การทดสอบประสิทธิภาพตลาดหลักทรัพย์จากผลกระทบของการประกาศจ่ายเงินปันผลในตลาดหลัดทรัพย์แห่งประเทศไทย และตลาดหลักทรัพย์ เอ็ม เอ ไอ

Abstract

This independent studyaims to examine the semi-strong form efficiency in the Stock Exchange of Thailand (SET) and the Market of Alternative Investment (mai) by using the event study of the dividend announcements of the listed companies in both the SET and mai to calculate abnormal returns before and after the event dateof 3 days, 10 days and 20 days. Subsequently, the abnormal returns were analyzed by descriptive statistics and statisticalequivalence mean testingat 95% confidence level. The results showed that the frequency of dividend payments reflected the Thai economy but there were not abnormal returnsoccurred from the event. Furthermore, the average abnormal returns were significant both before and after the announcement date for the SET.The average abnormal returns were significant only before the announcement for mai. The results of cumulative abnormal returns were significant for both markets. Therefore, these resultsled to the rejection of theefficient market hypothesis.This independent study concluded that the SET and mai were inefficient on the ground of semi-strong efficiency. The test of cumulative abnormal returndifferentiation between the SET and mai was insignificant. However, theSET offered higher cumulative abnormal returns than the maidid.