Noise Trading Behavior Analysis in the Stock Exchange of Thailand

Authors

  • Tanachote Boonvorachote Department of Agro-Industrial Technology, Faculty of Agro-Industry, Kasetsart University, Bangkok 10900, Thailand
  • Sanhakit Panyawattananon Department of Agro-Industrial Technology, Faculty of Agro-Industry, Kasetsart University, Bangkok 10900, Thailand

Keywords:

causality test, performance test, informed traders, noise traders, Stock Exchange of Thailand

Abstract

     This 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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Published

30-04-2012

How to Cite

Boonvorachote, T., & Panyawattananon, S. (2012). Noise Trading Behavior Analysis in the Stock Exchange of Thailand. Kasetsart Journal of Social Sciences, 33(1), 79–91. Retrieved from https://so04.tci-thaijo.org/index.php/kjss/article/view/246798

Issue

Vol. 33 No. 1 (2012): January - April

Section

Thai articles

License

This is an open access article under the CC BY-NC-ND license http://creativecommons.org/licenses/by-nc-nd/4.0/