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SEC working paper forum presented Kasetsart University?s research on noise trading



Friday 24 April 2015 | No. 52 / 2015



Bangkok, April 24, 2015 ? The SEC presented research papers of Kasetsart University at the 3rd SEC Working Papers Forum, 2015 on ?Behaviors of noise trader in the Stock Exchange of Thailand?

Chalee Chantanayingyong, Acting SEC Secretary-General, said that the 3rd SEC Working Papers Forum, 2015 presented the research papers of Kasetsart University concerning liquidity and noise trader behavior in the Stock Exchange of Thailand. The papers pointed out the significance of making prudent study on information and fundamental analysis of securities prior to making investment decision in order to mitigate trading risks.

Asst. Prof. Dr. Thanachot Boonworachot, researcher, Faculty of Agro-Industry, Kasetsart University said that the study on ?Returns, investor trading volumes and price volatility relationships on the Stock Exchange of Thailand? applied a model to study the relationship between returns, volatility and trading volumes of each type of investors in the Thai bourse. The paper analyzed the probability and found noise trading risks in trading of securities on the SET. The finding suggested that non-fundamental factors highly influenced the SET Index; trading volumes, for instance. Whilst, the market indices have been largely influenced by the fundamental factors in the U.S.

?Noise trading behavior analysis in the SET? was presented as the second research paper. Although the 2010 study concluded that trading behavior of retail investors tended to be regarded noise trader, this research paper brought about new conclusion that all types of investors in the SET were informed traders. In term of investment return, however, the highest return was shown in case of foreign investors while the lowest was the case of retail investors, when measured by investor category. This was caused by the limitation in methods for submission of trading orders. Institutional investors submitted trading orders at market price (market order) while retail investors submitted trading orders with specific prices (limit order), with greater exposure to share price fluctuation.












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No. 52 / 2015 Friday 24 April 2015
SEC working paper forum presented Kasetsart University?s research on noise trading


Bangkok, April 24, 2015 ? The SEC presented research papers of Kasetsart University at the 3rd SEC Working Papers Forum, 2015 on ?Behaviors of noise trader in the Stock Exchange of Thailand?

Chalee Chantanayingyong, Acting SEC Secretary-General, said that the 3rd SEC Working Papers Forum, 2015 presented the research papers of Kasetsart University concerning liquidity and noise trader behavior in the Stock Exchange of Thailand. The papers pointed out the significance of making prudent study on information and fundamental analysis of securities prior to making investment decision in order to mitigate trading risks.

Asst. Prof. Dr. Thanachot Boonworachot, researcher, Faculty of Agro-Industry, Kasetsart University said that the study on ?Returns, investor trading volumes and price volatility relationships on the Stock Exchange of Thailand? applied a model to study the relationship between returns, volatility and trading volumes of each type of investors in the Thai bourse. The paper analyzed the probability and found noise trading risks in trading of securities on the SET. The finding suggested that non-fundamental factors highly influenced the SET Index; trading volumes, for instance. Whilst, the market indices have been largely influenced by the fundamental factors in the U.S.

?Noise trading behavior analysis in the SET? was presented as the second research paper. Although the 2010 study concluded that trading behavior of retail investors tended to be regarded noise trader, this research paper brought about new conclusion that all types of investors in the SET were informed traders. In term of investment return, however, the highest return was shown in case of foreign investors while the lowest was the case of retail investors, when measured by investor category. This was caused by the limitation in methods for submission of trading orders. Institutional investors submitted trading orders at market price (market order) while retail investors submitted trading orders with specific prices (limit order), with greater exposure to share price fluctuation.