure
are. The performance of the Stock
Exchange of Thailand have three basic
aspects of the problem can be avoided.
As a result, the effectiveness of the Stock
Exchange of Thailand. There was
ambiguity and no apparent problems,
including leakage of information prior to
the announcement or official release the
joint hypothesis problem and lack of
testing considerations on the
development dimension of the economic
structure of the country. This review
existing literature testing hypotheses
about the effectiveness of the SET.
Thailand Research has found that
applying the design process to test a
hypothesis. The performance of the
market by taking the by pass issue. And
88
all three of the aforementioned
obstacles, however issues of this
research. The Stock Exchange of
Thailand's market. In the mid-level
(Semi-strong efficiency), which reflects
the price of securities. information On
the announcement of the interest rate on
loans between banks which target. The
main tool the central bank of the United
States. In conducting monetary policy.
At present it appropriately and without
delay into the system. This research
aims to test performance in the middle
of the market. Stock Exchange of
Thailand Responding to the news about
the rate announcement. Target of
interest on loans between banks. This is
the main tool of the central bank. The
United States in conducting monetary
policy at present or not.
Research Methods
The study tested the effectiveness
of the medium of exchange of Thailand
the reference framework based on
theoretical assumptions of the
effectiveness of the market. Chapter 2
on any stock exchange said. It is a
market that is effective in distributing
information. News that the price of such
securities. Must be changed respond to
new information formed quickly after
full and proper price. Securities may not
have any relationship with such
information has already happened
anymore. In this chapter, the researcher
The Journal of World Investment & Trade Vol. 18 , Issue 1
divide the proposed methodology is
divided into five topics: (1) the concept
of research (2). Hypothesis (3)
information and sources of information
(4) The instruments used in research,
and (5). Interpretation of data the
details are as follows
(1) framework for research
In the framework of this research
study. Designed to be able to avoid that
problem. The argument is based on the
importance of testing the effectiveness
of the Stock Exchange of Thailand.
Thailand is the second major problem of
leakage of information prior to the
announcement of data. Formal
hypothesis testing and issue joint caused
by the instability of the judgment.
Pictures of pricing assets (Asset pricing
model) that were introduced in the
model to test. Assumption of market
efficiency
(2) hypothesis
Research on this hypothesis
includes six major hypothesis is detailed
below. Assuming that one goal of
changing interest rates on loans between
banks. Commerce of the United States,
where the market had expected. No
relationship is significant. Statistics on
the rate of return on securities holdings
in the Stock Exchange of Thailand.
Overnight Assuming that the second
goal of changing interest rates on loans
between banks. Commerce of the United
States Beyond the expectations of the
89
market. In a relationship Negative bank and financial information. No
significant statistical significance, with effect statistically significant yields of
the yield of the holding in the market. the holding in SET. Thailand at the time
Stock Exchange of Thailand overnight. 24 and 41 hours.
The third hypothesis yields (Price
change) of the securities market. (3) sources of data and information.
Accordingly, in the past period. There In this study, based on data
will be no effect with a statistically during January 2000 - may 2016 by a
significant rate. Return of the holding in source of information that will be used
thailand overnight. Assuming that four in the study are summarized in the
trading volume on the Stock Exchange table 1 below.
of Thailand. Lessons of the past will not
have a significant impact on the (4) Tools used in research
statistics on the rate of return on its
The instrument used to measure
holdings. Securities on The Stock
the change in the number of variables in
Exchange of Thailand overnight
it. Econometric models show below.
(Overnight return). Assuming that net
The tool is used to calculate the rate of
yields first five days of the holding in the
return. Holding period overtime the
country. US net effect of the
yield calculation of the holding or
announcement of the central bank and
changes. Share price during the period.
the financial information. Correlated
It is calculated using the following
positively with significant statistical and
equation is.
yield of the holding. Securities on The
Stock Exchange of Thailand overnight.
Assuming that the goal of the six
changes in interest rates on loans
between banks. Commerce of the United
States, where the market had expected.
