This thesis focuses on SET 50 index (Stock Exchange of Thailand) during January 2000 to
March 2010. The index comprises of 50 most traded stock in SET and the market capitalization
of which contains approximately 70 per cent of the entire market. As this study examines the
relationship between inflation rate and stock prices, the monthly inflation rate in Thailand during
the same period is taken into account. In addition, this thesis depicts two most influential crises
in Thailand which are Tsunami, the natural catastrophe, and the recent financial crisis