ABSTRACT

This study investigates herding behaviour of investors in Thailand under different market conditions, crisis periods, and major market structural changes. The results show that herding behaviour occurs during an extreme market movement of negative or positive returns, in the declining market environment, on days with high trading volume, and during economic downturn as measured by negative GDP output gap. The structural break point analysis and rolling regression technique further shows that herding behaviour gathered heavily around 1997 Asian crisis. The establishments of internet trading platform, bond electronic trading exchange, and future electronic exchanges in Thailand do not make investors herd.

摘要

本研究调查了泰国在不同市场条件，危机时期和主要市场结构变化下的羊群行为。结果表明，羊群行为发生在负收益或正收益的极端市场运动中，在市场环境不断下降的情况下，在交易量较高的日子，以及在经济下滑期间（以负的GDP产出缺口衡量）。结构断裂点分析和滚动回归技术进一步表明，在1997年亚洲危机前后，羊群行为大量聚集。泰国的互联网交易平台，债券电子交易交易所以及未来的电子交易所的建立并没有吸引投资者。