Price Effect of Changing in the Stock Exchange of Thailand 100 Index’s Constituents
Price Effect of Changing in the Stock Exchange of Thailand 100 Index’s Constituents

Summary/Abstract: This research studies the price effect after the announcement of changing in constituents of SET100 index in Thailand from 2012-2017. By applying the event study and market model methodology, the results show that there is significantly positive abnormal return on the announcement date of the inclusion, and one day after the announcement date for the exclusion, which is consistent with previous studies in US and other stock market indices. The results of this study support the price-pressure hypothesis for inclusion stocks as the positive cumulative abnormal return is not sustained and fully reverses 5 days after the announcement while the persistence of negative abnormal return from exclusion stock events supports the downward-sloping demand curve hypothesis. These also identify the inconsistency to the efficiency market hypothesis of the equity market in Thailand in term of changing in index composition.

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