Main Article Content
This research has the objectives to study the factors affecting the return of gold futures in Thailand Futures Exchange. The study used daily data dating five years back since January 1, 2011 - December 31, 2015. There were five factors to be used in the study. They were Interbank rate, Set index, Exchange, Oil Prices, 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, Oil Prices, 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 effecting 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.