Business Sentiment and Abnormal Returns: Evidence from the Stock Exchange of Thailand
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Abstract
The purpose of this study is to analyze the effects of business sentiment on abnormal returns in the Stock Exchange of Thailand (SET). This study utilizes the BSI (BSI), developed by the Bank of Thailand (BOT). This index is a crucial measure because it provides real-time, qualitative data directly surveying business confidence. The data is converted into quantitative figures monthly for the BOT to use in formulating monetary policy and various financial measures. Therefore, this study employs qualitative data—in-depth information not typically reflected in quantitative research, which focuses factors such as interest rates and inflation. The study employs multiple regression analysis to examine data from firms listed on the SET between May 2014 and May 2018, comprising a total of 30,544 firms-level data, using a belief-based model. The results demonstrate that the Business Sentiment Index (BSI) positively affects abnormal returns. Also, the study found that larger, more stable firms and those with lower Book-to-Market ratios were more dominant during this specific period, which occasionally contradicted older historical trends (e.g., the Small-Firm Effect). In addition, the study found Market risk premium was negative, indicating high market volatility where risky assets sometimes yielded lower returns than risk-free assets (like treasury bills). The findings of this study are beneficial to investment analysts for investment planning, as changes in business confidence significantly impact investment decisions and cause stock prices to fluctuate from normal levels. It also helps policymakers to implement policies in a timely manner.
Article Details
เนื้อหาและข้อมูลในบทความที่ลงตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นข้อคิดเห็นและความรับผิดชอบของผู้เขียนบทความโดยตรงซึ่งกองบรรณาธิการวารสารไม่จำเป็นต้องเห็นด้วยหรือร่วมรับผิดชอบใด ๆ
บทความ ข้อมูล เนื้อหา รูปภาพ ฯลฯ ที่ได้รับการตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นลิขสิทธิ์ของวารสารสภาวิชาชีพบัญชี หากบุคคลหรือหน่วยงานใดต้องการนำข้อมูลทั้งหมดหรือบางส่วนไปเผยแพร่ต่อหรือเพื่อกระทำการใดๆ จะต้องได้รับอนุญาตเป็นลายลักษณ์อักษรจากวารสารสภาวิชาชีพบัญชี ก่อนเท่านั้น
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