Factors affecting the return of gold futures in Thailand futures exchange

Abstract

This research aimed to study the factors affecting return of gold futures in Thailand futures exchange. The study used the daily historical data of five years from January 1, 2011 - December 31, 2015. There were five factors to be used in the study. They were Interbank Rate, Set Index, Exchange, World Crude Oil Price, and Gold Price, and Used the Descriptive statistics to test the basic data and the Multiple Regression Analysis to test the hypothesis. The study found that the Interbank Rate, Set Index, Exchange Rate, World Crude Oil Price, and Gold Price were able to forecast the Coefficient of Determination (R2) approximately at 0.617. It showed that the independent variables in the model could explain the change of dependent variable at 61.70% and found that the most affecting factors on return of gold futures were Gold Price and Interbank rate by having the same directional relationship with the return of the Gold Futures in the Thailand Futures Exchange.