THE EFFECT ON STOCK PRICES OF INCLUSION AND EXCLUSION FROM THE SET100

Abstract

The objective of this study is to investigate the effects of inclusions and exclusions from the SET100 Index on the stock prices of companies listed on the Stock Exchange of Thailand. Employing the event study methodology, the research spans the period from 2017 to 2024, covering eight years and comprising 232 cases, with 113 inclusions and 119 exclusions. The event window was divided into four intervals: pre-event, announcement date, event period, and post-event. The results reveal that stock inclusions in the SET100 Index generated statistically significant abnormal returns at the 95% confidence level during both the event period and the post-event period. In contrast, no statistically significant abnormal returns were observed in other intervals or for stocks excluded from the index, either in the short or long term. These findings suggest that the Thai stock market demonstrates a relatively high level of efficiency, as investors appear to have incorporated relevant information into prices in advance. Consequently, index revisions involving inclusions or exclusions do not cause excessive volatility beyond normal market adjustments, highlighting the market’s ability to absorb and reflect information effectively.