Exchange Rates, Capital Controls and Stock Returns: Evidence from Thailand
Exchange Rates, Capital Controls and Stock Returns: Evidence from Thailand
复制标题
汇率、资本管制和股票回报：来自泰国的证据
DOI：
10.2139/ssrn.1495766
复制
发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Jittima Tongurai
中科院分区：
文献类型：
--
作者：
Chaiporn Vithessonthi;Jittima Tongurai
在泰国证券交易所（SET），资本管制已被用来作为一种手段，以防止货币（泰铢）升值的32个技术公司上市的样本之间的关系进行检查的宣布实施资本管制和股票收益率。研究结果表明，公告日（第0天）的平均异常收益率（AR）为正，但不具有统计显著性;生效日（第1天）的平均AR为负，但具有统计显著性。这些结果证实了这样一种观点，即泰国等新兴市场经济体的国内外投资者对宣布实施资本管制反应消极。虽然研究结果没有提供证据表明公司规模和财务杠杆（FL）对累积超额收益（CAR）有显著影响，但研究结果表明，公司先前业绩对CAR的影响是积极的和显著的。
The relationship between the announcement of the imposition of capital control and stock returns is examined across a sample of 32 technology firms listed on the Stock Exchange of Thailand (SET), where capital control has been used as a means to prevent the appreciation of a currency (Thai baht). The findings show that the average abnormal return (AR) on the announcement date (day 0) is positive but statistically insignificant, and that the average AR on the effective date (day 1) is negative and statistically significant. These results confirm the view that investors, domestic and foreign alike, in emerging market economies such as Thailand react negatively to the announcement of the imposition of capital control. Although the findings provide no evidence to suggest that firm size and financial leverage (FL) have a significant effect on the cumulative abnormal return (CAR), the results suggest that the effect of prior firm performance on the CAR is positive and significant.