臺大管理論叢 NTU Management Review VOL.30 NO.3

65 NTU Management Review Vol. 30 No. 3 Dec. 2020 Impulse Response (Day) Cumulative Response (250 Days) 5 6 7 8 9 -4.59E-05 -3.34E-05 -2.45E-05 -1.83E-05 -1.37E-05 -5.93E-04 27.5810 25.3333 22.7773 20.8396 19.1757 37.4658* 2.01E-05 1.74E-05 1.08E-05 8.08E-06 5.73E-06 8.04E-04 16.6695 15.7537 13.7157 12.0121 10.5617 25.2774 6.93E-06 3.12E-06 1.42E-06 6.33E-07 2.83E-07 1.37E-04 16.0240 13.6001 11.6386 9.9489 8.6620 26.4099 2.36E-07 9.72E-08 1.56E-08 6.84E-09 1.18E-09 -7.85E-06 2.6880 1.8766 1.4353 1.1514 1.0377 22.3378 3.11E-05 1.81E-05 1.07E-05 6.28E-06 3.71E-06 5.88E-04 12.6676 11.6700 10.9975 9.8562 9.0319 13.7309 -2.62E-05 -1.79E-05 -1.23E-05 -8.45E-06 -5.81E-06 -5.32E-04 16.1441 14.6417 13.3020 12.1867 10.9483 18.2118 1.63E-06 8.66E-06 6.40E-06 7.24E-06 6.19E-06 -1.10E-04 22.6329 20.1486 15.9708 14.0438 11.7616 41.9469** The recursive causal ordering runs from W t to v i t and v i t to r t . This causal structure reflects the fact that the trading volume of marginal investors determines the return patterns. The estimation is performed for the local individual investors, local institutional investors, and local proprietary investors. Foreign investors are not considered because they do not live in Thailand and the aggregate net buying volume among all investors is zero. The results are reported in Table 6. For the local individual investors, the impulse responses for days 0, 1, and 2 and the cumulative response are significant. Weather significantly affects the trading of local individual investors. The average responses for days 1 and 2 are positive, while that for day 3 is negative. The negative average is due to the significant, large negative response for year 2001. In that year, however, the impulse responses for days 0 to 9 are all negative. Because there is no reversal of the net buying volume, I conclude that there are no temporary effects for the local individual investors’ trading behavior. The effects are permanent. 90%, 95%, and 99% confidence levels, respectively. The full tables are available from the author upon request.