The effects of oil price on Thailand’s SET Index : quantile regression case study

Abstract

This paper attempts to explore the relationship between oil price and stock price using quantile regression for Thailand’s economic data to generate several models. The main findings are that Thailand’s oil price has a positive relationship with stock price. Increase in oil price result in increase of stock price. Additionally, short term interest rates, nominal exchange rate and CPI have a negative relationship with stock price. An increase in these variables cause stock prices to fall.