ผลกระทบต่อราคาและปริมาณการซื้อขายของหลักทรัพย์ที่ถูกปรับเข้าและออกจากดัชนี SET100 / ภคิน ลาภเจริญรักษ์ =The Effect on Stock Price and Volume of Inclusion in or Exclusion from the SET100 Index /Pakin Lapcharoenruk
According to previous studies in many counties have shown that changing in equity index compositions have affected to the adjusted securities return. The Stocks which were included in (deleted from) the index compositions had positive (negative) abnormal returns. Those studies also found abnormal volume on announcement dates and changing dates. The purpose of this research is to study the effects on Stock Exchange of Thailand, in case of adjusted stocks used to calculate the SET100 index by inclusion (exclusion), whether price effect and volume effect will occur with those stocks or not. The study applies Event Study using market model. The period of this study cover the adjustment of SET100 during 2012- 2016.
The results from this study show that inclusion, there was average abnormal return (AAR) of 0.771% significantly on first trading day after announcement. There were no price reversal after the change. This lasting effect supports the Imperfect Substitute, Information Signaling, and Liquidity hypothesis. In case of exclusion the AAR on first trading day after announcement was -0.536% insignificantly different from zero. However, exclusion expressed the trend of price reversion, which supporting the price pressure hypothesis. Moreover, our study finds that both added and deleted stocks to SET100 tend to have higher volume ratio around the announcement and effective dates. This evidence is consistent with the hypothesis that believe in the existence of index funds that need to buy and sell those stocks to replicate the index return cause the result.
