The Information Content of Stock Market Flows: Evidence from Thailand

Abstract

This paper studies the impact of Thai stock market (SET) by examining the return-volume relation and the weekly volatility-volume relation, started [2003][2004][2005][2006][2007][2008][2009][2010][2011][2012][2013][2014]. The results show that there is a positive relation in return-volume relation; although, there is a negative relation of volatility-volume. In addition, we differentiate the impact of fund inflow and outflow for each individual groups, including foreign, local and institution investors for finding the relations between fund flow and market return, between fund flow and market volatility. The analysis shows that only foreign investor impacts to stock market in both of trading-return relation and trading-volatility relation. There is a positive relation with market return, but has a negative relation with market volatility. However, it depends on direction of fund flow. Fund inflow has positive relation in market return while outflow has negatively. On the other hand, in part of trading-market volatility, the larger of cash outflow, the more volatility is the market.