Trader type effects on the volatility-volume relationship : evidence from SET50 future index

Name: Poramej Torntham

keyword: Trading volume

; SET50 index

; Open interest

; Volume-volatility

Abstract: This paper provides empirical evidence on how different trader types with different access to information and trading motives have the effect on Thailand SET50 Index Future market volume-volatility from July 2014 to September 2018. The objective is to understand how each investor types trading effect volatility in SET50 index futures. The effect of changes in open interest on futures volatility is also examined as additional evidence. The methodology from Kartsaklas (2017) is applied to calculate unbiased estimates of the conditional daily return volatility. The main empirical results suggests that local investors, less-informed trader who lacks or slow to access knowledge and data, drives the positive relationship with volatilities. For institutional investors, informed trader who has faster access to knowledge and insight information, expected trading volume also drives positive volatility relationship while unexpected trading volume drives negative volatility relationship. Finally, Changes in open interest mostly do not affect SET50 index futures volatility.

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Wasin Siwasarit

Role: advisor

Created: 2019

Modified: 2021-03-22

Issued: 2021-03-22

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2018.540

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

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