| Abstract | This research studies by using Arbitrage Pricing Theory (APT) to find the relation of expected
yields of ten Thailand petroleum companies in the Stock Exchange of Thailand (SET) by
expose to changing in various economic indices: SET Index (SET), Gross Domestic Product
(GDP) ,Exchange rate between US-Dollar to Thai Baht (Thai/USD), Value import of
petroleum product (IM), Inflation rate (IR), Interest rate (MLR), Singapore Gas-oil Spot Price
FOB (OP) ,Money Supply (M1), LPG sale prices (GP), Unemployment rate (UR), Number of
population (NP), Labor force (LF), and Business Sentiment Index (BSI). Results are that
changes in SET and GDP each have large impact on expected return in Thailand petroleum
companies. Particularly, an increment in the SET increases the expected return of these ten
stocks while an increase in GDP reduces the expected return of these ten stocks.
This research also separates these ten companies into two types: Integrated energy companies
and Producers energy companies. The integrated companies’ stock return is different from
producers’ stock return. Changing in SET, and GDP have significance to expected return of
Integrated energy companies while changing in SET, and Inflation rate have positive
importance to expected return of Producers energy companies.
Further, this research found that predicted equation of return for large market capitalization
companies is not significantly differentiated from all companies return. |