Regional Asymmetry in Financial Markets Pricing of Skewness Risk in the Thai Stock Market

The dataset data1_THA contains 2,337,955 observations and 8 variables. It represents daily stock trading data from the Stock Exchange of Thailand (SET) over the period January 2000 to March 2025.
Variables included:
Date – Trading date.
Open – Opening price of the stock (in Thai Baht).
High – Highest price of the stock during the trading day.
Low – Lowest price of the stock during the trading day.
Close – Closing price of the stock.
Vol – Trading volume (number of shares traded).
Aclose – Adjusted closing price (accounting for dividends and stock splits).
id – Stock ticker symbol listed on the Thai stock market (e.g., AJ.BK, SHR.BK).
Each row corresponds to the trading record of a specific stock (id) on a specific trading day (Date). The structure allows the dataset to be treated as a panel data format, combining multiple stocks across multiple dates.