THE RELATIONSHIP BETWEEN SYSTEMATIC RISK AND FANCIAL RATIOS: A CASE OF LISTED COMPANIES IN THE STOCK EXCHANGE OF THAILAND SET 100

Abstract

This research aims to study the relationship between systematic risk and financial ratios of the listed companies in the Stock Exchange of Thailand that had been in SET 100 through the 5 years since 2013–2017 and have operating period ending 31 December, excluding the company in financial sector. So there were 45 companies. The total of 225 financial ratios and systemic risk (Beta) of the listed companies were collected from the information system of the Stock Exchange of Thailand. The financial ratios used in this research were current ratio, debt to equity, interest payout, net profit margin, return on assets, return on equity, accounts receivable, turnover, and accounting beta. The correlation and multiple regression analysis with stepwise method were used to analyze the relationships, at 95% confidence interval.
The results indicate that the systematic risk of the listed companies in this group is greater than 1 and has a positive value. It indicates changes in the rate of return on stock investment will be in the same direction and greater than the change in the average return of the market. So we can say that system risk of these companies are high. We found that the return on assets has significantly negative relationship, meanwhile the return on equity has significantly positive relationship with systemic risks. This result helps investors to use the return on assets and return on equity for assessing the risk of stock investment, when they want to make investing decisions in the stock of listed companies in the Stock Exchange of Thailand, SET 100.