การวิเคราะห์ความสัมพันธ์ระหว่างราคาและปริมาณการซื้อขายของหลักทรัพย์กลุ่มเหล็ก ในตลาดหลักทรัพย์แห่งประเทศไทย โดยวิธีการทดสอบความสัมพันธ์เชิงดุลยภาพในระยะยาว และ ความสัมพันธ์เชิงเหตุและผลแบบแกรน-เจอร์

Abstract

This objective of this study was to analyze the relationship between stock price and volume in the Steel sector of the Stock Exchange of Thailand using Cointegration method. The research concentrated on five significant stocks , as follows; G J Steel Public Company Limited , G Steel Public Company Limited , Rich Asia Steel Public Company Limited , Sahaviriya Steel Industries Public Company Limited and Tata Steel (Thailand) Public Company Limited. The data used in this study were daily closing prices and volume of 1,221 days starting from January, 2008 to December, 2012. The study was carried out using time series econometrics, particularly application of the Unit Root test, Cointegration test, Error Correction Model and Granger’s causality test. Testing for unit roots revealed that all stock prices and volume were stationary at I(1). Thus, all stock prices and volume were in the same order of integration at I(1), as all variables processed by the Cointegration method. The result of cointegration regression indicated the existence of long-run equilibrium between stock prices and volume. However, the test for error correction model indicated that was a short-run adaptation. Furthermore, the Granger’s causality test found that a one-way relationship between stock price and volume existed.