Capital Account Liberalization and Stock Price Implications for Financial Institutions in Thailand

Posted: 1 Nov 2009

See all articles by Chaiporn Vithessonthi

Chaiporn Vithessonthi

Sunway University

Jittima Tongurai

Graduate School of Business Administration, Kobe University

Date Written: August 13, 2009

Abstract

In this paper we investigate market reaction to the announcement of capital account liberalization in Thailand on January 29, 2007. The liberalization of capital account is expected to have a positive effect on asset prices. Based on a sample of 38 financial institutions listed on the Stock Exchange of Thailand (SET), we find that the average abnormal return on the announcement day is -0.18 percent and statistically insignificant. However, we find positive and statistically significant average abnormal returns on Day -1 and Day -2. Regression results suggest that there is a negative relationship between dividend yield and cumulative abnormal return around the announcement date. Our results do not support the notion that the ratio of market-to-book value of equity is associated with cumulative abnormal return around the announcement date.

Keywords: Event Studies, Capital Account Liberalization, Financial Institutions, Thailand

JEL Classification: F31, F32

Suggested Citation

Vithessonthi, Chaiporn and Tongurai, Jittima, Capital Account Liberalization and Stock Price Implications for Financial Institutions in Thailand (August 13, 2009). Available at SSRN: https://ssrn.com/abstract=1497948 or http://dx.doi.org/10.2139/ssrn.1497948

Chaiporn Vithessonthi (Contact Author)

Sunway University ( email )

No. 5, Jalan Universiti
Bandar Sunway, Selangor Darul Ehsan 47500
Malaysia
+60 3 7491 8622 (Phone)
+60 3 5635 8633 (Fax)

Jittima Tongurai

Graduate School of Business Administration, Kobe University ( email )

School of Business Administration
2-1 Rokkodai, Nada
Kobe, Hyogo 6578501
Japan
81 78 803 6941 (Phone)
81 78 803 6941 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
620
PlumX Metrics