Using the weekly trading turnover and return of SET Index and stocks within the index from November 2002 until January 2019 to study the trading activity of stocks during U.S. unconventional monetary policy. Our model account for periods of extreme volatility both domestically and internationally, including periods of unconventional monetary policy by other major central banks. We found that, contrary to major findings for emerging markets that found that trading turnover typically increase in such periods, Thai mid- and large-cap stocks trading activity declined during all QE programs. Small-cap stocks saw trading activity increase during QE3; the only outlier among the three cap-based funds. Upon further investigation we found that fund flows into Thai equity market has left the market rather than entered, contrary to major emerging markets during QE2 and QE3. This coincide with decline in trading activity, signaling that during studied unconventional monetary programs, funds have not entered Thailand, as it did other emerging markets. Our special project contributed in the understanding of select emerging market equity trading activity during times of volatility that may not react in the same manner as its benchmark. This special project may suggest further research into how domestic political environment affects fund flows and equity trading by foreign investors.
Trading Activity of Stocks in Thailand During Quantitative Easing Periods
Post by MSF Chula at Sunday, 10 January 2021 06:11 PM
Last updated at Sunday, 10 January 2021 06:11 PM