How change in consumer confidence impact Thai stock market.

Abstract

This study examines the relationship between changing in consumer confidence and Thai stock market. The research covers both market level and firm level by studying the aggregate market return and abnormal returns as well as incorporating with the trading behaviour by investor type using the event study method and regression model. The result shows that increasing in consumer confidence affect the average market returns positively and will slightly increase when consumer confidence increases during good years with the active trading by retail and foreign investors. The results from firm level study also report that small firms appear to impact with negative abnormal returns when consumer confidence decreases. Moreover, this research finds that stocks in Property & Construction and Resources industry are affected from changes in consumer confidence. Finally, the regression results re-emphasize that the positively relationship between changing in consumer confidence and Thai stock market exist.

KEYWORDS: Consumer confidence / Market returns / Abnormal returns / Size and Industry effect / Thailand