ความสัมพันธ์ระหว่างดัชนีวัดทัศนคติของนักลงทุนและความต้องการเกิน ปกติของนักลงทุนสถาบันต่อหลักทรัพย์ความเสี่ยงสูง

Abstract

According to the conventional of economic and finance theories, an institutional investor is considered as a rational investor. Their investment is based on financially relevant factors with no variable related to sentiment (belief, emotion and feeling). At the same time, a large number of researchers have found that individual investor investment decision is correlated with sentiment. Recent research has found a relationship between the trading behavior of institutional investor and the sentiment index. The evident confirms that institutional investor make an investment decision based on their sentiment. The research’s conclusion therefore contradicts to the conventional theories. Research questions of this paper focus to examine on whether institutional investor in Thailand make decision based on only rational factors or not? This research studied the relationship between an institutional investor in Thailand and the investor sentiment index in Thailand. By using institution demand shock in risky stocks factor as a proxy of institutional investor trading behavior. The findings confirm the relationship between institutional investor in Thailand and sentiment index and also found the behavior of buying low-risk stocks rather than high-risk stocks when the sentiment index was rising. Moreover, their trading behavior can predict Thailand stock exchange return. When they buy high-risk stocks rather than lowrisk stocks, market return trend to decline in the next quarter.