การตอบสนองของราคาของหุ้นที่ถูกปรับเข้าและออกจากดัชนี SET 50: หลักฐานเชิงประจักษ์ล่าสุด

Authors

ผศ.ดร.ณัฐวุฒิ เจนวิทยาโรจน์

Abstract

This study examines the price response to SET 50 index additions and deletions during 2011 to 2021, and finds that stocks added to (deleted from) SET 50 index have abnormal returns of 0.87%(-0.93%) on the announcement day of the addition (deletion). The price of the added (deleted) stocks continues to rise (drop) till the effective date, but reverses fully thereafter. This result is therefore consistent with the price pressure hypothesis. In addition, this study partitions the sample period into two subperiods. The first subperiod is 6 years from year 2011 to 2016, and the second is 5 years from year 2017 to 2021. The results from these two subperiods show that the price effect of SET 50 index additions and deletions is more pronounced in the recent 5 years than in the first 6 years. But the full price reversal still occurs during both subperiods, except for added stocks in the recent 5 years where price reversal is partial. This result possibly indicates the higher degree of limits to arbitrage on the price effect of SET 50 index additions and deletions during 2017-2021 subperiod, compared with that during 2011-2016 subperiod.