การศึกษาความสัมพันธ์ระหว่างปริมาณการลงทุนในกองทุนรวมหุ้นระยะยาว และอัตราผลตอบแทนของตลาดหลักทรัพย์แห่งประเทศไทย / อิศรินทร์ บุญเอนกพัฒน์ = The relationship between long-term mutual fund volume and stock returns in the Stock Exchange of Thailand / Isarin Boonanekpat
This research aims to find out whether there is a significant relationship between the collectively invested Long-Term Mutual Fund (abbreviated LTF) volume and the observed stock returns from the Stock Exchange of Thailand (SET). The study collected the secondary daily data from January 1997 to June 2012, which totals to 897 samples. The analyses employed a multivariate regression method with the following controlled variables: Dow Jones Industrial Index, foreign net volume, institute net volume, oil price, THB/USD exchange rate and one-month government bond yield. The result of this study shows that at a 95-percent statistically significant confidence level, there is a negative relationship between stock returns from the Stock Exchange of Thailand and LTF volume. Another result shows that there is no significant relationship between stock returns from the Stock Exchange of Thailand and LTF volume in the month of December which month has the highest LTF net volume.
