ความสัมพันธ์ระหว่างพฤติกรรมการซื้อขายหลักทรัพย์ของกองทุนรวมและราคาหลักทรัพย์ในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The purpose of this study is to examine the relationship between trading behavior of mutual funds and Stock Prices in The Stock Exchange of Thailand from January 2016 to June 2022, to determine whether there is a similar investment behavior and the extent to which it exists. The study utilizes the model developed by Lakonishok, Shleifer, and Vishny (1992) to calculate the level of herding behavior among mutual funds. Additionally, it analyzes the impact of herding behavior on the prices of the securities involved, using the methodology proposed by Russ Wermers (1999) and Nakorn Leungrangthong (1999). The findings of the study reveal that mutual funds in Thailand exhibit high levels of herding behavior, consistent with the research conducted in 1999 by Nakorn Leungrangthong. Therefore, it can be inferred that mutual funds managed by the same securities firms already exhibit herding behavior. Moreover, the study finds that herding behavior among mutual funds does not contribute to increased price volatility of securities. This holds true even during events such as the COVID-19 pandemic. The research demonstrates that investment managers do not adjust their strategies or abilities based on herding behavior. Rather, it reflects the inherent nature of small-sized securities that have their own intrinsic volatility. This may indicate that the market is in a genuinely favorable condition. Investment managers make decisions to invest in small-sized securities in order to maximize profits and enhance their own investment performance, rather than investing in medium or large-sized securities. Additionally, it highlights the significant role that mutual fund investors play in ensuring stability in security prices. Therefore, it is important to promote and support the expansion of mutual funds to further enhance the role of investors in the Thai stock market and promote its growth.