Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
พฤติกรรมการซื้อขายตามๆกันของนักลงทุนในตลาดกองทุนรวมและทรัสต์เพื่อการลงทุนในอสังหาริมทรัพย์แห่งประเทศไทย
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
Roongkiat Ratanabanchuen
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2019.59
Abstract
This paper is the first to examine herding behavior in Thai Property Fund and Real Estate Investment Trusts or REIT market for the period of 2015-2019. The empirical results suggest that those market is exhibit herding behavior significantly. The herding is present in both up and down market and also present in medium to high volume days. Besides, the herding is motivated by cross-sectional premium to NAV, however, on high dividend yield days as well. Herding on high dividend yield days also robust when controlled the dividend yield by the Government bond yield. These results are sensational as herding might not occurred purely from noise trading, however to some extent fundamental based decision. In term of relationship between herding behavior and Thai Property Fund and REIT characteristics, this paper found evidences of herding in medium and small market capitalization portfolio. Notwithstanding, the conclusion cannot be reached when taking into account percent free float.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Lertphitchaphong, Palat, "Do Thai Property Fund and REIT Investors Herd?" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6925.
https://digital.car.chula.ac.th/chulaetd/6925