The Effects of Macroeconomic Factors on Stock Returns: The Case of Food and Beverages Industry in the Stock Exchange of Thailand

Abstract

The purpose of this study is to analyze the macroeconomic factors affecting stock price of the food and beverage industry. Those factors were applied to estimate risk and risk premium to support decisions of investment. This study employed 28 closed prices in food and beverage industry and 6 macroeconomic factors, i.e. export, import, money supply, business sentiment index, stock return and exchange rate. Monthly data were collected beginning from August 2011 to March 2017, covering 68 months. The results found that compensation of risk on macroeconomics describes a change in the relationship of return on securities in the food and beverage industry to 9.2 percent. There are 13 securities suggested for investing be MALEE TIPCO APURE MINT PM SST SSF PB SSC ASIAN TF PR and SORKON. However, dummy variables were used for forecasting. The regression showed that 6 securities, such as MALEE APURE SST PB ASIAN and PR, are under for actual price contrasting to 7 securities be higher. Each Arbitrage will occur to allow investors to take advantage of this situation until the price of each stock's risk is balanced. And to guide investors to realize the risk of macroeconomic factors that the investment always risks.