Capital Account Liberalization and Stock Price Implications for Financial Institutions in Thailand
Posted: 1 Nov 2009
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: Suggested Citation