This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is abnormal, what strategy is followed, whether herd behavior is present, and whether the actions destabilize the market. Foreign investors’ trading behavior is measured by net buying volume divided by market capitalization, whereas the stock market behavior is measured by logged return on the SET index portfolio. The data are daily from Tuesday, August 28, 2018, to Monday, May 18, 2020. The study extends the conditional-regression model in an event-study framework and extracts the unobserved abnormal trading behavior using the Kalman filtering technique. It then applies vector autoregressions and impulse responses to test for the investors’ chosen strategy, herd behavior, and market destabilization. The results show that foreign investors’ abnormal trading volume is negative and significant. An analysis of the abnormal trading volume with stock returns reveals that foreign investors are not positive-feedback investors, but rather, they self-herd. Although foreign investors’ abnormal trading does not destabilize the market, it induces stock-return volatility of a similar size to normal trade. The methodology is new; the findings are useful for researchers, local authorities, and investors.

Abstract
1. Introduction
2. Literature Review
    2.1. Trading Strategies, Herd Behavior, andMarket Destabilization
    2.2. Foreign Investors’ Behavior inthe Time of Crises
3. Research Method and Data
    3.1. The Model
    3.2. Model for Normal Trading Behavior
    3.3. Model for Abnormal Trading Behavior
    3.4. Model Estimation
    3.5. Event and Estimation Periods
    3.6. Analysis of Foreign Investors’ AbnormalTrading Behavior
    3.7. The Data
4. Empirical Results
    4.1. Descriptive Statistics
    4.2. Parameter Estimates and Tests for SignificantAbnormal Trading Behavior
    4.3. Tests for Investment Strategy, Herd Behavior,and Market Destabilization
5. Discussion
    5.1. Contribution to Realized Buying Volume
    5.2. Significant Abnormal Net Buying Volume toEvents
    5.3. Positive-Feedback Investors
    5.4. Robustness Check
6. Conclusion
References

• Anya KHANTHAVIT(Distinguished Professor of Finance and Banking, Faculty of Commerce and Accountancy, Thammasat University) Corresponding Author