Changes in interest rates The goal of
borrowing between banks in the United
States. In addition to market Rhdp = yield (Or the price) of the
expectations return of securities on The securities. The Stock Exchange of
Stock Exchange of Thailand in the Thailand that occurred during the
period. The volume of trading on the period from the date of holding the
Stock Exchange of Thailand in the past other one. t, which is the central bank of
and lessons. Net yields one of the the United States has announced an
holding in the United States after. The interest rate target. Loans between
effect of the announcement of the entral banks.

The Journal of World Investment & Trade Vol. 18 , Issue 1 90

SETIndex Pt = closing price of the stocks in the SET. Thailand on t, which is the central
bank of the United States have made the declaration. Target of interest on loans
between banks.

SETIndex Pt+hdp = price index of the Stock Exchange of Thailand. Thailand has been
Holding a HDP period since the end of the day t

Table 1 shows the source of information that will be used in research studies.

The Journal of World Investment & Trade Vol. 18 , Issue 1 91

 Results
The purpose of this study is to
test the effectiveness of the medium. The
Stock Exchange of Thailand. The price of
the Securities on the Stock Exchange of
Thailand can reflect information arising
from the conduct of monetary policy.
(Through declaration the interest rate
on loans between banks target) of the
United States quickly and without delay
is appropriate or not. This research has
been designed testing the effectiveness
of the market in order to avoid
significant second. The problem is
leakage of information prior to the
announcement of official data and
testing issues common assumption that
the instability of the balanced scorecard.
Pricing assets (Asset pricing model) that
were introduced in the model to test the
hypothesis of there. Market performance
To solve the problem of leakage of
information prior to the announcement
or. Official release it this research is the
use of information disclosure related.
Conduct the monetary policy of the
United States. This is the information
that has been controlled. Strict
supervision into the end of the test, it
can lead to doubts about. The leakage of
information prior to the official
announcement made. For problems. The
hypothesis testing together this research
was presented streak. The test is based
on the use of a balanced scorecard. To
determine the rate of return normally.
(Normal return) and the rate of return in
The Journal of World Investment & Trade Vol. 18 , Issue 1
excess of normal (abnormal return), as
shown in the example. Most studies I
have proposed a method to identify the
elements of change. The interest rate on
loans between banks in the United
States, which is information. To study
into two parts: a change in expectations
and beyond. Market expectations The
fields are derivatives based on interest
rates on loans. International banks
(Federal Funds Futures Contracts), the
financial instruments that have been
purchased. Sales by market forces at
Chicago Board of Trade as a tool in the
United States. Elements such
discrimination.
Changes in the interest rate on
loans between banks target with an
average of -3.388 bps which is close to
zero. show that Most the central bank
will have announced interest rates
unchanged. While a number of times to
adjust interest rates up and during the
period of study in a way that is quite
symmetrical. If the deviation standards
that are consistent with the behavior of
24.023 bps interest rate of the central
bank. Usually be adjusted up or down at
a rate that is double the number of 25
bps for the skewness and kurtosis are
4.398 and -1.125, respectively, which are
not different from the data. distribution
model Usually more changes in variable
interest rates on loans. The banks are in
Market expectations with an average of
-1.624 bps, with a standard deviation
equal to 22.835 bps, while the lowest
and highest -91.692 58.500 and the
92
lowest value and a maximum value of
approximately 3.94 and 2.63 times the
standard deviation. It shows data
changes in the interest rate on loans
between banks in anticipation of the
market. That the end (outlier) occurred
for the skewness and kurtosis is equal to
5.627 and -0.962, respectively. Changes
in variable interest rates on loans.
Between banks beyond Anticipation of
Market is average at - 1.763 bps, with a
standard deviation equal to 14.594 bps,
while the lowest and highest -108.50 bps
and 23.793 bps, respectively, the lowest
figure is estimated to reach. 7.31 times
the standard deviation. It shows that
valuable information. End up with a
very extreme. For skewness and kurtosis
is equal to -5.097 equals. 34.899 which
such values There is quite a difference
from a normal distribution.
