5

26 ..2557

Factors affecting on the Return Rate of Stock in the Technology Industry
Group, the Electronic Components Sector, in the Stock Exchange of Thailand
*

**

.
Manika Leelakriangsak and Dr.Atchara Yomsin

1 ..2547 31 ..2556
40 440

:

}

; E-mail: timon_bas@hotmail.com

; E-mail: atchara.y@bu.ac.th

**

10-1

Abstract
The objective of this study is to analyze the relationship between the return rate of stock in the
electronic components sector registered in the Stock Exchange of Thailand and other basic factors such
as Market Capitalization, Price-Earnings Ratio (P/E Ratio), Return On Equity (ROE), Debt to Equity Ratio (D/E
Ratio), % shareholders and Corporate Governance Score (CG Score). The quarterly, secondary data were
employed using the total of 40 quarters, 440 samples starting from 1st January 2004 to 31st December
2013.
The results revealed that the return rates in term of %Change of the closing prices of stocks in
the Electronic Components Sector are positively related with Market Capitalization factor. The rate of
return and %Change in closing prices of stocks in the Electronic Components sector also shows the
positive relationship with ROE and P/E Ratio. However, D/E Ratio, % shareholders and CG Score have no
statistical relationship with the return rate of stock in the Electronic Components sector.
Key Word: % Change in Closing Stock Price, Dividend Yield, Rate of Return, Electronic Components Sector

(Dividend)
(Capital Gain)

(Dividend Policy) 2
(Dividend Payout Ratio)

(Scott, 1999)


2555 45,408.17 ( : ,
2555) 2556 49,128.45 ( :
10-2

 )
() ()
2556 79,832.42 42,378.03
() 27,768.32
19,151.65


Economies of Scale
(Dividend Yield) 5.5%
2556 21.7% YTD 2
(, 2556)



(Market Capitalization)
Price-Earnings Ratio (P/E Ratio) Return On Equity
(ROE) Debt to Equity Ratio (D/E Ratio) (%Shareholders)
Corporate Governance Score (CG Score)

(Dependent Variable) (Independent Variables) (Secondary Data)
1 2547 4 2556 40 440

1. (Market
Capitalization)
10-3

 (SETSMART. bu.ac.th: Online) (Dependent Variable)

3 (Dividend yield)
(%Change) (Dividend yield + %Change) www.set.or.th
2. (KTZMICO: Online)
3.
1 2547 31 2556 10 www.set.or.th

(Quantitative Analysis)
- T-test, F-test, Durbin-Watson
(Multiple Linear Regression) (Ordinary Least Square-OLS)
Panel Data SPSS

1. (Descriptive Statistic)
(Descriptive Statistic)

MIN

MAX

MEAN

MEDIAN

STD.DEV

RETURN
MKTCAP
ROE
P/E
D/E
%SHAREHOLDERS
CGSCORE

-31.08
0.09
-53.76
2.63
0.02
19.39
3.00

64.25
11.58
65.84
242.07
3.39
69.56
5.00

5.30
2.32
12.90
14.71
0.88
37.44
3.88

3.19
0.88
12.58
9.07
0.53
34.25
4.00

15.62
2.85
14.17
21.78
0.88
13.52
0.51

401
414
404
358
404
400
104

(Outliers) 1%

(RETURN)
(STD.DEV) (MEAN)

10-4

2. Pearson product-moment correlation

coefficient SPSS

(Outliers) 1%
(Pearson Product-Moment Correlation Coefficient)

(ROE) 0.01

(: VI Investor)
0.351


0.046

-0.374

Partial Correlation Coefficient

Pearson Correlation 0.700 Multicollinearity
3.

10-5

(Outliers) 1% 3
(Lagged Variable) (Dividend Yield)
(%Change) (RETURN) DIVLAG,
%CHGLAG, RETLAG
2
1 CGSCORE
2 CGSCORE
( )

DIV.

%CHG

MKTCAP
0
-5.988 0.000
(0.720)
4.552
0.000
(0.385)

ROE
0.103
(0.354)
0.052
(0.108)

7.759

-0.139
(0.527)
0.277
(0.004)**
0.325
(0.134)
0.415
(0.000)**

-7.028
RETURN

14.143
-2.379

0.001
(0.322)
0.001
(0.048)*
0.001
(0.362)
0.001
(0.062)

Coefficients (t-Stat)
P/E
D/E
0.012
2.613
(0.855) (0.083)
-0.021 -0.186
(0.314) (0.683)
-0.260
(0.067)
0.117
(0.017)*
-0.202
(0.111)
0.103
(0.016)*

-0.144
(0.963)
0.909
(0.512)
-0.228
(0.943)
-0.337
(0.775)

%SHAR
0.018
(0.873)
-0.034
(0.236)

Statistics
CG
LAG
Adj R
F
DW
2.278 -0.160
0.011 1.101 1.934
(0.382) (0.165)
(sig)
0.375
0.163 11.145 2.134
(0.000)**
(sig)

-0.104
2.313
(0.664) (0.671)
0.021
(0.806)
0.119 -1.931
(0.650) (0.717)
-6.971E5
(0.999)

-0.016
(0.902)
0.179
(0.002)
-0.056
(0.630)
0.157
(0.005)

-0.017
0.057
0.052
0.096

0.847
(sig)
4.138
(sig)
1.456
(sig)
6.524
(sig)

2.165
2.087
2.173
2.046

** 0.01
* 0.05
Adjusted R2 -0.017-0.096
(Overall Significance) Ftest F-Statistic 0.847-6.524 Durbin-Watson Test
1.934-2.173 Durbin-Watson Autocorrelation
1

0.05
2
1. %Change
0.05 (1) 0.001 %Change 1%
0.001% %Change 1% 0.001%

10-6

2. %Change
0.05 (2 ) 0.277 %Change 1%
0.277% %Change 1%
0.277%
3. %Change
0.05 (3) 0.117 %Change 1%
0.117% %Change 1%
0.117%
4. RETURN
0.05 (2) 0.415 RETURN 1%
0.415% RETURN 1% 0.415%

5. RETURN
0.05 (3) 0.103 RETURN 1%
0.103% RETURN 1%
0.103%

3

0.05

(
VI Investor)
Dubin-Watson Autocorrelation

1.934-2.173
Time Series Data Panel Data
Autocorrelation

(Lag
10-7

Variables)
Dubin-Watson
Autocorrelation Adjusted R2 0.017-0.096 F-test 6.524


%Change RETURN
%Change
0.05
0.05

1.

2.

. 2556. ASTV . www.manager.co.

th/Daily/ViewNews.aspx?NewsID=9560000152451&Html=1&TabID=3&.
. 2556.
, ,
.
10 (1). 2556. . bit.ly/1ftkYlc.
. (2557). . www.set.or.th/th/
products/index/setindex_p2.html.
. 2555.

SET100. , .
10-8

. 2555. .
http://eeiu.thaieei.com/Lists/IUHighlight/Attachments/279/%E0%B8%A3%E0%B8%B2%
E0%B8%A2%E0%B8%87%E0%B8%B2%E0%B8%99%E0%B8%AA%E0%B8%96%E0%B8%B2%E0%B
8%99%E0%B8%81%E0%B8%B2%E0%B8%A3%E0%B8%93%E0%B9%8C%E0%B8%AF%E0%B9%80
%E0%B8%94%E0%B8%B7%E0%B8%AD%E0%B8%99%E0%B8%98%E0%B8%B1%E0%B8%99%E0%
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10-9