ปริมาณการซื้อขายที่ผิดปกติของนักลงทุนสถาบันและนักลงทุนรายย่อยต่อการประกาศข่าวผลการประมูลโครงการของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

Project bidding announcements of listed companies in the Stock Exchange of Thailand (SET) are considered as material information utilized by investors to analyze firm’s future performance. Announcements that specifying contract sizes and operating periods are hold significance for investors; however, the importance of the news may vary based on investors' access to and ability to analyze information, which depending on their types of investors. This study examines the difference in abnormal trading volume between institutional and individual investors around project bidding announcements of listed companies in the Stock Exchange of Thailand. Using data on project bidding announcements of listed companies in the Stock Exchange of Thailand over the period of 2001–2020, which a total of 1,274 events, I find that cumulative abnormal trading volume of individual investors increase both before and after the announcements. In contrast, cumulative abnormal trading volume of institutional investors increase primarily in the short period following the announcements. Analyzing abnormal trading volume of two groups investor, no significant difference in abnormal trading volume between two groups investor before the announcements; the difference can be observed only after the announcements that individual investors show a greater increase in trading volume compared to institutional investors. In conclusion, this study suggests that project bidding announcements have more impact on trading behavior of individual investors than institutional investors. This reflects that individual investors exhibit changes in trading behavior prior to the announcement, while institutional investors tend to adjust their trading behavior after the news becomes clear.