Leading macroeconomic indicator announcement and the respond to Thai stock market.

Abstract

This paper examines how leading macroeconomic indicators announcements (BSI index) have reacted to the stock market. How those indicators play such an important role in the market. The impacts are divided into positive and negative changes in index have reactions to market return on few before and after announcement date. The proxy for measurement is the return on the closing index from Stock Exchange of Thailand. Each sector listed in stock market respond differently of BSI signals. Also, the Retail investors and Foreign investors respond to BSI index in both negative and positive changes but behave in opposite direction. The relationship also examines which shows that Proprietary Trading investors have a relationship to BSI index changes.

KEY WORDS: Macroeconomic news/ Leading indicators/ Stock markets