Abstract

Of all the stocks listed on the Stock Exchange of Thailand (SET) during 1990-1993, 120 of them had their stock prices double within a year. These firms share some common characteristics. These significant characteristics are changes in trading volume on the foreign board, and quarterly earnings changes. The significant winners' characteristics are used to form the trading strategies that are applied to the stocks in the SET, excluding the winners, over the period of 1990-1993. Although these trading strategies underperform the SET index, the combined strategy improves the performance of one-criterion strategies in a quarter and a two-year scheme. On a two-screen strategy, the average CAR over a two-year holding period are $-$5.95 and $-$4.73 percent for a quarter and a two-year scheme, respectively. The foreign investments do affect stocks on the SET. It boosts local trading of international stocks on the main board.