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 หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Returns, Investor Trading Volumes and Price Volatility Relationships on the Stock Exchange of Thailand) ผู้เขียน: ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ ,  Sanhakit Panyawattananon สื่อสิ่งพิมพ์:pdf AbstractThis study used a trivariate structural vector autoregressive model to find the relationships among returns, volatility, and trading volumes of all investor types on the Stock Exchange of Thailand (SET) to observe noise trading risks. The results showed that noise trading risks occur on the SET because the trading volumes of local investors, foreign investors, and institutional investors affected returns. Thus, SET regulators should educate investors about noise trading risks phenomena and monitor all trading activities for efficient trading purposes. |
หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Noise Trading Behavior Analysis in the Stock Exchange of Thailand) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, Sanhakit Panyawattananon สื่อสิ่งพิมพ์:pdf AbstractThis study used the causality test suggested by Sellin (1996) to analyze the trading behavior of all investor types on the Stock Exchange of Thailand (SET). The performance test developed by Kamesaka and Wang (2004) was also used to show the trading performance of investor groups in the Thai stock market. The results showed that all investor groups in the SET seem to be informed traders. However, the results from the performance test of each investor group during 2006-2010 showed that foreign investors have the highest performance levels on the SET, while local investors have the lowest. Thus, the SET regulators should help local investors to improve their analytical methods of stock pricing. |
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