ผลกระทบของนโยบายเศรษฐกิจสหรัฐฯ ต่อผลตอบแทนส่วนเกิน กรณีศึกษา บริษัทที่จดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย กลุ่มอุตสาหกรรมบรรจุภัณฑ์และปิโตรเคมี

Nirut Chaichok; Thanaphat Kuntawong; Aukkaradej Chaveerug

Authors

Nirut Chaichok -
Thanaphat Kuntawong
Aukkaradej Chaveerug

Keywords:

U.S. Economic Policy, Abnormal Returns, Event Study Analysis

Abstract

This study aims to examine the impact of the economic policies of President Donald Trump on the Abnormal Returns of firms listed on the Stock Exchange of Thailand, focusing on the packaging and petrochemical industry. The event study methodology is employed, with an event window ranging from t−10 to t+10. Secondary data consisting of daily closing prices of stocks and market index are utilized.

The empirical results reveal that the Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) are statistically insignificant across most of the event window. However, following the policy announcements, the CAAR exhibits a downward trend, indicating a negative market reaction consistent with the initial hypothesis, although not statistically significant.

These findings suggest that emerging markets or smaller firms may exhibit limited responsiveness to external economic policies. The lack of statistical significance may be attributed to limitations in the number of events and sample size, which reduce the statistical power of the analysis. This study contributes to the literature by providing empirical evidence on the impact of international economic policies on stock returns in the context of Thailand.

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