Returns, Investor Trading Volumes and Price Volatility Relationships on 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:

Trivariate structural vector autoregressive, trading volume, return, volatility, noise trading risks

Abstract

     This 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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Published

31-08-2012

How to Cite

Boonvorachote, T., & Panyawattananon, S. (2012). Returns, Investor Trading Volumes and Price Volatility Relationships on the Stock Exchange of Thailand. Kasetsart Journal of Social Sciences, 33(2), 264–277. Retrieved from https://so04.tci-thaijo.org/index.php/kjss/article/view/246816

Issue

Vol. 33 No. 2 (2012): May - August

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/