ความสัมพันธ์ระหว่างปริมาณการซื้อขายของนักลงทุนและความผันผวนของราคาของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This study examines the relationship between investor trading volume (domestic retail investors and institutional investors) and price volatility of firms listed on the SET100 index in The Stock Exchange of Thailand. Results show that institutional investors trading volume is negatively related to price volatility. This can be implied that when institutional investors have an increase in purchasing volume able to reduce information asymmetry through the volatility of the price can be narrowed. For domestic retail investors, there is no relation between trading volume and price volatility. The study was also conducted by dividing companies into small and large companies, and into high and low trading liquidity companies. It was found that the relationship between institutional investors trading volume and price volatility resulted in a significant negative relation in all tests. While the relationship between domestic retail investors trading volume and price volatility is significant only to large firms with positive relation.