ความสัมพันธ์ระหว่างระดับมลพิษทางอากาศและผลตอบแทนของหุ้นสามัญของบริษัทในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

Environmental problems are crucial issues in the present time, and one of the most significant challenges is air pollution caused by PM2.5 particulate matter. This issue affects numerous countries globally. The objective of this study is to investigate the relationship between air pollution and the returns of common stocks, as well as the trading volume of investors in the Stock Exchange of Thailand. The study utilizes daily data to test the correlation between air pollution and stock returns and trading volume in the overall market. Meanwhile, monthly data is used to test using the Capital Asset Pricing Model (CAPM) and the 3-Factor Fama-French Model. The data analysis covers the period from the year 2011 to 2019, and regression analysis techniques are employed in the data analysis. Based on the study findings, it was found that air pollution has a negative impact on the returns of common stocks, specifically during non-rainy seasons. Additionally, air pollution was found to have a negative influence on trading volume, with the most significant negative impact occurring in the beginning of the year (from January to April). Based on the study using the CAPM and 3-Factor Fama-French models, it was found that air pollution has a positive impact on the returns of securities. This suggests that in the context of the study, higher levels of air pollution were associated with higher rates of return on securities.