Returns, Investor Trading Volumes and Price Volatility Relationships on the Stock Exchange of Thailand

บทคัดย่อ

     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.