Effects of abnormal trading volume in the stock exchange of Thailand

Abstract

This research aims to investigate the opportunity to exploit the abnormal returns follow the abnormal trading volume events for the stock listed in the Stock Exchange of Thailand (SET) from 2010 to 2019. The result suggested that investors could use abnormal trading volume as a signal to invest and obtain extra-profit by holding the stock for a certain period of time. The result also indicated that there was evidence of trading volume’s information content that could be used to implement the zero-investment portfolio strategy which trades based on trading volume. The strategy suggested investors to take a long position in 10% of the most highly traded stock and in contrast, take a short position in 10% of the least traded stock in the SET index for the short time horizon to obtain 13.4 annual returns. In summary, the result of this study could reduce the market inefficiently and minimize the high-volume returns premium. Especially when a large number of traders take this opportunity, the abnormal return offered by trading volume will be diminished, and traders can no longer take the advantage of it.