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研究生： 曾昭民
Chukiatkhajorn, Peerapong
論文名稱： Investors’ Short-term Trading Behavior in Tiny Stock Markets: Case of Thailand’s Market for Alternative Investment
Investors’ Short-term Trading Behavior in Tiny Stock Markets: Case of Thailand’s Market for Alternative Investment
指導教授： 康信鴻
Kang, Hsin-Hong
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所碩士班
Institute of International Management (IIMBA--Master)
論文出版年： 2013
畢業學年度： 101
語文別： 英文
論文頁數： 62
外文關鍵詞： Financial behavior, Investor behavior, Investment behavior, Investment patterns, Foreign investors, Individual investors, Institutional investors, Proprietary traders, VAR model, Tiny market, MAI market, Market for alternative investment, Thailand
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    • This paper examines the relationships between investors’ trades and market movement, in order to observe their trading behavior and investment characteristic. By employing MAI market index and weekly trading value of investor groups in MAI market, the data are generated into five variables; market return (CHG) foreign investors (FI), individual investors (IND), institutional investors (INS), and proprietary traders (PRO). This paper utilizes Vector Autoregression (VAR) model, Pearson correlation coefficient, Different Means Comparing Test, and Cumulative Abnormal Return (CAR) to study the datasets. Based on the result, it is revealed that, in MAI market, individual investors are the main player, and perform as positive feedback traders along with proprietary traders, while foreign investors and institutional investors are contrarians. However, the evidence also shows that the positive feedback traders are not always the winner. It is found that the winner of MAI market is institutional investors, who are contrarians.

    ABSTRACT I ACKNOWLEDGEMENTS II TABLE OF CONTENTS IV LIST OF TABLES VII LIST OF FIGURES VIII CHAPTER ONE INTRODUCTION 1 1.1 Research Background and Motivation. 1 1.1.1. Argument on the Investor’s Behavior. 1 1.1.2 Investor’s Behavior: A Case for Thailand. 4 1.1.3 Motivation. 7 1.2 Research Contribution and Purpose. 8 1.3 Research Direction. 9 1.4 Study Structure. 10 CHAPTER TWO LITERATURE REVIEW 11 2.1 Variables Definitions. 11 2.1.1 Stock Exchange of Thailand (SET) and Market for Alternative Investments (MAI). 11 2.1.2 Foreign Investors. 13 2.1.3 Individual Investors. 13 2.1.4 Institutional Investors. 14 2.1.5 Proprietary Investors. 14 2.1.6 Momentum Traders and Contrarians. 15 2.2 Developments of Research Hypotheses. 15 2.2.1 Foreign Investors. 15 2.2.2 Individual Investors. 17 2.2.3 Institutional Investors. 19 2.2.4 Proprietary Investors. 21 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 23 3.1 Data. 23 3.2 Methodology. 26 3.2.1 Augmented Dickey–Fuller test (ADF). 27 3.2.2 Vector Autoregressiont (VAR). 28 3.2.3 Methods to Identify Investors’ Behaviors. 31 3.2.4 Pearson Correlation. 32 3.2.5 Trading Performance. 32 CHAPTER FOUR RESEARCH RESULTS 35 4.1 Unit Root Test. 35 4.2 Model Estimation. 36 4.3 Pearson Correlation Coefficient. 38 4.4 Investor Performance. 42 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 46 5.1 Research Conclusion and Discussion. 46 5.2 Research Implications and Suggestions. 52 5.2.1 Managerial Implication. 52 5.2.2 Policy Implication. 53 5.2.3 Academic Implication. 54 5.3 Research Limitation and Future Research. 55 REFERENCES 57 APPENDICES 61 Appendix 1: Estimated Vector Autoregression (VAR) Model. 61

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