การเปลี่ยนแปลงของอัตราแลกเปลี่ยนส่งผลกระทบต่อราคาหลักทรัพย์ ของบริษัทจดทะเบียนในประเทศไทยอย่างไร

Abstract

This research paper aims to study the exchange rate exposure of listed firms in Thailand. This paper contributes to the literature as follows; firstly, the paper covers a large sample of 300 non-financial listed Thai firms affected by the exchange rate fluctuation. The period of examination starts from January 2007 to December 2016. using the monthly and weekly data. Secondly, this paper not only applies the Ordinary Least Square (OLS) for estimation but also uses the Generalized Method of Moments (GMM) to alleviate the endogeneity problem which several previous papers studying the exchange rate exposure in Thailand always omitted this problem. Finally, this paper contributes to the solution of firm’s size which has always been the determinant puzzle for previous papers. The 300 Thai firms are classified into 4 quartiles regarding to their market capitalization. The 1st quartile represents the large firms which include most firms listed in SET50 and SET100. The 2nd and the 3rd quartile represent mid-large and mid-small firms. The 4th quartile represents the small firms. This paper investigates how firms in different quartiles affected by the exchange rate movement. The results reveal that the average exchange rate exposure of Thai firms is negative, regardless any currencies, inferring that most Thai firms will have negative impact when Thai Baht depreciates against foreign currencies. Additionally, firms in the 3rd quartiles have the highest magnitude of exchange rate exposure, indicating that mid-small firms are mostly affected by the exchange rate fluctuation. On the contrary, firms in the 1st quartile have the lowest magnitude of exchange rate exposure, indicating that large firms are less affected by the exchange rate fluctuation. The results also confirm that most firms in the 3rd quartile are significantly exposed to the exchange rate movement at a significance level of 0.10. Lastly, the magnitude of exchange rate exposure estimating by Euro currency has the higest value, indicating that the value of Thai firms is mostly affected by the change in Euro.