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 หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Price volatility, trading volume, and market depth in Asian commodity futures exchanges) ผู้เขียน: ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ ,  Kritika Lakmas สื่อสิ่งพิมพ์:pdf AbstractThis paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1) daily volatility measured by close-to-close returns, (2) non-trading volatility measured by close-to-open returns, and (3) trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993), volume and open interest are divided into expected and unexpected components. The GARCH (1,1) model is employed using expected and unexpected components of trading activity (volume and open interest) as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest) is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests. |
หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Trading Volume and Price Volatility Relationship in Asian Commodity-Futures Markets) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, นริสสร อนุรัตน์ สื่อสิ่งพิมพ์:pdf AbstractThis study investigates the causal relationship between trading volume and price volatility of liquid futures contracts in some selected commodity Asian markets; Agricultural Futures Exchange of Thailand (AFET), Bursa Malaysia Derivatives (BURSA), Dalian Commodity Exchange (DALIAN) and Tokyo Commodity Exchange (TOCOM). The most liquid contracts during 2007 and 2008 of each market was used for this research; ribbed smoked rubber sheet (RSS) contract of AFET and also TOCOM, crude palm oil (CPO) contract of BURSA and non-genetically modified soybean, or soybean No.1 (1SB) contract of DALIAN. Based on 5 percent level of significance, Granger causality test and impulse response analysis indicate that there are unidirectional causality from price volatility to trading volume in both markets; AFET and TOCOM, bi-directional causality in DALIAN. Price volatility is a slight dominant factor for explaining trading volume in those three markets. However, the volume and the volatility are independent in BURSA. The study also suggests policy implication to enhance market liquidity in AFET by two suggestions. Firstly, Thai government should let agricultural product prices moved freely. Price sanction should be as least as possible. Lastly, AFET can provide trading knowledge directly to potential farmers or farmer groups. Hence, they can use price mechanism in AFET for their price risk-management purpose. |
หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Trading Volume and Price Volatility Relationship Under the Commodities Price-Guaranteed Policy) ผู้เขียน:ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ สื่อสิ่งพิมพ์:pdf AbstractThis paper shows that although a price-guaranteed policy in spot markets decreases price volatility of some futures contracts in Thailand?s futures exchange, liquid futures contracts still show liquidity-driven trading. This supports the contemporaneous positive relationship between volume and price volatility or the mixtures of the distribution model. This study reveals the bi-directional causality for some liquid rubber futures contracts that supports the sequential arrival of information model, while the unidirectional causality is found for white rice futures contracts. Regulators in emerging futures markets should focus on volume-encouraging activities because volume itself has some certain degrees of information for investors. Illiquid futures contracts might result from high trading costs, not from lower price volatility under the commodities price-guaranteed policy. JEL classification: G15 |
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 ที่มา:Kasetsart Journal (Social Sciences)(วารสารวิทยาสารเกษตรศาสตร์ สาขาสังคมศาสตร์)หัวเรื่อง:Trading volume and price volatility relationship in Asian commodity-futures markets |
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หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Relationship Between Trading Volumes of Investor Groups and Stock Index Returns on the Stock Exchange of Thailand) ผู้เขียน:พรจิตรา จวบฤกษ์เย็น, ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ สื่อสิ่งพิมพ์:pdf AbstractThe relationship between trading volumes of investor groups and stock index returns on the Stock Exchange of Thailand (SET) was investigated. By applying daily closing price data from January 3, 2006 to December 30, 2010, we employed GARCH, TARCH and EGARCH models to analyze and observe information efficiency of the SET. Investor groups of the SET consisted of foreign investors, institutional investors, local investors, and proprietary investors. The results showed that trading volumes of all investor groups influence SET returns and reflected that the SET is not efficient where there is a low level of trading . Because past trading volumes of foreign investors, institutional investors, and local investors influenced returns, our findings supported the Sequential Information Arrival Hypothesis. In other words, SET indices are sensitive to noise trading risks. |
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. |
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