การทดสอบประสิทธิภาพตลาดจากผลกระทบของการออกหุ้น สามัญเพิ่มทุนที่มีต่อการเปลี่ยนแปลงราคาหลักทรัพย์ในตลาด หลักทรัพย์แห่งประเทศไทยและตลาดหลักทรัพย์ เอ็ม เอ ไอ

Abstract

The objective of this independent study was to test the market efficiency from the effect of equity offering in The Stock Exchange of Thailand and Market for Alternative Investment. The study focused on 120 equity offering events during January 2002 to December 2012 which were not issued with other financial instruments. The event study was used in the study to investigate whether the equity offering affected the stock price or to test if the markets were semi-strong efficient. The study focused on abnormal returns from the events. The abnormal returns were calculated from market adjusted return and market and risk adjusted return approaches. By using the market adjusted return approach, the results from The Stock Exchange of Thailand showed there were significant positive abnormal return on day 10, day 7 and day 1 prior to the event date and there were significant negative abnormal return on day 0, day 7 and day 25 after the event date. The results from Market for Alternative Investment showed there were significant positive abnormal return on day 14 and day 2 prior to the event date and there were significant negative abnormal return on day 21 and day 26 after the event date. By using the market and risk adjusted return approach, the results from The Stock Exchange of Thailand showed there were significant positive abnormal return on day 7 and day 1 prior to the event date and there were significant negative abnormal return on day 0, day 7, day 24 and day 25 after the event date. The results from Market for Alternative Investment showed there were significant positive abnormal return on day 14 and day 2 prior to the event date and there were significant negative abnormal return on day 3 and day 21 after the event date. The results showed that stock price tended to increase before the event date and decrease after the event date. The test of market efficiency from effect of equity offering for capital increase in The Stock Exchange of Thailand showed there was significant cumulative abnormal return. This implied that The Stock Exchange of Thailand was not semi-strong efficient. The test of market efficiency from effect of equity offering for capital increase in Market for Alternative Investment showed there was no significant cumulative abnormal return. This implied that Market for Alternative Investment was semi-strong efficient.