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論文名稱(中文) Investors’ Short-term Trading Behavior in Tiny Stock Markets: Case of Thailand’s Market for Alternative Investment
論文名稱(英文) Investors’ Short-term Trading Behavior in Tiny Stock Markets: Case of Thailand’s Market for Alternative Investment
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 101
學期 1
出版年 102
研究生(中文) 曾昭民
研究生(英文) Peerapong Chukiatkhajorn
學號 Ra6007081
學位類別 碩士
語文別 英文
論文頁數 62頁
口試委員 指導教授-康信鴻
口試委員-鄭至甫
口試委員-黃國平
召集委員-莊雙喜
中文關鍵字 none 
英文關鍵字 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 
學科別分類
中文摘要 none
英文摘要 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.
論文目次 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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