Stock market fund flows and return volatility
| dc.contributor.advisor | Aekkachai Nittayagasetwat | th |
| dc.contributor.author | Chollaya Chotivetthamrong | th |
| dc.date.accessioned | 2016-06-29T05:37:12Z | |
| dc.date.available | 2016-06-29T05:37:12Z | |
| dc.date.issued | 2014 | th |
| dc.date.issuedBE | 2557 | th |
| dc.description | Dissertation (Ph.D. (Finance) )--National Institute of Development Administration, 2014 | th |
| dc.description.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. | th |
| dc.format.extent | 153 leaves | th |
| dc.format.mimetype | application/pdf | th |
| dc.identifier.doi | 10.14457/NIDA.the.2014.10 | |
| dc.identifier.other | b185646 | th |
| dc.identifier.uri | http://repository.nida.ac.th/handle/662723737/3104 | th |
| dc.language.iso | eng | th |
| dc.publisher | สถาบันบัณฑิตพัฒนบริหารศาสตร์ | th |
| dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | th |
| dc.subject | Stock market fund | th |
| dc.title | Stock market fund flows and return volatility | th |
| dc.type | text--thesis--doctoral thesis | th |
| mods.genre | Dissertation | th |
| mods.physicalLocation | National Institute of Development Administration. Library and Information Center | th |
| thesis.degree.department | School of Business Administration | th |
| thesis.degree.discipline | Finance | th |
| thesis.degree.grantor | สถาบันบัณฑิตพัฒนบริหารศาสตร์ | th |
| thesis.degree.level | Doctoral | th |
| thesis.degree.name | Doctor of Philosophy | th |