การแพร่กระจายข้อมูลข่าวสารของอุตสาหกรรมและความสามารถในการคาดการณ์อัตราผลตอบแทนของตลาดหลักทรัพย์แห่งประเทศไทย / ศักรี จิรวิชญ = Industrial information diffusion and market return predictability of the Stock Exchange of Thailand / Sakri Jirawit
This thesis studies the role of gradual information diffusion on the lead – lag relationship of returns of stock portfolios listed on the Stock Exchange of Thailand. This includes an analysis of characteristics of bad and good news which affects the speed of information transmission between big – and small – cap stocks. The research highlights the differences in information diffusion within and across industrial sectors. In order to establish the lead – lag relationship, a longitudinal observation on the industry and stock market return from 1994 to 2004 was explained within a fundamental information diffusion perspective. The methodology includes a regression analysis through the ordinary least square. Dummy variables were adopted to distinguish the diffusion of bad and good news across big – and small – cap companies. The vector auto regressive model is employed to analyze whether the lead – lag relationship between big – and small – cap firms is caused by information diffusion within or across industrial sectors. The lead lag relationship between industry and stock market return is tested by the ordinary least square. Finally, the ordinary least square and General Method of Moment was incorporated into this research to find out whether a pattern of fundamental information diffusion was a factor which determined the lead – lag relationship between the industry and stock market return. It is discovered that speed of bad and good news diffusion of big to small companies are relatively similar. Apart from this, the role information diffusion within the same industrial sector was a significant factor that determined the size based lead – lag relationship. In the study of the lead – lag relationship between the industry and stock market return, the researcher found that certain industrial returns lead the return of the stock market up to three months. On the other hand, certain industrial returns were leaded by the stock market return up to two months. The result from the GMM is supportive to the concept of fundamental information diffusion, when the lead – lag relationship between the industry and stock market return.