The Relationship Between Risk Liquidity And Return In The Stock Exchange Of Thailand

Abstract

This paper aims to examine the relationship among risks (systematic and unsystematic risks), liquidity and return of stocks listed in SET included PTT, BDMS, SPALI, STEC WORK during the period of 21 May 2018 to 21 May 2019 (244 days). In this study, the traditional approach of The Capital Asset Pricing Model (CAPM) is used to measure the relationship among risks, liquidity and return of those stocks by using panel data analysis. We collected the data and used time series regression to carry out the statistic movement of trading of those 5 stocks in every 10 minute.
We found that the unsystematic risk had positive correlation with PTT, but it had negative correlation with SPALI. Meanwhile, the systematic risk had negative correlation with BDMS. Moreover, this research also found that liquidity had positive correlation with WORK. However, there is no evidence to show that STEC had some correlation with systematic risk, unsystematic risk and liquidity. Furthermore, this study also extended to examine the risks, liquidity and return of those 5 stocks by combine them together as a portfolio.
It pointed out that systematic risk had negative correlation with this portfolio. It can be implied that if the stock market faced higher systematic risk, the investors may avoid to investing in BDMS, PTT, SPALI, STEC and WORK. They will invest in the stocks which had no correlation with systematic risk instead.