Investor trading volume, stock market return and volatility

Abstract

This research studies the impact of trading volumes from each investor group on the return of the stock market return and volatility of the Thai stock market. It is considered in terms of economic factor and trading behavior of investor that affect to trading volume. It can be addressed as the following four main questions 1) Effect of trading volume due to economic factors to market return. 2) Effect of trading volume due to economic factors to market volatility. 3) Effect of trading volume from investor behavior to market return. 4) Effect of trading volume from investor behavior to market volatility.

The overall empirical results from linear regression between 2000 – 2018. Net trading volume of four investor types have been affected from two economic factors; 10yr government bond yield and nominal effective exchange rate. With effect from economic factors, net trading volume of proprietary traders have significant relation to market return. Only net trading volume of foreign investors have positive relation to market volatility. Based on investor behavior, no type of investor affects to market return and volatility