Abstract: Information communication technology has contributed greatly to various connection systems of the country, including the system which deals with investment and economic development. Among many expectations of investors is investment security which brings high returns with low risk. This study aims to analyze the relationship between the return and risk of securities in the information and communication technology sector in the Stock Exchange of Thailand. The study employs the Capital Asset Pricing Model (CAPM) of 15 securities and Generalized Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) assessing daily stock exchange data from January 4, 2016 to December 30, 2020. The result reveals that the relationship between the rate of return and the systematic risk of 15 securities is in the same direction with statistical significance and is in accordance with the financial theorem under the market efficiency hypothesis. In addition, this approach is also applicable for analyzing the expected rate of return volatility.
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