The yield of the holding in SET.
During the overnight with an average of
0.253% with a standard deviation equal
to 0.630%, while the lowest and highest
-1.284% and 2.412%, respectively, which
are the lowest and the highest.
Representing approximately 2.44 and
3.42 times the standard deviation. It
shows that with the information. The
end is come up audit found that the
information on the details of such a tip.
Took place the same day at the end of
the variable changes in interest rates on
loans. The Bank of the United States for
skewness and kurtosis is equal to 0.294.
Equals 4.043, no different from a
normal distribution much. The yield on
securities holdings in the Stock
The Journal of World Investment & Trade Vol. 18 , Issue 1
Exchange of Thailand during the 24-
hour () with an average of -0.008% with
a standard deviation equal to 1.314%,
while the lowest and highest -3.327%
and 4.430%, respectively, and the
lowest. The maximum value of
approximately 2.52 and 3.37 times the
standard deviation. It shows that
Information is available at the end
happened. For skewness and kurtosis is
equal to 0.049 equals. 3.717 is no
different from a normal distribution
much. The yield on securities holdings
in the Stock Exchange of Thailand.
During the 41-hour with an average of
0.043% with a standard deviation equal
to 1.791%, while the lowest and the
highest is -6%, 0.779% and 4.924,
respectively, the minimum and
maximum values. Think approximately
3.81 and 2.72 times the standard
deviation. It shows that valuable
information. End up for skewness and
kurtosis is equal to -0.424 equals 5.024.
The yield on securities holdings in the
Stock Exchange of Thailand. Lessons of
the past with an average of 0.1444%
with a standard deviation equal to
1.566%, while the lowest and highest -
6.879% and 3.736%, respectively, which
are the lowest. And a maximum value
approximately 4.48 and 4.31 times the
standard deviation. It shows that
Information is the end place the two
ends for skewness and kurtosis is equal
to -1.046 equals 5.533. The variable
portion of the trading session in the past
found a mean of 0.539% with a standard
deviation of 0.339%, while the lowest.
And maximum 0.056% and
93
1.815%, respectively, which represented
approximately 3.76 times the maximum
deviation. Thus, the data shows that the
value end up with. While there is a fee
equal to 1.460 and skewed. Kurtosis
equals 5.533 variable rate of return in
the stock market after the United States.
The impact arising from the change in
interest rate on loans between banks
target. Commerce was found with an
average of 0.000% with a standard
deviation equal to 0.015%, while the
lowest and highest -0.053 and 0.040%,
respectively, for the. Skewness and
kurtosis is equal to 0.011 and 4.290,
inter alia, that this variable is the value
of the variable. Is moving from the
calculation of the equation by. Bernanke
and Kuttner in 2005, So that the average
value of this variable is equal to 0, then
that counts. Consistent with the
properties of variable tolerances given
by regression analysis. as well from the
statistical basis of the variables that are
used in this research study will find that
they are. Noteworthy are the variables.
Place to end up as a variable. Changes in
the interest rate on loans between banks
is beyond the expectations of the
market. (urt), etc. However, cutting such
information from the sample will be
used to study. Not the right way because
such data probably more important. To
demonstrate the response to Stock
Exchange of Thailand as well. So to be
able to analyze the context of events
occurring in its entirety. This research
study the data are not cutting the tip off,
however.
The Journal of World Investment & Trade Vol. 18 , Issue 1
Conclusion and Suggestion
The conclusion suggests that the
stock exchange. The market is in the
middle can lead to recommendations for
a set of strategies. Significant
investment has two reasons. First, the
Stock Exchange of Thailand. Effective in
the middle for information about the
operation of the financial policies of the
United States would show. That the
price of the Securities on the Stock
Exchange of Thailand reflects
information. Public, including guidance
and analysts' expectations of the market
towards. Changes in interest rate
policies of the United States already, so
buying. Sale of securities based on the
recommendations of the analysts or the
anticipation of such a market, it is not.
