|
Abstract:
|
The objective of this independent study is Impacts of Macroeconomic Factors on Stock Return Volatility : A Case Study of SET 50. This study is to study Stock Return Volatility and the impact of macroeconomic factors on Stock Return Volatility. In which the stocks used in the study are top 10 market capitalization. By using monthly secondary data from January 2005 to March 2019, representing 170 observation. Information consists of 1 Stock top 10 market capitalization 2) Macroeconomic variables and other related variables including Exchange rate between baht and US dollar inflation government bond yields, amount of money, return rate of SET 50 securities, With data analysis tools which are 1. Augmented Dickey - Fuller test 2. ARMA-GARCH models 3. The seemingly unrelated regressions (SUR). The results show that the high volatile stock returns are BBL SCC CPALL SCB KBANK AOT PTT PTTEP ADVANC and BDMS, respectively. Of the return of ADVANC BBL and KBANK, the SET 50 has a statistically significant return of 0.1 in the same direction. The volatility of return on CPALL and SCC stocks has a significant correlation with the return of SET 50 at the 0.05 level. The volatility of the AOT and PTTEP stock returns has a significant correlation with inflation at the level of 0.1. Fluctuations in the returns of BDMS, KBANK and PTT stocks are positively correlated with inflation at the level of 0.05 in the opposite direction. Fluctuations in the returns of AOT, BBL, BDMS and SCB stocks are in the same direction as the money supply with a statistically significant level of 0.1 in the same direction. And the fluctuation of return for SCC shares has a correlated with the money supply statistically significant at the level of 0.05 in the same direction
keywords : Stock volatility, SET 50, stock returns, macroeconomic factors, The Stock Exchange of Thailand
|