The Relationship between Mutual Fund Trading and Stock Market Returns: The Case of the Stock Exchange of Thailand

Authors

รศ.ดร.เอกชัย นิตยาเกษตรวัฒน์

Published

International Conference on Management, Economics & Social Science - ICMESS

Abstract

This study investigates the relationship between stock market returns and investment fund flows
from different investor groups in the Stock Exchange of Thailand (SET) over the period from November
2009 to June 2021. The selected sample covers the periods after extremely volatile events including
the global financial crisis (GFC) and the outbreak of Coronavirus disease 2019 (COVID-19) pandemic.
The SET classifies its investors into four groups; i.e., local individuals, local institutions, proprietary trading,
and foreign investors. This empirical research evidences the significantly positive relationship between
aggregate stock market returns and institutional and foreign investors’ net purchases.

The Relationship between Mutual Fund Trading and Stock Market Returns: The Case of the Stock Exchange of Thailand . กรุงเทพมหานคร, International Conference on Management, Economics & Social Science – ICMESS (6-9).