Price effect of SET 50 stock from inclusion and exclusion

Abstract

Maximize profit is the main goal for investor or securities manger. The study of price effect of included or excluded stock will be beneficial for them, in order to choose investment strategy or planning. In this paper, the market model method was constructed with financial data between 2010 to 2020 from Stock Exchange of Thailand and Investing.com. The results of the study are consistent with the previous studies. The AAR increase at the around announcement and effective date for inclusion but decrease for exclusion case. The CAAR is upward trend for inclusion case and negative trend for exclusion case. The analysis by beta value is found that the high beta value result in higher AAR and CAAR value. Lastly, the analysis by industry is found that the Agro&Food and Financial industry's CAAR value are negative for inclusion case. However, the Technology industry's CAAR is positive for exclusion case.