Thailand once was affected by Asian Financial Crisis many banks and financial institutions were shut down. In 2008 here came the US crisis, will Thai banks and financial sector handle this situation is an interesting question. Therefore, this paper uses an event study methodology to investigate the relationship among macroeconomic variables (exchange rate, inflation rate, and repurchase rate), specific variables (return on assets, growth rate, market capital, cash dividend, cash flow from operating, independent board of directors), and the returns of Thai financial industry especially banking sector during US crisis. This study employs a sample of 45 companies listed in Stock Exchange of Thailand in 2008. The correlation and multiple regression have been used. The results shows a positive correlation between growth rate and stock returns, while a negative correlations are found on return on assets (ROA). Though it is a small sample size, some relevant changes or modifications can be implemented for future research to obtain better results.
