การวิเคราะห์ความสัมพันธ์ของราคาหลักทรัพย์กลุ่มธนาคารพาณิชย์กับดัชนีราคาหลักทรัพย์

Abstract

This research analyzes the correlation between the commercial banks property prices and the property prices index (SET Index, 2558). The purposes of this research are 1) to study the investment circumstance of the commercial banks in The Stock Exchange of Thailand (SET) 2) to analyze the correlation between the commercial banks’ property prices and the SET index (2558) by using “Bivariate Extreme Value Method”. From the circumstance analysis of each commercial bank balances, they are found having positive status, the assets exceeding debts, current assets exceeding current liabilities, ROA (Returning On Assets) and ROE (Ratio of Owner Equity) increasing from last year. The results show their profitable status and efficiency. On the other hand, the analysis of market capitalization is found that at the end of 2557, the value of assets in the market will exceeds the values of 2556 for 21.97 percent. This analysis reflects ‘the size of’ and ‘incentives to invest on’ SET, on the investors, regarding both liquidity and the market’s type of goods to invest on. Therefore, from both circumstance and market capitalization analysis, it is proper to invest. However, the other external risk factors should be taken into account. In the correlation analysis by using ‘Bivariate Extreme Value’ between the commercial banks property prices and the property prices index (SET Index, 2558), the estimation methods are consisted of 1) “Bivariate Generalized Extreme Value Distribution’ using ‘Block Maxima’ and 2) “Bivariate Generalized Pareto Distribution” using ‘Bivariate Threshold Exceedances’. From the result of analysis, it is found that the price of ‘SCB property’ and ‘KTB property’ are correlated to SET in the same direction. The results brought up the suggestions that, First, investing on SET requires the consideration on both commercial banks’ investing circumstances and the correlation using ‘Bivariate Extreme Value Method’, to focus the investment direction. Second, the correlation analysis using ‘Bivariate Extreme Value Method’ studies only on ‘Maximum Return’, however, it should include the study on ‘Maximum Loss’ in order to obtain clearer results.