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dc.contributor.authorสรวลสรรค์, อุมาพร
dc.contributor.authorมากลิ่น, ปริญญา
dc.date.accessioned2014-07-08T08:11:21Z
dc.date.available2014-07-08T08:11:21Z
dc.date.issued2014-07-08
dc.identifier.urihttp://repository.rmutp.ac.th/handle/123456789/1333
dc.descriptionวารสารวิชาการและวิจัย มทร.พระนคร, 7(2) : 107-118en_US
dc.description.abstractThis research studied behavior of price clustering in Electronic Trading Transaction and Block Trading Transaction in Thailand Futures Exchange market from SET50 Index Futures using daily closing price data of SET50 index Futures from April 28, 2006 to June 30,2012 Descriptive statistics and quantitative analysis included Chi-square to test Uniform Distribution; Hirshmann Herfindal Index(HHI) to measure price density standardized Range and Excess Clustering to measure price clustering; and Multiple Regression to test behavior of price Clustering. Results showed that the behavior of price clustering in SET50 Index Futures was characterized in the same way. That is the most frequent last two digits were 00 (32.31%) and 50 (13.82%) while other last two digits had the frequency of not greater than 8%. There was more price clustering along with the trading volume. It also found that the opening price, the bid-ask spread. And the volatility had positive impacts on price clustering while the closing price had negative impact. For the total retum, no impact was found on price clustering at the signicant level of 0.05en_US
dc.description.sponsorshipRajamangala University of Technology Phra Nakhonen_US
dc.language.isothen_US
dc.subjectPrice Clusteringen_US
dc.subjectElectronic Trading Transactionen_US
dc.subjectBlock Trading Transactionen_US
dc.subjectSET50 Index Futuresen_US
dc.subjectพฤติกรรมการจัดกลุ่มราคาen_US
dc.titleBehavior of price clustering in electronic trading transaction and block trading transaction in the Thailand Futures Exchange : Case study of SET50 Index Futuresen_US
dc.title.alternativeพฤติกรรมการจัดกลุ่มราคาในระบบ Electronic Trading Transaction และระบบ Block Trading Transaction ในตลาดอนุพันธ์แห่งประเทศไทย: กรณีศึกษา ดัชนี SET50 Index Futures
dc.typeJournal Articlesen_US
dc.contributor.emailauthorumah24@hotmail.comen_US


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