ผลกระทบของดัชนีความเชื่อมั่นที่มีต่อผลตอบแทนของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This independent study aimed to examine the effects of the sentiment indices on the return in the Stock Exchange of Thailand (SET) by taking the three sentiment indices that are the Investor Sentiment Index (ISI), Business Sentiment Index (BSI), and Consumer Confidence Index (CCI) as representative behavioral factors to test the return rate prediction capabilities in the SET. The Behavior Asset Pricing Model (BAPM) was used and each quintile of the security size and price data clusters was tested. This study used SET-registered company information from May 2016 to April 2024 and found that the sentiment indices not only remained effective for a specific period of time but remained effective after some time. The Business Sentiment Index rate of change in the same period and one previous period towards returns concurred with statistical significance and affected the small and low-price securities the most. The Consumer Confidence Index rate of change affected the return in the previous one and two periods in the SET with the concurring and contradicting direction with statistical significance, which affected the low-priced securities the most. The Investor Sentiment Index rate of change affected only the return in the immediately previous period in the same direction, and affected the small securities the most.