The Effect of Trading by Different Trader Types on Realized Volatility and Jumps: Evidence from the Thai Stock Market

Authors

  • Suparatana Tanthanongsakkun Chulalongkorn University
  • Sirimon Treepongkaruna The University of Western Australia
  • Marvin Wee The Australian National University
  • Robert Brooks Monash University

Keywords:

Realized Volatility, Trader Types, Thailand

Abstract

We examine the effect that different trade measures for each investor type have on realized volatility and the components of volatility. By following Barndorff-Nielsen and Shephard (2004)’s techniques, the realized volatility is decomposed into the continuous and jump components. Using a detailed high-frequency data set during 1999-2009, we find that retail investors dominate trading on the Stock Exchange of Thailand and retail trades has the greatest effect on realized volatility, and the components of realized volatility. While the increase in trading by retail investors is associated with an increase in realized volatility, their withdrawal from the market is associated with jumps in volatility. Moreover, we find the number of trades by retail investors among others have the greatest association with the continuous component of volatility suggesting their trading is associated with the release of expected news on the market. This result may suggest that some of retail traders are likely to be informed.

Author Biographies

Suparatana Tanthanongsakkun, Chulalongkorn University

Department of Banking and Finance, Faculty of Commerce and Accountancy

Sirimon Treepongkaruna, The University of Western Australia

UWA Business School

Marvin Wee, The Australian National University

College of Business and Economics

Robert Brooks, Monash University

Faculty of Business and Economics

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Published

2018-12-26

How to Cite

Tanthanongsakkun, S., Treepongkaruna, S., Wee, M., & Brooks, R. (2018). The Effect of Trading by Different Trader Types on Realized Volatility and Jumps: Evidence from the Thai Stock Market. Creative Business and Sustainability Journal, 40(4), 111–142. Retrieved from https://so01.tci-thaijo.org/index.php/CBSReview/article/view/162996

Issue

Vol. 40 No. 4: ISSUE 158, OCTOBER - DECEMBER 2018

Section

Research Articles

License

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