Noise Trading Behavior Analysis in the Stock Exchange of Thailand

บทคัดย่อ

     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.