The vulnerability of the Thai economy to speculative attacks exposed by foreign portfolio investment (FPI), measured by the net flows of foreign equity portfolio investment to Thailand was largely neglected before the financial crisis in 1997 and 1998. Foreign portfolio investment is almost reversible as long as the local currency is convertible and transaction costs are trivial. The essentially revertible and uncommitted attributes of portfolio investments exposed the weaknesses of the Thai economy to a great extent. This research investigates the impact of stock market volatility, interest rate fluctuations and exchange rate on foreign portfolio investment in Thailand. Foreign portfolio investment is reported to be sensitive to exchange rates, interest rate volatility and stock market volatility.