ผลกระทบของการถูกคัดเข้าหรือถูกคัดออกจากดัชนีฟุตซี่อาเซียน 40 ต่อผลตอบแทนของหลักทรัพย์ในกลุ่มประเทศอาเซียน

Abstract

The purpose of this research study was to examine the effects of including or excluding stock from the FTSE ASEAN 40 Index on stock returns. The research utilized two methods to examine the impact on returns: the event study method (Event Study) and the Multivariate Regression Model (MVRM). The comparison of results from both methods was conducted because the MVRM approach can address issues related to Calendar Effects and simultaneous occurrence of events. The research findings indicated that being included or excluded from the FTSE ASEAN 40 Index did not have a significant impact on the abnormal returns of the announced stocks. Furthermore, being announced for inclusion in the FTSE ASEAN 40 Index did not result in positive abnormal returns, and being announced for exclusion from the index did not lead to negative abnormal returns. Additionally, the research revealed that the utilization of the Multivariate Regression Model (MVRM) for testing and analyzing abnormal returns of stocks can effectively mitigate the issue of event clustering that may cause study distortions.