การวิเคราะห์การเปลี่ยนแปลงอย่างฉับพลันของข้อมูลและการตอบสนองที่ต่ำเกินจริงของนักลงทุนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The purpose of this research is to study the information shocks and short-term market underreactions on the stock exchange in Thailand.Start by testing the stock price jump every 3 months by testing the first 15 days of each month. According to the findings of the study, the market's short-term performance is influenced by global data. It was because the entire portfolio is formed by the past jump back. The results also directly influence the trading strategy.In particular, strategies in long-term stocks with positive jumps are delayed in stock returns, and strategies in short-term stocks with negative jumps have received very unusual stock returns and a stock price jump during the period of 3 months by testing the first 15 days of each month. In the case of the study, by using jumps in the stock price, the intraday returns of the previous day's returns affect whether the stock exchange in Thailand has a jump in the stock price. The result on intraday jumps, especially overnight jumps, provides further evidence consistent with underreaction. The underreaction is robust to controlling for other firm characteristics, extends stock return momentum over intermediate to short horizons, and captures market underreaction to information shocks beyond earnings surprises. It further shows that limited investor attention contributes to short-term underreaction. Which is consistent with the hypothesis that the stock exchange in Thailand has an inflated response to sudden changes in data. Moreover, the rate of return of the stock exchange in Thailand is related to the jump test.