ผลกระทบปัจจัยทางเศรษฐกิจมหภาคในผลตอบแทน ของหลักทรัพย์กลุ่มโทรคมนาคมบริษัทจดทะเบียนในตลาดหลักทรัพย์กลุ่มประเทศเออีซี โดยใช้วิธีพาแนล เออาร์ดีแอล

Abstract

The objective of this survey research were: (1) To study the nature and size of telecommunications stock with Gross Domestic Product, exchange rate and interest rates; (2) To study the factors affecting short run equilibrium and long run equilibrium of return of telecommunications in AEC stock markets by using ARDL Method. The data used in this research is quarterly data from 2010 to 2015 from 3 countries including Thailand, Malaysia, Singapore, analyzed by testing the panel unit root, panel cointegration and panel autoregressive distributed lag approach. Regarding the Panel unit roots test using the Levin, Lin and Chu Test, Im, Pesaran and Shin Test and Fisher-Type test, the result showed that all the variables were stationary at Integration of order 1. Thus, Panel cointegration test using the Pedroni Test and Kao Test, the result showed that all the variables were correlated in the long term. Then all the variables were analyzed using the Panel Autogressive Distributed Lag (ARDL) model. The results showed that that Gross Domestic Product variable and interest rates variable have the same movement with the return of telecommunications stock in long run relationship; the exchange rate variable have the opposite movement with the return of telecommunications stock in long-run relationship. In short run, Gross Domestic Product variable and interest rates variable have the opposite movement with the return of telecommunications stock.