Stock market fund flows and return volatility
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2014
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153 leaves
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b185646
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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
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Chollaya Chotivetthamrong (2014). Stock market fund flows and return volatility. Retrieved from: http://repository.nida.ac.th/handle/662723737/3104.
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Stock market fund flows and return volatility
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Abstract
Market fund flows analysis is one of the topics in financial structure in part of
investment decision making. Market fund flows has been known as a term of market
returns and/ or volatility, as indicator of market movement. Both of them explain not
only the market movement but also evaluate the market performance. As a result, the
investors would know the investment techniques on the volatility of stock prices.
There are several empirical studies that have studied about the returns and
volatility effect to market movement since 1987 due to stock crash. Most of them
study about the relation of returns and volatility with trading volume or stock
movement. They explain that volume implies to investor investment. Some researches
explain more about the investors’ behavior that different information reflects to
different investment behavior.
This paper studies market flows with the asymmetric information in The Stock
Exchange of Thailand (SET) by examining SET data, started 2003-2014. This paper
will help the investor to understand the information conveys by the investor, and the
impact of information convey with market flows. Thus, when the investors expect the
information flow, the investors can expect the impact in market flows.
This paper applies the concepts of past researches that different investors have
different information In SET, it had separated investors into three groups that had
been foreigner, local and institution until 2009. In 2009, it has changed the way to
separate trader groups from three groups to four that has been foreigner, local,
institution and proprietary. This paper assumes that due to different investors in the
market, they should reflect to stock movement differently.
As a result, this paper evaluates the relation between returns and/or volatility
with trading volume for each investor. For overall stock markets, the results show that
there is a positive relation in return-volume relation; although, there is a negative
relation of volatility-volume.
In addition, this paper differentiates the impact of fund flows for each
individual group, including foreign, local and institution investors. The analysis
shows that only foreign investor impacts to stock market in both of trading volumereturn
relation and trading volume-volatility relation. There is a positive relation with
market return, but has a negative relation with market volatility.
However, it depends on direction of fund flow. Fund inflow has positive
relation in market return while outflow has negatively. On the other hand, in part of
trading-market volatility, the larger of cash outflow, the more volatility is the market.
Based on a theory of trading volume, this relation explains that when the
buyer’s demand increases, the trading volume increases, effecting to stock price
increases or return increases. Moreover, when the trading volume increase, the
liquidity increases, effecting to volatility decreases.
Furthermore, this paper examines the causality test to understand another way
relation between volume and return, and volume and volatility. The results show that
there is no relation between both relations. As a result, when return or volatility
increase, it does not impact to trading volume.
To prevent the robustness, this paper tests and compares the result with
exogenous factors. The results show that the exogenous testing’s result has the same
results as trader effect’s result. Only foreign investor has positive relation between
return and trading volume, and a negatively impact on volatility. However, the
exogenous factors have relation for all investors. Oil price and exchange rate have
positive relation with return, and negative relation with volatility; in contrast with
interest rate and rate of loan.
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Dissertation (Ph.D. (Finance) )--National Institute of Development Administration, 2014