The Impact of the Bank of Japan’s Policy Interest Rate Adjustment on Stock Prices in the Stock Exchange of Thailand: A Case Study of Technology Sector Securities in the SET 100 Index

Abstract

This research aims to examine anomalies in stock prices resulting from the impact of the Bank of Japan's interest rate hikes on companies listed on the Stock Exchange of Thailand. The study utilizes closing price data of securities during the period when the interest rate hike announcement by the Bank of Japan takes effect (Effective Date). The abnormal return of the securities is determined by comparing actual returns with expected returns based on the Market Model, using an event study methodology to analyze the impact of the event on stock prices. The empirical investigation focuses on technology sector securities included in the SET 100 Index of the Stock Exchange of Thailand.

The findings indicate that the announcement of an interest rate cut by the Bank of Japan has a statistically significant negative impact on stock prices in the Stock Exchange of Thailand. Specifically, the cumulative average abnormal return (CAAR) of securities shows a statistically significant negative effect at the 0.05 level on days t-3, t-4, and t-5 after the event. Additionally, the CAAR exhibits a statistically significant negative effect at the 0.01 level on days t-6, t-7, and t-8 following the event.