ความสัมพันธ์ระหว่างปริมาณการซื้อขายกับต้นทุนเงินทุนของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The objective of this independent study is to study the behavior of trading volume around the earning announcement and the relationship between trading volume and capital costs of companies listed in The Stock Exchange of Thailand. The sample of this study ranging from 2009 to 2019 including a total of 496 companies. The study employs two methodologies: (1) Event Study is used to investigate an abnormal volume around the earning announcement date and (2) Multiple Regression Analysis is used to examine the relationship between the cost of capital and the difference between the abnormal volume before and after announcement (DIFF). The Event Study finds that during the pre-announcement period, trading volume decreased by an average of 0.69% (cumulative volume decreased by an average of 3.07%) and a significant increase by 29. 70% (cumulative volume increased by 38.27 percent) during the announcement date. With the largest increment at time T = 1 and O, respectively. In addition, the regression analysis confirms that information asymmetry proxied by the difference between the abnormal volume prior and after an announcement date (DIFF) has a negative impact on firm's cost of capital. That means if the DIFF is greater, the cost of capital will be lower. Finally, we find that small companies show the greater impact than the large one.