Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)


Year (A.D.)


Document Type

Independent Study

First Advisor

Anirut Pisedtasalasai


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





This paper aims to determine the impacts of expected and unexpected inflation on stock returns in Stock Exchange of Thailand. Moreover, this is the first paper that studies the impact consensus forecast inflation rate on stock return in Thailand. To investigate these findings, we decided to look into the period between June 2004 - December 2019 in 8 sectors of Stock Exchange of Thailand including Agricultural and Food, Consumer Products, Financials, Industrials, Property and Construction, Resources, Services and Technology to find the relationship between inflation and stock returns. The results indicate expected inflation has strongly impact on stock returns, while unexpected inflation has not impact on stock return because investors believe the analysts, who use the economic indicators to forecast the inflation rate, estimate too close the actual one. Moreover, each industry will give the different result depending on the company’s capability of transferring inflation shocks to prices of products and services. Results from different inflationary regimes show that expected inflation impacts on stock returns in negative direction especially during the low inflation periods. It is because the market is quite fluctuation and inflation rate is a signal of economic situation. It can impact on macroeconomic policy and trade policy which effect to the profitability of each companies.



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