THE STUDY OF MARKET EFFICIENCY OF THE STOCK EXCHANGE OF THAILAND: A CASE STUDY OF PACKAGING INDUSTRY

Abstract

Thai thesis aims to study of market efficiency of the Stock Exchange of Thailand for making investment decisions to buy or sell securities. By choosing packaging industry sector in SET 100 Incorporated in Stock Exchange of Thailand 9 Number of securities. The data in this study used secondary data  was a time series of daily closing prices. This study period was between January 4, 2016 to December 29, 2016 for total 244 days. Dummy variables each representing Tuesday, Wednesday, Thursday, Friday, and Tuesday after Monday holidays were employed as independent variables. Daily closing prices were utilized as dependent variables. The methods of regression analysis were tested at the statistical significant level of 5% together with the analysis of correlation matrix, Multicollinearity and testing Heteroskedasticity and Autocorrelation and use HAC Newey-West Method for Standard Errors.

The results show that the constant coefficient α, the total probability of the stock is 0.0000, which is less than 0.05, thus rejecting the null hypothesis (H0). In other words, accept the hypothesis (H1). This α has a significant difference from zero.

The hypothesis testing of the slope coefficients β1, β2, β3, β4, β5 concurrently showed that the total probability of the securities used in the study was greater than 0.05. Therefore, the null hypothesis (H0) was not rejected. The main assumption (H0) is that β1, β2, β3, β4, β5 are not significantly different from zero. In other words, all independent variables do not have the ability to explain dependent variables such as closing price securities.

The results show that none of the closing prices of target data were affected by independent variables, meaning that closing prices in the past had no impact on closing prices in the future, or closing prices in the past and closing prices in the future were unrelated. Hence, it’s concluded that the Stock Exchange of Thailand is a weak-form of efficient market. Further studies should examine the semi-strong and strong-form of efficient market of the Stock Exchange of Thailand. Follow and update with new investment information. This is reflected in the recent stock price which may affect the return on short-term and long-term.