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| Author | : Patcharin Limlomwongse |
| Publisher | : |
| Total Pages | : 224 |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
| Author | : Komain Jiranyakul |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : Rate of returen |
| ISBN | : 9789741757855 |
| Author | : Sirikarn Jeanchutima |
| Publisher | : |
| Total Pages | : 7 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the commercial bank stock returns. Interest rate is the cost and return of money in financial market since commercial bank acts as major financial intermediary; therefore, interest rate is still the majority of its cost and return. In Thai stock market shows different result, the changing in interest rate reflects slightly on the change in stock returns. After taking a close look, the conclusion can be drawn from outcomes the bigger size of the bank experience the larger effect. Thus, bank size is not a real moderator affect the relationship, the trading volume of the bank is the real relevant factor. Consequently, the theory can be hold only if the market participants trade all bank stock equally.
| Author | : |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2006 |
| Genre | : Stocks |
| ISBN | : |
| Author | : Kasidit Praneechit |
| Publisher | : |
| Total Pages | : 64 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
| Author | : Eduard Schmidt |
| Publisher | : |
| Total Pages | : 170 |
| Release | : 2016 |
| Genre | : Investments |
| ISBN | : |
This paper examines the influence of attention on three investor groups: individual investors, institutional investors and foreign investors in the setting of the Thai stock market between 2011 and 2014. To measure the impact of attention I sort stocks by their extreme daily returns and by their abnormal trading volume on a certain day. Purchasing stocks that grabbed ones attention earlier is a way to deal with the problem of having to choose from thousands of stocks that one could potentially buy. I test and confirm the hypothesis that individual investors are net buyers of attention grabbing stocks. Furthermore I hypothesize that attention affects different investor groups to a different degree in their buying behavior. I confirm that individual investors engage the most in attention driven buying behavior. Surprisingly I find strong evidence for attention driven buying behavior for institutional investors as well. Foreign investors merely show tendencies for purchases driven by attention grabbing stocks.
| Author | : Anucha Ratanaparadorn |
| Publisher | : |
| Total Pages | : 126 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
I examine the intraday stock-return volatility pattern and relationship between the volatility and intraday trading by individual, institutional, foreign and proprietary investors in the Stock Exchange of Thailand. The volatility pattern of SET100 during January 2010 through December 20161 follows the L-shape in the morning and muted U-shape the afternoon session which is consistent with findings from many stock markets around the world. For large-size stocks, the net purchase of informed (institutional and foreign) investors with the net sale of less-informed (individual) investor drive the positive volatility effect. This result is always significant; however, cannot be explained by information-based explanation but rather more aligned with liquidity-driven explanation. For small stocks, the net proprietary trading has an increasing impact on volatility, which is consistent with liquidity pressure explanation. This result is significant and robust to different size of the portfolio and different measure of the volatility after controlling for lagged volatilities, number of trades, average trade size, opening, closing and Monday effect.
| Author | : S. Ghon Rhee |
| Publisher | : Paris, France : Organisation for Economic Co-operation and Development ; [Washington, D.C. : OECD Publications and Information Centre |
| Total Pages | : 110 |
| Release | : 1992 |
| Genre | : Finance |
| ISBN | : |
| Author | : Charlie Charoenwong |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market order ratio. After controlling for the intraday patterns, spreads are positively associated with liquidity immediacy and negatively related to the market order ratio and total depth. The results indicate that the market structure does affect the intraday pattern of trading characteristics.
