A Study of Abnormal Returns of Securities Removed from the SET100 Index: An Event Study from the Stock Exchange of Thailand

Abstract

The stock exchange serves as a capital-raising platform for businesses and an investment avenue for investors seeking returns in their desired forms. However, various events may occur, potentially affecting stock prices both positively and negatively. This study examines the average abnormal returns and cumulative average abnormal returns of stock prices following their removal from the SET100 Index. The Event Study methodology was employed, utilizing secondary data on the returns of stocks removed from the SET 100 Index and the overall returns of the Stock Exchange of Thailand. The study period spans from January 16, 2024 , to July 1, 2024. The Event Window is set from day - 10 to day + 10, while the Estimate Window covers 120 days. Statistical significance was tested using the t-test. The findings indicate that stock returns exhibited anomalies during the period when securities were removed from the SET 100 Index. On the second day following their removal, the average abnormal return was significantly negative at the 0.01 level. Additionally, the cumulative average abnormal returns on the second and third days after removal were also significantly negative at the 0.01 and 0.05 levels, respectively.