Economic and Financial Factors as Predictor Factors of Stock Returns of Listed Companies in the sSET Index in the Stock Exchange of Thailand
Article Sidebar
Main Article Content
Abstract
The objective of this research was to analyse the predictive ability of economic and financial factors affecting the stock returns of listed companies in the sSET Index on the Stock Exchange of Thailand. This study focused on all listed companies in the sSET Index with complete data and according to the study conditions for 12 companies. The study was from January 2016 to December 2021. The data used in the study was secondary, consisting of monthly data on economic factors in Thailand and financial factors of listed companies. The methodology used in the study was time series regression. The results indicated that the exchange rate has a positive effect on stock returns of listed companies while the business sentiment index, consumer price index, interest rate, and firm size show a negative effect. For the price to earnings ratio and business risk, both showed a positive and a negative effect on stock returns. Importantly, all economic and financial factors can predict the stock returns of listed companies in the sSET Index on the Stock Exchange of Thailand. Alternatively, lagged economic and financial factors can be used to predict stock returns with statistical significance at 0.05 and 0.10 levels.
Article Details
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Views and opinions appearing in the Journal it is the responsibility of the author of the article, and does not constitute the view and responsibility of the editorial team.
References
Agirman, E., & Yilmaz, O. (2018). Value of Financial Ratios in Predicting Stock Returns: A Study on Borsa Istanbul (BIST). Journal of Business, Economics and Finance, 7(2), 191-199.
Bintara, R., Renalita, P., & Tanjung, S. (2019). Analysis of Fundamental Factors on Stock Return. International Journal of Academic Research in Accounting, Finance and Management Sciences, 9(2), 49-64.
Campbell, Y., & Yogo, M. (2006). Efficient Tests of Stock Return Predictability. Journal of Financial Economics, 81(1), 27-60.
Chhajer, P., Mehta, V., & Gandhi, V. (2020). Factors Influencing Stock Returns: Evidence from National Stock Exchange, India. International Journal of Management, 11(5), 631-643.
Duy, N., & Phuoc, N. (2016). The Relationship between Firm Sizes and Stock Returns of Service Sector in Ho Chi Minh City Stock Exchange. Review of European Studies, 8(4), 210-219.
Fama, E., & French, K. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465.
Hjalmarsson, E. (2010). Predicting Global Stock Returns. The Journal of Financial and Quantitative Analysis, 45(1), 49-80.
Hou, K., & Dijk, M. (2019). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. The Review of Financial Studies, 32(7), 2850-2889.
Janpratak, P., Khunchai, W., Bunnun, W., & Patcharachotsuth, P. (2021). Economic Factors Affecting the Stock Exchange of Thailand Index: Evidence from Transportation and Logistics Sector. Journal of Management Science, Ubonratchathani University, 10(1), 98-110.
Joungrattanakamjorn, W., & Suntraruk. P. (2016). Economic Variables as Predictors of Stock Market Performance: Evidence from the Market for Alternative Investment (MAI). Srinakharinwirot Business Journal, 7(1), 25-47.
Lestari, H., & Usman, B. (2020). Factors Affecting Stock Return of Manufacturing Companies in Indonesia. Advances in Economics, Business and Management Research, 169, 112-116.
Li, X., X., Huang, X., Dengce, X., & Zhu, S. (2014). Enhancing Quantitative Intra-Day Stock Return Prediction by Integrating both Market News and Stock Prices Information. Neurocomputing, 142, 228-238.
Linck, L., & Decourt, R. (2016). Stock Returns, Macroeconomic Variables and Expectations: Evidence from Brazil. Pensamiento & Gestión, 40, 91-112.
Lubis, P. (2021). The Effect of Fundamental Factor Analysis on Blue Chips Stock Returns on the Indonesia Stock Exchange. Journal Management Science, 4(2), 43-52.
Mazviona, B., & Nyangara, D. (2014). Does Firm Size Affect Stock Returns? Evidence from the Zimbabwe Stock Exchange. International Journal of Business & Economic Development, 2(3), 13-17.
Mohammad, G., Ullah, W., Islam, A., Alam, S., & Khan, K. (2017). Effect of Macroeconomic Variables on Stock Market Performance of SAARC Countries. Asian Economic and Financial Review, 7(8), 770-779.
Nopkaket, N., & Rungkakulnuwat, P. (2021). Long-Run Relationship between Economic Factors and Stock Index: The case of the Agricultural Business Sector. The 16th RSU National Graduate Research Conference, Rangsit University, August 19th, 2021, 200-212.
Ross, S. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360.
Schrimpf, A. (2010). International Stock Return Predictability under Model Uncertainty. Journal of International Money and Finance, 29(7), 1256-1282.
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-442.
Suebtrakul, S., Pamornmast, C., & Parkatt, G. (2016). Investment Behavior of Retail Investors in the Thai Security Market, The 3rd National Conference in Management Science, Faculty of Management Science, Sukhothai Thammathirat Open University, August 20th, 2016. 49-66.
The Stock Exchange of Thailand (SET), Annual Report 2017.
Tuna, G. (2022). Predicting Financial Market Returns in the Presence of Health Crisis: Evidence from Conventional and Islamic Stock Markets. Economic Research, 35(1), 1786-1806.
Vimolphattanatham, N., & Pariyaprasert, W., (2018), A Study of on Fundamental Factors of Stocks and Future Returns Based on an Analysis of Companies Listed in The Stock Exchange of Thailand (SET) During 2010 – 2016. Journal of Suvarnabhumi Institute of Technology, 4(2), 424-452.
Zhu, X. (2013). Perpetual Learning and Stock Return Predictability. Economics Letters, 121(1), 19-22.