The effects of global investment assets on the Thai stock market

This paper sets out to examine the factor affecting the Thailand stock market, especially bitcoin, by applying the autoregressive distributed lags (ARDL) approach and the Bayesian VAR model with Gibb sampler with the data ranging from October 18th, 2017 to September 17th , 2021. The overall results show that the bitcoin and S&P500 index are two primary determinants of the Thai stock market. Both bitcoin and the S&P500 have a positive impact on the SET index, at least in the short run. Conversely, the volatility index and the gold price have a marginally negative impact. In particular, bitcoin can be considered as alternative asset for investors’ portfolio choice.