ผลกระทบของช่วงสิ้นสุดระยะเวลาห้ามขายหลักทรัพย์เสนอขายครั้งแรกต่อประชาชนต่อผลตอบแทนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The study of the effects on rate of return around expiration of the initial public offering silent period purpose to analyze the effects of return rate in each industry in Thailand. The analysis is based on data from 433 companies that initial public offerings range from time of year 2003 to 30 June 2021 on the Stock Exchange of Thailand and the Market for Alternative Investment. The study used an event study methodology to find average abnormal returns and cumulative average abnormal returns. The results showed that the first period of expiration of the initial public offering silence period at the event date was not significantly related average abnormal return. Even though negative statistical evidence is found in the industrial and technology sectors listed on the Stock Exchange of Thailand, positive statistical evidence is found specifically in the Property & Construction industry group, excluding all companies in the sample. Additionally, during the final period of expiration of the initial public offering, the analysis shows that significant negative abnormal average returns are found in the agriculture and food industry group in entire samples and listed on the Market for Alternative Investment, as well as in all companies listed on the Stock Exchange of Thailand. However, the evidence does not significantly affect the average abnormal return in entire samples. finally, the analysis of cumulative average abnormal returns not significantly relate during the final period of expiration of the initial public offering silence period. In conclusion, the analysis of average abnormal return and cumulative average abnormal return specifically effect in certain industrial groups but effect on entire samples.