An Analysis of Risk and Return in the Stock Exchange of Thailand : A Case of Banking Sector During Periods Before and After on September 2018

Abstract

This research aims to analyze of risk and return, stock valuation, and study the returns
correlation of The Stock Exchange of Thailand (SET), a case of banking sector during periods
before and after on 13 September 2018. This study was based on daily closing price in SET
index of 11 stocks from 13 August 2018 to 12 October 2018.
The result indicates that, there was no statistically significance difference between
the returns of stocks in banking sector before and after on 13 September 2018, at the 0.05
level of significance. The analysis of 1st period, TISCO stock contributes the highest return
whereas the performance of TMB Stock contributes the lowest return. Moreover, the result
reveals that negative Beta of 1 stock and positive Beta of 10 stocks. In addition, the result
shown 6 stocks of beta between0 to 1 (0 ≤ β ≤ 1) and 4 stocks with beta more than 1 (β >
1). For stock Evaluation, it is found that there are 5 stocks with alpha greater than 0 (α > 0)
and 6 stocks with alpha less than 0 (α < 0).
On 2nd period, the stock which contributes the highest return was TMB. In contrast, SCB
contributes the lowest return of this period. Furthermore, the research finds those 2 stocks
with negative Beta and 9 stocks with positive Beta, 8 stocks with beta between0 to 1 (0 ≤ β
≤ 1) and 1 stock with beta more than 1 (β > 1). For stock Evaluation, it is found that there
were 5 stocks with alpha greater than 0 (α > 0) and 6 stocks with alpha less than 0 (α < 0).