ความสัมพันธ์ระหว่างการซื้อขายของนักลงทุนสถาบันกับการประเมินราคาหลักทรัพย์ในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The purpose of this study is to examine how the proportion of institutional investors trading affects the relationship between risk and return by looking at daily institutional investors' trading volume and using a sample of common stocks on the Stock Exchange of Thailand. The analysis was done by the two-pass regression method to estimate the difference between the coefficients on the days when there is a high and low trading proportion of institutional investors. The result showed that the proportion of institutional investors significantly influenced the positive risk-return relationship on the day that a high proportion of institutional investors trading and it affected some securities. securities with different levels of risk, the result showed that there was no relationship between risk and return on days when institutional investors were high. and on low coskewness days, the result showed a positive effect on the risk-return relationship and affected some securities. This study employs securities characterized by a large market capitalization and excludes those with a small market capitalization that are typically present in the stock market. Consequently, future studies should consider incorporating a larger number of securities to gain a comprehensive understanding. This will examine the obvious behavior of institutional investors that influences the relationship between risk and return.