| For the developing economy, a lot of companies need a large number of fund to develop their economic activities. Stock market is a major institute to help many large companies to funding from the publics. Stock market not only helping companies to funding from publics, but also helping people to save their money by investing in listed stocks, and helping people to become a large companies shareholder.However, stock market system is so complicate. A lot of people dare not investing their money in stock market, because they are afraid of investment risk. Stock character is different from any common product. For any common product, buyer can read its quality and price from product label, so they can use a little time to read product label before deciding to buy the product. But for stocks, stocks price come from demand and supply for stocks, that also changing with changing in demand or supply. Furthermore, stock’s quality comes from its company’s performance, that also away change with any effect from any factors.Both stock price and quality of stock will change when receive a new information. If has a new good information, both price and quality of stock will be increasing. On the contrary, if has a new bad information, both price and quality of stock will be decreasing. Whether there is good or bad information take place also effecting both price and quality of stock to change in the same direction. This is express that stock price can reflect the real quality of stock like any common product, high quality one also has high price and low quality one also has low price. As a result, investors can trust the stock price and be assured to trading stock. This condition express that stock market has high efficiency.Market efficiency theory has developed for a hundred years, and the most frequency usage is Efficient Market Hypothesis(EMH) in1970s by Eugene Fama. EMH has three major of market efficiency forms:(1) weak-form market efficiency means that stock price already reflect all of past trading price, so investors can’t use any technical analysis methods to take the excess profit;(2) semi-strong-form market efficiency means that stock price already reflect all of publicly available information, so investors can’t use any fundamental analysis methods to take excess profit;(3) Strong-form market efficiency means that stock price already reflect all of information including inner information, so investors have no way to take excess profit. However, EMH does not refer to quality of stock. This may be the about two major assumption of EMH:(1) all of investors are reasonable, that imply all of investors can understand all received information, cannot misunderstand received information and also knowing which information is true and which information is false, furthermore they are also know that information has what effect to stock price;(2) all of investors are fairly and on time receiving all information. But, in realistic stock market this two conditions cannot come true. We often find that there are some stock analysis reports giving wrong forecasted stock price and wrong suggestion. This show that even specialist may not really understand all received information and its effect. Therefore, any common investors also may not understand received information and its effect. These reasons may be showing that why EMH’s market efficiency may not reflect real quality of stock.This study concerned about ability of stock’s market price to reflect real quality of stock. The definition of stock market efficiency is "All of stocks’market price can reflect stocks’real quality". This research use economic value added(EVA) as real quality of stock, and use correlation co-efficiency of stock’s return rate and EVA of company to estimate relationship between stock’s return rate and company’s EVA. This correlation co-efficiency is "stock-market-price efficiency index". Then use stock-market-price efficiency index of all stocks to calculate Stock Market Efficiency Index (SMEI) by using weighted average method. This research use Thailand’s stock market as case study and use50listed stock from the Stock Exchange of Thailand (SET) as research sample.The result of this research is that in2007-2011, most of SET’s listed stocks have stock-market-price efficiency index at inefficiency condition, some stocks have stock-market-price efficiency index at negative efficiency condition and some stocks have stock-market-price efficiency index at efficiency condition. However,2007-2011, SET’s SMEI is in the range between0.12866-0.34150, express that Thailand’s stock market is in inefficiency condition. The last part of this research is the suggestion of researcher for investors, government and stock market’s managing director. Suggestions for investors is that should buy stocks which have increasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. In contrary, should sell or not invest in stocks which have decreasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. Suggestions for government is that government should legislate law for forcing all listed companies to disclosed and publicize all related stock price information also not publicize false information. Furthermore government should force stock analysis companies and stock analyst to develop their skill and cannot publicize too much false analysis reports. Suggestions for stock market managing director that stock market should calculate stock-market-price efficiency index of all listed stock and SMEI for each year and publicize to all investors. Researcher hope all these suggestion can improve stock market efficiency... |
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