Information Structure, Trading Behavior and Stock Prices in the Thai Market

Anya Khanthavit ()
Additional contact information
Anya Khanthavit: Faculty of Commerce and Accountancy, Thammasat University, Bangkok 10200, Thailand

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1998, vol. 01, issue 03, 321-353

Abstract: This study examines the information and trading behavior of investors in the Thai market. This market is an important emerging market in the Pacific Rim, whose structure is different from that of a more developed market. We propose a vector autoregression model to describe and test action and reaction of the portfolio reallocation of investors and the movement of stock prices over time.Using daily market data from January 3, 1995 to October 27 1997 , this study finds that, in the Thai market, the foreign investors bought stocks when prices had risen. This strategy was consistent with a positive autocorrelation in the stock return. The local individual investors bought stocks when prices had fallen, while the local institutional investors disregarded past price changes. These two investor groups also exhibited herd behavior of both informational cascades and interpersonal communications types. They followed each other and reacted negatively to an innovation in the stock return.It is interesting to find that the foreign investors brought new information into the market. The local individual and local institutional investors brought in noise, but the explanatory share of this noisy information in the stock volatility was small. So, the study concludes that the volatility in the Thai market was not excessive.

JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091598000211
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:01:y:1998:i:03:n:s0219091598000211

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091598000211

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().