ความสัมพันธ์ระหว่างอัตราส่วนทางการเงินกับราคาหลักทรัพย์ ด้วยแบบจำลอง Panel VAR

Authors

นายเจตรัฐ สหนันท์พร, รศ.ดร.สรศาสตร์ สุขเจริญสิน

Published

WMS Journal of Management

Abstract

This research aims to study the relationship between financial ratios and stock prices of the companies: A Panel VAR Approach by using 16 financial ratios published by the Stock Exchange of Thailand i.e. Current ratio (CR), Quick ratio (QR), Debt to equity ratio (DE), Interest coverage ratio (INTCO), Gross profit margin (GPM), Net profit margin (NPM), Return on assets (ROA), (Return on equity), Account receivable turnover (ART), Average collection period (ACP), Fixed assets turnover (FAT), Inventory turnover (IT), Average sale period (ASP) and Total asset turnover (TAT). And collecting data on a quarterly basis from the first quarter of 2007 to the fourth quarter of 2016 of the listed companies in the SET and mai to study and compare the duration, direction, and the variance component of financial ratios on the changes in stock price between Listing market but still following the theories. the result shows that financial ratios affect the change in stock price were different in 2 listing markets both in duration and direction. And the changes in stock price depend mainly on the changes of stock prices in the past The average result of the impacts from the past returns is up to 96% and only 4 percent from other financial ratios. The analysis of the sample shows that the trading of securities listed in the Stock Exchange of Thailand is not reasonable in accordance with financial statement theory and does not support the efficient market theory at both weak and semi-strong form. The results of the study indicate that the use of technical analysis may be superior in predicting stock prices, comparing to the use of fundamental analysis.

(2563). ความสัมพันธ์ระหว่างอัตราส่วนทางการเงินกับราคาหลักทรัพย์ ด้วยแบบจำลอง Panel VAR. WMS Journal of Management, 9(4), 15-28.