Risks and Returns of Listed Companies on the Stock Exchange of Thailand: Manufacturing Sector and Service Sector Evidence
Keywords:Risk, Return, the Stock Exchange of Thailand
The purpose of this research is to examine the relationship between risks and returns of service sector and manufacturing sector, which are major drivers to Thai GDP. This research used listed companies on the Stock Exchange of Thailand which have the highest group index as a sample group. The representative of manufacturing and service sector are a packaging group and commerce, respectively. The data of manufacturing sector and service sector were collected from Biznews database during 2014 – 2016. Market-based variables were employed to evaluate returns and Value at Risk. The coefficient of variation was also examined. The results showed that service sector provided higher return and lower risks than industrial sector during 2014 – 2016. Each sample companies had a variation of returns and risk due to two unsatisfactory situations: politic problem and the death of Thailand's King Bhumibol Adulyadej. To make a list of interested company for investment, the Coefficient of variation was performed and the list indicating the best choice for investment was the THIP, followed by Global and Beauty.
Bank of Thailand (2016). Economic Statistics data (2016), Retrieved 10 December, 2016, from https://www.bot.or.th/English/Statistics/EconomicAndFinancial/Pages/default.aspx
B. Mahfouz, H. Ahmed (2014), Shariah investment screening criteria: a critical review. J. King Abdulaziz Univ.: Islamic econ., 27 (1) (2014), 111–145
Chan-Lau, J. A., & Sy, A. N. R. (2007). Distance-to-default in banking: A bridge too far? Journal of Banking Regulation, 9(1), 14-24.
Eugene F, F. and Houston F, J. (2009). Fundamental of Financial Management, 12Th ed. Ohio: South-western Cengage Learning.
Gropp, R., & Heider, F. (2010). The determinants of bank capital structure. Review of Finance, 14(4), 587-622.
Gup, B. E., Avram, K., Beal, D., Lambert, R., & Kolari, J. W. (2007). Commercial banking: The management of risk. Milton: John Wiley & Sons
Jorion, P. (2001). Value at risk: The benchmark for managing financial risk. New York: McGrawHill.
Kasikorn Research centre, (2016). 3Q16 Household Debt Down, 2017 Projected at 80.5-81.5% of GDP, Retrieved 15 December, 2016, from https://www.kasikornresearch.com/th/KEconAnalysis/Pages/ViewSummary.aspx?docid=36103
Kleff, V., & Weber, M. (2008). How Do Banks Determine Capital? Evidence from Germany. German Economic Review, 9(3), 354-372.
Koonnathamdee, P. (2013). A Turning Point for the Service Sector in Thailand. ADB Economics Working Paper Series, 353,
Octavia, M., & Brown, R. (2010). Determinants of bank capital structure in developing countries: Regulatory capital requirement versus the standard determinants of capital structure. Journal of Emerging Markets, 15(1), 50-62.
Powell, R. (2007). Industry Value at Risk in Australia. (Doctor of Philosophy), Edith Cowan University (ECU), Perth, Western Australia.
Thippayana, P. (2014). Determinants of Capital Structure in Thailand. Proceeding Social and Behavioural Sciences, 143, 1074 - 1077
National Economic Development Board (NEDB) (2016). National Statistics 2016, Retrieved 20 December, 2016, from http://www.nesdb.go.th/nesdb_en/main.php?filename=Macroeconomic_Planning
Stock Exchange of Thailand (2016). Listed companies. Retrieved 20 November, 2016, from http://marketdata.set.or.th/mkt/sectorquotation.do?language=en&country=US&market=SET §or=INDUS
World Bank. (2016), Thailand economy statistics data. Retrieved 15 December, 2016, from http://data.worldbank.org/indicator/NV.SRV.TETC.ZS?view=chart