ผลของสภาพคล่องที่มีต่อพฤติกรรมการลงทุนตามกันของนักลงทุน ในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This research examines herding behavior of investors in The Stock Exchange of Thailand, which is seen as an emerging market. The purpose is to test the behavior of investors in the Stock Exchange of Thailand for their own benefit. For purposes of the analysis, the data used includes the daily closing price of each security, trading volume, and closing price of the SET50 index during the period of 1 January 2005 to 30 December 2020. The results show that herding behavior of investors in the Stock Exchange of Thailand does indeed exist. When examining the herding behavior of investors during the uptrend and the downtrend, it can be concluded that the herding behavior occurs only during the uptrend. When factoring in the impact of market liquidity with herding behavior of investors, it was found that investor's herding behavior occurred during high trading volumes of market liquidity when compared with periods of low market liquidity. Given the results of this study, even though there is evidence of investor herding in The Stock Exchange of Thailand, the securities market still remains one of the many emerging markets that still attracts foreign investors.