ความสัมพันธ์ระหว่างความเสี่ยงทั้งองค์กรและผลการดำเนินงานของบริษัทในกลุ่มสถาบันการเงินที่จดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This independent study aimed to examine the relationship between enterprise risk and the performance of companies in the financial institute sector listed on the Stock Exchange of Thailand. Data were collected from 29 enterprises with 377 entries as observed in the database from 2007 to 2019 of the Stock Exchange of Thailand and Bloomberg. The statistical methods applied to analyze were the regression analysis and the panel data analysis, which comprised of Pooled Ordinary Least Square (OLS), Fixed effect model, and Random effect model. In this study, the dependent variables were the return on assets (ROA), the return on equity (ROE), and the economic value added (EVA) and the independent variables were liquidity risk, credit risk, market risk, operational risk, asset size, other non-interest income to assets ratio, and leverage ratio. Based on selected the financial institute sector listed on the Stock Exchange of Thailand, the study attempts to reflect on the financial risks by the financial ratios analysis, which may influence their financial performance and business stability. The findings of the study contribute toward the improvement of risk management in the financial institutions' sector by providing a deep understanding of issues related to financial risk management by the financial institute sector listed on the Stock Exchange of Thailand The finding in the financial institution sector revealed that the market risk significantly positively correlated to ROA and ROE. The operational risk in the current year has a significantly negative correlation to ROA, but positive relationship with EVA. Moreover, there is the vitally positive relationship between the operational risk in the previous year and ROA. In the banking sector, the result presented a essentially positive relationship between liquidity risk and ROA as well as ROE. The credit risk (NPLR) significantly negatively correlated with ROA. Hence, there is a positive relationship between the market risk (NIM) and ROA. The results in the non-banking sector showed that market risk significantly positively correlated with ROA and EVA. There is a substantially positive relationship between operational risk in the current year with ROA and EVA, but negative relationship with ROE. But, there is a vitally positive relationship between the operational risk in previous year (OER lag 1) with ROE.