การศึกษาผลกระทบของมูลค่าการซื้อขายสุทธิจากกลุ่มนักลงทุนแต่ละประเภทต่อดัชนีราคาหุ้นตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This study aims to study and compare a time-varying effect of net trading value from various types of investors on the Stock Exchange of Thailand (SET). Econometrics analysis, including Granger Causality, State-Space, and linear regression models are used to achieve our purposes. By applying daily closing price data ranges from November 2, 2009, to December 30, 2020, the results showed that the net trading value of proprietary investors has a positive effect on SET, while the net trading value of individual investors shows an opposite effect. Institution and Foreign investors did not contribute a significant effect on SET Index. Finally, the Granger Causality test showed a bi- directional relationship between various types of investors and SET Index.