The ability to generate a return that
exceeds the normal has continued to
investors. However, if the conduct of the
monetary policy of the United States
occurred. Real difference to the market
has already anticipated. Investors will
also be useful in the field. The difference
in time zone between the two countries.
The United States used In determining
the strategy of trading securities, ie. If
the central bank of the United States
With the goal of raising interest rates.
Loans between banks at a level higher
than market expectations or a reduction
in interest rates. The aim of the loans
between banks at a level lower than
market expectations investors. Can
apply to the sale of securities on the
Stock Exchange of Thailand immediately
94
apply the open market. Since stock
prices are likely to decline after the
market opened in the paint. But if the
central bank of the United States. The
objective of interest rate cuts. Loans
between banks more than the market
had anticipated or be upgraded the
interest rate on loans between banks a
target of less than market expectations
of investors. It can be applied to
purchase securities in the open market
immediately applied to the price of
securities. Likely to rise. However,
investors must be aware that.
Information about the operation of the
policy. Financing of the United States
The data is only part of the data that was
affected. The value of securities thus, in
determining trading strategies, it is
necessary to consider. Other
information includes carefully.
For suggestions this research in
the future will be divided into two parts.
Suggestions for research in subjects
related to testing the effectiveness of
marketing. Suggestions for research in
matters related to the conduct of
monetary policy in the country. (1)
Suggestions for research in subjects
related to test its effectiveness. Involves
testing the effectiveness of the Stock
Exchange of Thailand. Particularly in
the middle And a high level, there is very
little. The process used by the test. Most
were not designed to be appropriate.
Enough to reflect the characteristics and
quality. Identity exchange is different
from the stock market.
The Journal of World Investment & Trade Vol. 18 , Issue 1
Developed countries have so
research study to test the effectiveness of
the stock market. of Thailand under the
quality dimension of the various groups.
Thus, there is a wide variety. Necessity
is very academics in the coming
generations will be able to study fields
such use. Evidence for the preparation
of a summary of the theoretical concepts
that reflect a holistic picture of the
behavior. Depth of the Stock Exchange
of Thailand in the future. In addition,
studies of the effectiveness of the Stock
Exchange of Thailand. The stock market
in emerging economies, the importance
of one. To prepare and study Analysis As
part of the stock market in emerging
economies which result. Research
studies have It is supporting the
development of knowledge.
Internationally about behavior in the
depth of the stock market in emerging
economies as well. Strengthening extend
and complement the body of knowledge
about the effectiveness of that market.
You can also be another form. Through
the new field of statistical techniques
such as Generalized. Auto Regressive
Conditional Heteroskedastics (GARCH)
and Kalman Filter, and then used to test
the efficiency of the market. (especially
in a market that is undergoing
transition. The evolution (transition
process)), which allows researchers to
cross through the problems and
limitations of conventional statistical
techniques are possible. (2)
Recommendations for research on
matters related to the conduct of
95
monetary policy. Domestic the findings
from this research. Points out that the
The United States is external factor. The
impact is significant on thai economy
Therefore, future research In connection
with the conduct. The monetary policy
of the Bank of Thailand. Therefore it is
necessary to take into account the
consequences. Caused by various
external factors include the impact of
external factors. This may have
contributed to the promotion or
offsetting effect of the conduct of
monetary policy. Domestic Bank of
Thailand. examples of further research
on the impact of the implementation of
the policy. Domestic financing of the
Bank of Thailand. May start from a field
study about. The level and pattern of the
impact of the implementation of
monetary policy with the United States.
The Stock Exchange of Thailand. From
this research is to further develop.
Model to study the effects in-depth
events from occurring. Potential from
conduct the monetary policy of the Bank
of Thailand, if the Bank of Thailand.
Efforts to domestic monetary policy
tightening. While at the same time.
United States With the use of monetary
expansion. The results, which will be
like. Such actions It allows to define
recommendations on the imple-
mentation of the policy. Local financial
consistent with the general valley of
globalization better.
The Journal of World Investment & Trade Vol. 18 , Issue 1
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