The response of Thai stock to FOMC announcement.

Abstract

This paper examines the correlation between the mean returns of SET index and the trading behavior, industry index and market condition in participation in FOMC announcement. The minutes that issues after the decisions made at scheduled meetings of the Federal Open Market Committee (FOMC). Proprietary Trading follow negative news in the pre-event, at the event and post-event while Foreign Investors and Local Individuals response on the positive news in the post-event period only. The industry indices that have high impact on the announcement are the indices that have high correlation to the global consumption such as Technology and Resources. While the industries that correlate to domestic consumption have less impact to the announcement. Lastly, in order to classify market condition into bull and bear market, only the negative news has statistic significant in term of different mean returns on those different market condition.

KEY WORDS: FOMC announcement / SET index return / SET / industry index / investor type