Factors Explaining the Variation of Stock Returns of Listed Companies in the SET50 Index in the Stock Exchange of Thailand
Keywords:
Factors Explaining the Variation of Stock Returns, Listed Companies in the SET50 Index, The Stock Exchange of ThailandAbstract
The objectives of this research were 1) to study the stock returns of listed companies in the SET50 Index in the Stock Exchange of Thailand and 2) to analyse factors explaining the variation of stock returns of listed companies in the SET50 Index in the Stock Exchange of Thailand. This study focused on all listed companies in the SET50 Index with complete data and according to the study conditions for 22 companies. The study was from January 2016 to December 2020. Data were analysed using descriptive statistics and Time-series regression.
The results informed that 1) the average return of listed companies in the SET50 Index was approximately 0.90 percent while the maximum and the minimum were 5.26 and –0.48 percent, respectively. 2) Price to Earnings ratio, Price to Book Value ratio, firm size and inflation were the important factors in explaining the variation of stock returns of listed companies in the SET50 Index in the Stock Exchange of Thailand.
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