พฤติกรรมการลงทุนในหลักทรัพย์ของกองทุนปิด และผลกระทบต่อราคาหลักทรัพย์

• Main Author: สรสิทธิ์ วรรณประเสริฐ
• Other Authors: สันติ ถิรพัฒน์
• Format: Theses and Dissertations
• Language: Thai
• Published: จุฬาลงกรณ์มหาวิทยาลัย 2000
• Subjects: กองทุนรวม; หลักทรัพย์
• Online Access: https://digiverse.chula.ac.th/Info/item/dc:28671
• Institution: Chulalongkorn University

This thesis uses data on the holdings of Thai closed-end mutual funds from 30 August 1997 to 30 August 1999 to calculate monthly stock trading of Thai closed-end mutual funds. The study purpose is to investigate the trading behavior of mutual funds and evaluate the effect of their trading on stock prices. Mutual fund trading behavior is addressed in two aspects: herding, which refers to trading simultaneously the same stocks on the same side as other funds trade, and positive feedback trading, which refers to buying past winners and selling past losers. I find evidence of herding by mutual funds for stocks in general and higher levels of herding in trading medium and small stocks. However, there is no relation between herding and past performance of the stocks. Mutual funds use positive feedback strategies in trading stocks and smaller stocks show higher level of this trading behavior. There is also evidence of "window dressing" which refers to removing an embarrassing stock out of a portfolio. These two aspects of trading are commonly a part of the argument that mutual fund trading can bring about large demand for a stock which will move the stock price. I find that mutual fund trading can move stock prices. Excess buying demand created by mutual funds will move up the prices for only medium and small stock. On the opposite side, mutual fund excess selling demand will move large, medium and small stock prices down.