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Title: ผลของข่าวสาธารณะต่อปริมาณการซื้อขายผิดปกติของนักลงทุนที่มีข้อมูลที่เหนือกว่าและนักลงทุนที่มีข้อมูลที่ด้อยกว่าในตลาดหลักทรัพย์แห่งประเทศไทย
Other Titles: Effect of public information on abnormal trading volume of informed and uninformed investors in the stock exchange of Thailand
Authors: ทะนุ ประเสริฐสุนทร
Authors: รวี ลงกานี
ทะนุ ประเสริฐสุนทร
Issue Date: Oct-2020
Publisher: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
Abstract: Information asymmetry is the major topic in finance. Since it is a fundamental assumption for important hypotheses, efficient market hypothesis (EMH) and perfectly competitive market, that affect investment return. The study investigates the information asymmetry between local institutional investors and local individual investors in The Stock Exchange of Thailand based on event study basis by using trading volume of each investor group around dividends and quarterly earnings announcements of stock that remains in SET50 index between 2012-2015. The result shows that the abnormal trading volume of individual investors is significantly higher than institutional investors. Leading to the conclusion that there is information asymmetry in The Stock Exchange of Thailand. This asymmetry appears to be higher among individual investors than the institutions. It can claim that the higher abnormal trading volume of individual investors around the announcement period means they have to respond to the released information while institutional investors, who are more informed, no need to adjust their trading volume as much as individual investors do. Additionally, good and bad news, firm size, analyst coverage, and bid-ask spread are tested and there is only bid – ask spread indicate significance in term of the abnormal trading volume differences between two groups of investor around the quarterly earnings announcement. The overall results of the study concluded that, in the Stock Exchange of Thailand, institutions have information advantage over individual investors and bid – ask spread can be used as a proxy of information asymmetry.
Appears in Collections:BA: Theses

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