Factors analysis on Stock Exchange of Thailand (SET) index movement

Abstract

This paper proposes the prediction method for stock exchange of Thailand index (SET index). The proposed method was adapted from adding more important factors to the prediction function. This research takes into account both external and internal factors to forecast the SET index. The external factors are the historical movement of the world's major stock exchange market indices such as Dow Jones, Nikkei and Hang Seng index, while the internal factors are the historical movement of the SET index and minimum loan rate (MLR). The experimental result on both short and long term data show that the proposed method has lower errors for both mean squared error (MSE) and mean absolute percentage error (MAPE) measures. In addition, the proposed function can be put into the spreadsheet which makes it easier and faster for the investors to analyze the trend of stock exchange market.