Pandej ChintrakarnRattakarn KomonratMahidol University. Mahidol University International College. Business Administration Division2015-07-212018-04-102015-07-212018-04-1020152010Bangkok University Academic Review. Vol.9,(Special Issue1), (2010), 88-98https://repository.li.mahidol.ac.th/handle/20.500.14594/10517This study analyzes co-movements of international stock market indies and the role of foreign investors in Thailand’s stock market index. The main research questions of the study (1) Do the co-movement of international stock market indices exist? (2) Do stock market indices of large markets statistically influence those of the smaller market? (3) How do the co-movement occur? Analyzing the daily stock market price and return indices from 11 markets : SET (Thailand), STI (Singapore), SHCOMP (The Republic of China), PCOMP (Philippines), JCI (Indonesia), KLCI (Malaysia), HIS (Hong Kong), NKY (Japan), KOSPI ( The Republic of Korea), S&P 500 (United States of America), and FTSE 100 (United of Kingdom) during 1999-2008, the results of Granger-causality test on stock markets’ daily return indicate that international stock markets are correlated to each other in different ways. Take examples, (1)S&P 500 index influences most stock markets in the sample (2) STI index is often influenced by large stock market indices (3) SHCOMP index is independent from other stock markets. The study also discusses the role of foreign investors as an important factor that drives co-movements between Thailand’s stock market index and some other stock markets’ indices such as S&P 500. The results show that on one hand, when S&P 500 index continuously declines, foreign investors take the position of net sellers of Thai stocks resulting in the fall of Thailand’s stock market index. On the other hand, when S&P 500 index continuously rises, foreign investors take the position of net purchasers of Thai stocks resulting in the rise of Thailand’s stock market index. Hence the overall findings reflect the co-movement between S&P 500 index and Thailand’s stock market index.engMahidol UniversityInternational Stock MarketForeign InvestorThailand’s Stock Market IndexArticleBangkok University