Stock Market Reaction to THAIFEX: An Event Study Analysis

Special Issue of the International Journal of the Computer, the Internet and Management, Vol. 13 No.SP2, October, 2005

Posted: 13 Mar 2017

Date Written: 2005

Abstract

For many years’ economists statisticians and teachers of finance have been interested in developing and testing model impact analysis of stock price behavior with financial analysis. And nowadays the popular trade fair THAIFEX will also continue to play an important role in promoting the growth of Thai Foods Export industry. In this paper, the event study analysis was developed and tested model with the non-financial events which is THAIFEX impact to stock market in Thailand particular in food and beverage industry by using one variable, the Average Abnormal Return, to the model. They are used for testing to see the characteristics before and after THAIFEX exhibition day of each AAR variable of companies. Using the Capital Asset Pricing Model (CAPM) and Regression methodology developed the model. The result from this study can indicate that in Thai stock market, the marketing event of exhibition does not support the semi-strength of the Entire Market Hypothesis (EMH) which suggests that on average the stock prices instantaneously and unbiased reflect the publicly available information.

Suggested Citation

Whangteeranon, Boonyaluk and Gunawardana, Kennedy, Stock Market Reaction to THAIFEX: An Event Study Analysis (2005). Special Issue of the International Journal of the Computer, the Internet and Management, Vol. 13 No.SP2, October, 2005 . Available at SSRN: https://ssrn.com/abstract=2932005

Boonyaluk Whangteeranon

Assumption University

Thailand

Kennedy Gunawardana (Contact Author)

University of Sri Jayewardenepura ( email )

Nugegoda
Gandodawila
Gangodawila, Nugegoda 10250
Sri Lanka

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