THE EFFECT OF TRADING VOLUME FROM DIFFERENT INVESTOR TYPES ON TRADING FRICTION ANOMALY RETURNS IN THAILAND: EVIDENCE FROM MARKET MICROSTRUCTURE DATA OF THE STOCK EXCHANGE OF THAILAND

Abstract

This study introduces a novel approach to understanding how trading volumes from individual, institutional, and foreign investors influence trading friction anomaly returns in Thailand's stock market. I integrate comprehensive analysis of seven trading friction anomalies with unique market microstructure data from the Stock Exchange of Thailand's database. This approach enables construction of long-short portfolio strategies, while accounting for the distinct trading behaviors of different investor groups during the period from 2011 to 2021. Remarkably, I discovered asymmetric effects where retail trading amplifies certain anomalies while reducing others, contradicting traditional noise trader theories. Furthermore, the integration of investor-type volume indicators with long-short anomaly strategies revealed that institutional investors in Thailand do not uniformly enhance market efficiency as observed in developed markets. Surprisingly, foreign investors exhibited patterns similar to individual investors in certain anomalies.